Arbitrage Theory in Continuous Time, written by Tomas Bjärk, is a textbook for advanced students and professionals in mathematical finance and economics. It covers the probabilistic theory of continuous-time pricing and hedging of financial derivatives, with attention to both classical and modern approaches.
Description
This book combines deep mathematical foundations with economic applications and introduces new topics within equilibrium theory. The fourth edition expands with dynamic equilibrium theory and chapters on incomplete markets, including techniques such as the Esscher transform and good deal bounds.
With extensive examples, exercises, and clear explanations, this is a standard work that discusses both the delta hedging and martingale methods separately. It thus provides an accessible yet complete introduction to arbitrage and equilibrium theory for readers with varying levels of prior knowledge.
Product specifications
- Author: Tomas Bjärk (Professor of Mathematical Finance, Stockholm School of Economics)
- Publisher: Oxford University Press
- Publication date: 2019-12-18
- Number of pages: 592
- ISBN: 9780198851615
- Subject: Investment and securities
About the author
Tomas Bjärk is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics. He is known for his work in the field of interest rate theoretical models, martingale measures, and time-inconsistent control.
He was president of the Bachelier Finance Society, co-editor of Mathematical Finance, and active on various scientific editorial committees.