Arbitrage theory in continuous time
By: Tomas Björk.
Publisher: Oxford University Press
Published: 1998
Place of publication: Oxford; New York
Language: eng
Number of pages: 312
Subjects: Arbitrage -- Mathematical models.; Derivative securities -- Mathematical models.
Description: This book gives a comprehensive introduction to arbitrage theory for the pricing of contingent claims, such as options, futures, and other financial derivatives. The arbitrage theory for the term structure of interest rates is given particular consideration. Also included is a self-contained exposition of stochastic optimal control, with applications to portfolio optimisation. The mathematical development is precise but avoids the explicit use of measure theory. -- From http://www.oxfordscholarship.com/view/10.1093/0198775180.001.0001/acprof-9780198775188 (Oct. 23, 2012).
Notes: Includes bibliographical references (p. [304]-308) and index.