Arbitrage Theory in Continuous Time

by Tomas Björk

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.

Genres: Finance, Mathematics, Economics, Science

560 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...