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Arbitrage theory in continuous time / Tomas Björk.

By: Material type: TextTextLanguage: English Publisher: Oxford : Oxford University Press, 1998Description: xii, 311 s. diagrISBN:
  • 0198775180
Subject(s): Additional physical formats: Online:: Arbitrage Theory in Continuous TimeDDC classification:
  • 332.645 21
Other classification:
  • 91B28
  • 60G
  • 60H
  • Qae
  • Qab
  • Th
  • Qaeca:t
Contents:
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
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Item type Current library Call number Status Date due Barcode
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

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