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Arbitrage Theory in Continuous Time (Oxford Finance Series)

Amazon.com Price:  $70.00 (as of 26/04/2019 18:35 PST- Details)

Description

The third edition of this popular introduction to the classical underpinnings of the mathematics at the back of finance continues to combine sound mathematical principles with economic applications.

Concentrating at the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal keep an eye on theory and Merton’s fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focal point. It includes a solved example for each and every new technique presented, incorporates a lot of exercises, and suggests further reading in every chapter.

On this substantially extended new edition Bjork has added separate and complete chapters at 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 assist students and teachers use the book as it suits their needs.

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