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Arbitrage Theory in Continuous Time
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Arbitrage Theory in Continuous Time

Tomas Björk

Abstract

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.

Keywords: arbitrage theory, contingent pricing, financial derivatives, futures, interest rates, optimal control, options, portfolio optimisation, term structure

Bibliographic Information

Print publication date: 1998 Print ISBN-13: 9780198775188
Published to Oxford Scholarship Online: November 2003 DOI:10.1093/0198775180.001.0001

Authors

Affiliations are at time of print publication.

Tomas Björk, author
Stockholm School of Economics
Author Webpage

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