Arbitrage Theory in Continuous Time

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ID: 294565
1998
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Abstract
Abstract This book gives a comprehensive introduction to arbitrage theory for the pricing of contingent claims, such as options, futures, and other financial derivatives. The arbitrage theory for the term structure of interest rates is given particular consideration. Also included is a self‐contained exposition of stochastic optimal control, with applications to portfolio optimisation. The mathematical development is precise but avoids the explicit use of measure theory.
Reference Key
openalex_W1489605740 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Tomas Björk
Journal Oxford University Press eBooks
Year 1998
DOI
10.1093/0198775180.001.0001
URL
https://doi.org/10.1093/0198775180.001.0001
Keywords Keywords not found

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