Arbitrage Theory in Continuous Time

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Oxford University Press, 1998 - Arbitrage - 312 pages
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Professor Bjork provides an accessible introduction to the classical underpinnings of the central mathematical theory behind modern finance. Combining sound mathematical principles with the necessary economic focus, Arbitrage Theory in Continuous Time is specifically designed for graduate students, and includes solved examples for every new technique presented, numerous exercises, and Further Reading lists for each chapter. - ;The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with.
  

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Contents

1 Introduction
1
2 The Binomial Model
6
3 Stochastic Integrals
27
4 Differential Equations
52
5 Portfolio Dynamics
69
6 Arbitrage Pricing
76
7 Completeness and Hedging
99
8 Parity Relations and Delta Hedging
108
13 Barrier Options
182
14 Stochastic Optimal Control
198
15 Bonds and Interest Rates
228
16 Short Rate Models
242
17 Martingale Models for the Short Rate
252
18 Forward Rate Models
266
19 Change of Numeraire
274
20 Forwards and Futures
297

9 Several Underlying Assets
119
10 Incomplete Markets
135
11 Dividends
154
12 Currency Derivatives
167

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