Arbitrage theory in continuous time / Tomas Björk.
Tipo de material:
TextoSeries Oxford finance | Oxford financeEditor: Oxford ; New York : Oxford University Press, 2009Edición: 3rd edDescripción: xx, 525 páginas : ilustraciones ; 25 cmTipo de contenido: - texto
- no mediado
- volumen
- 019957474X
- 9780199574742
- 332.645 B626a 2009
| Tipo de ítem | Biblioteca actual | Colección | Signatura topográfica | Estado | Notas | Fecha de vencimiento | Código de barras | Reserva de ítems | |
|---|---|---|---|---|---|---|---|---|---|
| Libro | Biblioteca Central | Colección General | 332.645 B626a 2009 (Navegar estantería(Abre debajo)) | Disponible | GEN | 33409002773236 |
Previous ed.: 2004.
Incluye bibliografía (p. [514]-520).
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 time.
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