Arbitrage Theory in Continuous Time, 3/e (Hardcover)

Tomas Björk

  • 出版商: Oxford University
  • 出版日期: 2009-10-01
  • 售價: $1,200
  • 貴賓價: 9.8$1,176
  • 語言: 英文
  • 頁數: 560
  • 裝訂: Hardcover
  • ISBN: 019957474X
  • ISBN-13: 9780199574742
  • 下單後立即進貨 (約5~7天)

買這商品的人也買了...

商品描述

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.

商品描述(中文翻譯)

這本廣受歡迎的介紹金融背後古典基礎數學的第三版,繼續將堅實的數學原理與經濟應用相結合。

本書專注於金融衍生品連續套利定價的概率理論,包括隨機最優控制理論和默頓的基金分離理論,適合研究生使用,結合必要的數學背景和堅實的經濟焦點。每個新技術的介紹都有解答範例,並包含大量練習題,每章還提供進一步閱讀建議。

在這個大幅擴充的新版中,Bjork增加了關於鞅方法應用於最優投資問題、應用於美式期權的最優停止理論,以及正利率模型及其與潛在理論和隨機折現因子的關聯的獨立完整章節。

高級研究領域明確標示,以幫助學生和教師根據自己的需求使用本書。