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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 |
