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Arbitrage Theory in Continuous Time
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Arbitrage Theory in Continuous Time

Tomas Björk

Abstract

This book presents an introduction to arbitrage theory and its applications to problems for financial derivatives. This second edition includes more advanced materials; appendices on measure theory, probability theory, and martingale theory; and a new chapter on the martingale approach to arbitrage theory. The chapters cover the binomial model, a general one period model, stochastic integrals, differential equations, portfolio dynamics, arbitrage pricing, completeness and hedging, parity relations and delta hedging, the martingale approach, incomplete markets, dividends, currency derivatives, ... More

Keywords: arbitrage theory, financial derivatives, martingale approach

Bibliographic Information

Print publication date: 2004 Print ISBN-13: 9780199271269
Published to Oxford Scholarship Online: October 2005 DOI:10.1093/0199271267.001.0001

Authors

Affiliations are at time of print publication.

Tomas Björk, author
Professor of Mathematical Finance at the Stockholm School of Economics
Author Webpage