Arbitrage theory in continuous time / Tomas Björk.
Material type: TextLanguage: English Publisher: Oxford : Oxford University Press, 1998Description: xii, 311 s. diagrISBN:- 0198775180
- 332.645 21
- 91B28
- 60G
- 60H
- Qae
- Qab
- Th
- Qaeca:t
Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
---|---|---|---|---|---|---|---|
Book (loan) | Campus Karlskrona | 332 | Available | 80013802741 |
1.; Introduction ---; 2.; The Binomial Model ---; 3.; Stochastic Integrals ---; 4.; Differential Equations ---; 5.; Portfolio Dynamics ---; 6.; Arbitrage Pricing ---; 7.; Completeness and Hedging ---; 8.; Parity Relations and Delta Hedging ---; 9.; Several Underlying Assets ---; 10.; Incomplete Markets ---; 11.; Dividends ---; 12.; Currency Derivatives ---; 13.; Barrier Options ---; 14.; Stochastic Optimal Control ---; 15.; Bonds and Interest Rates ---; 16.; Short Rate Models ---; 17.; Martingale Models for the Short Rate ---; 18.; Forward Rate Models ---; 19.; Change of Numeraire ---; 20.; Forwards and Futures