Overview

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.

Full Product Details

Author:   Tomas Bjork (Professor of Mathematical Finance, Stockholm School of Economics)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Edition:   3rd Revised edition
Dimensions:   Width: 16.10cm , Height: 3.20cm , Length: 24.10cm
Weight:   0.938kg
ISBN:  

9780199574742

ISBN 10:   019957474
Pages:   560
Publication Date:   06 August 2009
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Out of Print
Availability:   Awaiting stock  

Table of Contents

1: Introduction 2: The Binomial Model 3: A More General One period Model 4: Stochastic Integrals 5: Differential Equations 6: Portfolio Dynamics 7: Arbitrage Pricing 8: Completeness and Hedging 9: Parity Relations and Delta Hedging 10: The Martingale Approach to Arbitrage Theory 11: The Mathematics of the Martingale Approach 12: Black-Scholes from a Martingale Point of View 13: Multidimensional Models: Classical Approach 14: Multidimensional Models: Martingale Approach 15: Incomplete Markets 16: Dividends 17: Currency Derivatives 18: Barrier Options 19: Stochastic Optimal Control 20: The Martingale Approach to Optimal Investment 21: Optimal Stopping Theory and American Options 22: Bonds and Interest Rates 23: Short Rate Models 24: Martingale Models for the Short Rate 25: Forward Rate Models 26: Change of Numeraire 27: LIBOR and Swap Market Models 28: Potentials and Positive Interest 29: Forwards and Futures A: Measure and Integration B: Probability Theory C: Martingales and Stopping Times

Reviews

Review from previous edition This book is one of the best of a large number of new books on mathematical and probabilistic models in finance, positioned between the books by Hull and Duffie on a mathematical scale...This is a highly reasonable book and strikes a balance between mathematical development and intuitive explanation Short Book Reviews

`Review from previous edition This book is one of the best of a large number of new books on mathematical and probabilistic models in finance, positioned between the books by Hull and Duffie on a mathematical scale...This is a highly reasonable book and strikes a balance between mathematical development and intuitive explanation ' Short Book Reviews

Author Information

Tomas Björk is Professor of Mathematical Finance at the Stockholm School of Economics. His background is in probability theory and he was formerly at the Mathematics Department of the Royal Institute of Technology in Stockholm. He is co-editor of Mathematical Finance and Associate Editor of Finance and Stochastics. He has published numerous journal articles on mathematical finance in general, and in particular on interest rate theory.

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