Arbitrage Theory in Continuous Time
Select Format
Select Condition 
Book Overview
The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, Arbitrage Theory in Continuous Time is designed for graduate students in economics and mathematics, and combines the 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. All concepts and ideas are discussed, not only from a mathematics point of view, but with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Bjork has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. This edition includes an entirely new section presenting dynamic equilibrium theory, covering unit net supply endowments models and the Cox-Ingersoll-Ross equilibrium factor model. Providing two full treatments of arbitrage theory-the classical delta hedging approach and the modern martingale approach-this book is written so that these approaches can be studied independently of each other, thus providing the less mathematically-oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action. This textbook is a natural choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in the market.
Format:Hardcover
Language:English
ISBN:0198851618
ISBN13:9780198851615
Release Date:February 2020
Publisher:Oxford University Press
Length:592 Pages
Weight:2.25 lbs.
Dimensions:1.7" x 6.1" x 9.3"
Customer Reviews
5 ratings
Only a Minor Update But Still an Excellent Book
Published by Thriftbooks.com User , 15 years ago
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.
This is how quant fin should be tought
Published by Thriftbooks.com User , 16 years ago
Having been a student of professor Bjork and having studied that book and solved every exercise there is in, i say a big WELL DONE. This is how quant finance should be tought to people who do not aspire to become mathematicians. If you are a general finance phd, a practitioner, someone who wants to jump to finance this is the ONLY required level of maths that you need to understand and apply the subject. It gives the necessary rigor without sacrifising time to numerous technicalities which obscure rather than clarify. Great job
intuitive introduction to option pricing
Published by Thriftbooks.com User , 20 years ago
I agree with several reviewers above that the book is written in a style very helpful for students to understand the material. It doesn't contain a lot of small details of financial markets like Hull's book, but the approach is very systematic. The derivations of formula for Barrier options is a nice example, Hull only lists a set of formula. The focus is on the theory, not on the practice. (No numerical method in the book). Bjork's book is very valuable for a student with very good math skills but want to learn the reasoning style for option pricing. It is a quick and enjoyable read. A huge plus side of the book is to describe strategy before writing down all the proofs. This helps greatly. It can be contrasted with Duffie's book "Dynamic Asset Pricing Theory", which is written like a dry math book (well, I have to admit that Duffie's book is not an intro book) Only thing I can think of that can be improved is typo in the book, too many wrong formula, especially in the second half of the book, luckily enough, they are obviously wrong so that one can still understand the topics. I also find that using SEK and mentioning street name of Britain are amusing for a student in U.S.
An FE Bible
Published by Thriftbooks.com User , 23 years ago
The central text for IOE 552(financial Engineering I) at the University of Michigan. Halfway through the course and I really understand the application of Ito's Lemma and the Feynman-Kac stochastic representation theorem. This book has just the right mixture of narative story telling, and mathematical rigor. The derivations are accessible to those with a semester of advanced calculus and a semester of probability. Over and over, Bjork shows that the secret of success in Financial Engineering is "RAIL" which stands for the "Relentless Application of Ito's Lemma".
Rigorous, complete, easy to understand, so worth studying
Published by Thriftbooks.com User , 25 years ago
One of the best book on derivatives pricing. Professor Björk explain from the simplest model to the more elaborate pricing techniques not only the mathematical tools necessary but the methodology in a very clear and understandable manner. I wish I had a Professor like him !! Thank You Professor Björk.A PhD Student,
Copyright © 2025 Thriftbooks.com
Terms of Use | Privacy Policy | Do Not Sell/Share My Personal Information | Cookie Policy | Cookie Preferences | Accessibility Statement
ThriftBooks ® and the ThriftBooks ® logo are registered trademarks of Thrift Books Global, LLC
ThriftBooks ® and the ThriftBooks ® logo are registered trademarks of Thrift Books Global, LLC
