Arbitrage Theory in Continuous Time

作者：TomasBjörk

出版社：OxfordUniversityPress

出版年：2009-10-4

页数：560

定价：USD85.00

装帧：Hardcover

ISBN：9780199574742

内容简介
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The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

评论 ······

一开始用离散模型对一般期权定价，后来引入鞅和PQ测度，在连续时间定价。后面介绍了swap，bond，等衍生产品的模型定价，内容实用，也适合做教材。比sherve那本书简单，范围广。

好像懂了些什么 做做题又什么都不懂T T

不错，比Shreve简单

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