Arbitrage Theory in Continuous Time

by Tomas Björk

The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sounds mathematical principles with economic applications. Concentrating on the probabilistics 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 measure theory, probability theory, Girsanov transformations, LIBOR and swap market models, and martingale representations, providing two full treatments of
arbitrage the classical delta-hedging and the modern martingales. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

Genres: Finance, Mathematics, Economics, Science

496 pages, Hardcover

First published January 14, 1999

Reviews

[Atin · Rating 5 out of 5]

Awesome exposition, I enjoyed it so much.

[Alessandro Gnoatto · Rating 5 out of 5]

This is the best introduction to Financial Mathematics I am aware of.

[Yavor Kovachev · Rating 5 out of 5]

There are very few books in math which are worth reading from cover to cover and from which you can really learn a lot and which you truly enjoy reading. You could count them on your fingers and toes. To me, on the topic of financial mathematics, this book is in the same league as Spivak's Calculus and Rudin's Analysis. Buy it, read it, do the exercises (!) and enjoy the warm glowy feeling of actually knowing you have truly learned and understood something...