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Arbitrage theory in continuous time / Tomas Björk.
Materialtyp:
TextSpråk: Engelska Utgivningsuppgift: Oxford : Oxford University Press, 1998Beskrivning: xii, 311 s. diagrISBN: - 0198775180
- 332.645 21
- 91B28
- 60G
- 60H
- Qae
- Qab
- Th
- Qaeca:t
Innehåll:
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
| Exemplartyp | Aktuellt bibliotek | Hyllsignatur | Status | Förfallodatum | Streckkod | |
|---|---|---|---|---|---|---|
| Bok (Hemlån) | Campus Karlskrona | 332 | Tillgänglig | 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