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Arbitrage Theory in Continuous Time (Oxford Finance)
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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.
Über den Autor
Tomas Bj�rk 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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Buchdeckel | Copyright | Inhaltsverzeichnis | Auszug | Stichwortverzeichnis
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Only a Minor Update But Still an Excellent Book
23. Oktober 2009
Format:Gebundene Ausgabe
If you own the second edition of Arbitrage Theory in Continuous Time, I don't think owning the third edition will add substantial value. The two major chapters that were added are the martingale approach to optimal investment problems and optimal stopping theory. Apart from this, the book looks and reads like the second edition.
However, if you do not own the second edition, this book provides an excellent elementary treatment of asset pricing. The mathematics is quite reasonable, and does not require a substantial understanding of heavy math machinery from the reader. Many of the mathematical tools are explained in adequate detail in the text as well as in the Appendix. However, the reader should be comfortable with calculus and probability theory. The discussion on options is particularly good, especially the treatment of the binomial approach as well as Black-Scholes. However, this is not unique to this book.
I would say that this book would be a good supplement for students that are taking their intro level Ph.D. asset pricing course. In particular, I think this would be beneficial to those who would like to get a little bit more intuition than what they can get from standard Ph.D. level texts. Bjork's writing style may be helpful in that respect.
However, if you do not own the second edition, this book provides an excellent elementary treatment of asset pricing. The mathematics is quite reasonable, and does not require a substantial understanding of heavy math machinery from the reader. Many of the mathematical tools are explained in adequate detail in the text as well as in the Appendix. However, the reader should be comfortable with calculus and probability theory. The discussion on options is particularly good, especially the treatment of the binomial approach as well as Black-Scholes. However, this is not unique to this book.
I would say that this book would be a good supplement for students that are taking their intro level Ph.D. asset pricing course. In particular, I think this would be beneficial to those who would like to get a little bit more intuition than what they can get from standard Ph.D. level texts. Bjork's writing style may be helpful in that respect.
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