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Arbitrage theory in continuous time / Tomas Björk

By: Resource type: Ressourcentyp: BuchBookLanguage: English Publisher: Oxford [u.a.] : Oxford Univ. Press, 2009Edition: 3. edDescription: XX, 525 S. : graph. Darst. ; 25 cmISBN:
  • 9780199574742
  • 019957474X
Subject(s): DDC classification:
  • 332.645
  • 332.64/5
RVK: RVK: QK 620 | SK 980 | QK 622 | SK 990LOC classification:
  • HG6024.A3
Summary: The binomial model -- A more general one period model -- Stochastic integrals -- Differential equations -- Portfolio dynamics -- Arbitrage pricing -- Completeness and hedging -- Parity relations and delta hedging -- The Martingale approach to arbitrage theory -- The mathematics of the Martingale approach -- Black-Scholes from a Martingale point of view -- Multidimensional models : classical approach -- Multidimensional models : Martingale approach -- Incomplete markets -- Dividends -- Currency derivatives -- Barrier options -- Stochastic optimal control -- The Martingale approach to optimal investment -- Optimal stopping theory and American options -- Bonds and interest rates -- Short rate models -- Martingale models for the short rate -- Forward rate models -- Change of numeraire -- LIBOR and swap market models -- Potentials and positive interest -- Forwards and futures -- Measure and inegration -- Probability theory -- Martingales and stopping timeCall number: Grundsignatur: 2001 A 1451(3)PPN: PPN: 60133938X
Holdings
Item type Home library Collection Shelving location Call number Copy number Status Date due Barcode
Freihandbestand ausleihbar Bibliothek Campus Süd wirt 3.58 Lesesaal Wirtschaftswissenschaften und Informatik (LSW) 2001 A 1451(3) Available 50297427090
Handbibliothek Fakultät für Wirtschaftswissenschaften 2001 A 1451(3) ;g Checked out Ausleihe und Einsicht nicht möglich 13.03.2038 52274842090
Handbibliothek Fakultät für Wirtschaftswissenschaften 2001 A 1451(3) ;e Checked out Ausleihe und Einsicht nicht möglich 19.05.2037 53086412090
Total holds: 0
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