Arbitrage Theory in Continuous Time

By Tomas Bjork | Go to book overview
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Arbitrage Theory in Continuous Time
Table of contents

Table of contents

  • Title Page iii
  • Preface v
  • Acknowledgements: vii
  • Contents viii
  • 1 - Introduction 1
  • 2 - The Binomial Model 6
  • 3 - Stochastic Integrals 27
  • 4 - Differential Equations 52
  • 5 - Portfolio Dynamics 69
  • 6 - Arbitrage Pricing 76
  • 7 - Completeness and Hedging 99
  • 8 - Parity Relations and Delta Hedging 108
  • 9 - Several Underlying Assets 119
  • 10 - Incomplete Markets 135
  • 11 - Dividends 154
  • 12 - Currency Derivatives 167
  • 14 - Stochastic Optimal Control 198
  • 15 - Bonds and Interest Rates 228
  • 16 - Short Rate Models 242
  • 17 - Martingale Models for the Short Rate 252
  • 18 - Forward Rate Models 266
  • 19 - Change of Numeraire 274
  • 20 - Forwards and Futures 297
  • References 303
  • Index 308
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