Title: Arbitrage theory in continuous time
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).
Subjects: Arbitrage, Derivative securities, Mathematical models, Business mathematics, Arbitrage (Bourse), Modèles mathématiques, Instruments dérivés (Finances), Stochastische differentiaalvergelijkingen, Toepassingen, Swaps, Continue functies, Arbitrage--mathematical models, Derivative securities--mathematical models, Hg6024.a3 b567 1998, 332.645