Arbitrage Theory in Continuous Time (Hardcover)
Bjork, Tomas
- 出版商: Oxford University
- 出版日期: 2020-02-18
- 售價: $1,200
- 貴賓價: 9.8 折 $1,176
- 語言: 英文
- 頁數: 592
- 裝訂: Hardcover - also called cloth, retail trade, or trade
- ISBN: 0198851618
- ISBN-13: 9780198851615
-
相關分類:
經濟學 Economy
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相關主題
商品描述
The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications.
Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, Arbitrage Theory in Continuous Time is designed for graduate students in economics and mathematics, and combines the
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. All concepts and ideas are discussed, not only from a mathematics point of view, but with lots of
intuitive economic arguments.
In the substantially extended fourth edition Tomas Bjork has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. This edition
includes an entirely new section presenting dynamic equilibrium theory, covering unit net supply endowments models and the Cox-Ingersoll-Ross equilibrium factor model.
Providing two full treatments of arbitrage theory-the classical delta hedging approach and the modern martingale approach-this book is written so that these approaches can be studied independently of each other, thus providing the less mathematically-oriented reader with a self-contained
introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action.
This textbook is a natural choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in the market.
商品描述(中文翻譯)
這本廣泛使用的金融衍生品定價和對沖的教科書的第四版現在還包括動態均衡理論,並繼續將嚴謹的數學原理與經濟應用相結合。
專注於金融衍生品連續時間套利定價的概率論理論,包括隨機最優控制理論和最優停止理論,《連續時間套利理論》適用於經濟學和數學的研究生,並結合了必要的數學背景和堅實的經濟重點。它為每個新技術提供了一個解決的例子,包含了大量的練習題,並在每章中提供了進一步的閱讀建議。所有的概念和思想都是從數學的角度進行討論的,但也有很多直觀的經濟論點。
在大幅擴展的第四版中,Tomas Bjork新增了關於不完全市場的全新章節,涵蓋了Esscher轉換、最小鞅測度、f-散度、不完全市場的最優投資理論和良好交易界限等主題。本版還包括一個全新的部分,介紹了動態均衡理論,涵蓋了單位凈供應禀賦模型和Cox-Ingersoll-Ross均衡因子模型。
這本教科書提供了兩種套利理論的完整解釋-傳統的Delta對沖方法和現代的鞅方法。這本書的寫作方式使得這兩種方法可以獨立研究,從而為那些對數學不太感興趣的讀者提供了一個自成一體的套利理論和均衡理論介紹,同時也讓更高級的學生能夠看到完整的理論應用。
這本教科書是金融學研究生和高年級本科生學習金融的自然選擇,也是數學金融學對數學家和市場專業人士的寶貴介紹。
作者簡介
Tomas Bjork, Professor of Mathematical Finance, Department of Finance, Stockholm School of Economics
Tomas Bjork is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics. He has previously worked at the Mathematics Department of the Royal Institute of Technology, also in Stockholm.
Tomas Bjork has been president of the Bachelier Finance Society, co-editor of Mathematical Finance, and has been on the editorial board for Finance and Stochastics and other journals. He has published numerous journal articles on mathematical finance, and in particular is known for his research on
point process driven forward rate models, consistent forward rate curves, general interest rate theory, finite dimensional realisations of infinite dimensional SDEs, good deal bounds, and time inconsistent control theory.
作者簡介(中文翻譯)
Tomas Bjork,斯德哥爾摩經濟學院金融系數學金融學教授。
Tomas Bjork是斯德哥爾摩經濟學院數學金融學的名譽教授。他曾在斯德哥爾摩的皇家理工學院數學系工作。
Tomas Bjork曾擔任Bachelier Finance Society的主席,是Mathematical Finance的共同編輯,並曾擔任Finance and Stochastics等期刊的編輯委員會成員。他發表了許多關於數學金融的期刊文章,尤其以他在點過程驅動的即期利率模型、一致的即期利率曲線、一般利率理論、有限維度實現的無限維度隨機微分方程、良好交易界限和時間不一致控制理論等方面的研究而聞名。