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Arbitrage Theory in Continuous Time

Tomas Björk

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.001.0001
Subject:
Economics and Finance, Financial Economics

This book presents an introduction to arbitrage theory and its applications to problems for financial derivatives. This second edition includes more advanced materials; appendices on measure theory, ... More


The Determination of Equity Prices

Hendrik S. Houthakker and Peter J. Williamson

in The Economics of Financial Markets

Published in print:
1996
Published Online:
November 2003
ISBN:
9780195044072
eISBN:
9780199832958
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/019504407X.003.0006
Subject:
Economics and Finance, Financial Economics

Drawing on Chs. 4 and 5 (which discuss the supply and demand for securities separately), this chapter investigates whether economics has anything helpful to say about the prices of shares and related ... More


Bonds and Interest Rates

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0020
Subject:
Economics and Finance, Financial Economics

This chapter examines the specific problems associated with the application of arbitrage theory to the bond market. It focuses on zero coupon bonds, also known as pure discount bonds, of various ... More


Arbitrage Theory in Continuous Time

Tomas Björk

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.001.0001
Subject:
Economics and Finance, Financial Economics

This book gives a comprehensive introduction to arbitrage theory for the pricing of contingent claims, such as options, futures, and other financial derivatives. The arbitrage theory for the term ... More


The Mathematics of the Martingale Approach

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0011
Subject:
Economics and Finance, Financial Economics

This chapter presents the two main workhorses of the martingale approach to arbitrage theory: the Martingale Representation Theorem and the Girsanov Theorem. The Martingale Representation Theorem ... More


Valuing Public Policies

Anthony M. Bertelli and Peter John

in Public Policy Investment: Priority-Setting and Conditional Representation In British Statecraft

Published in print:
2013
Published Online:
January 2014
ISBN:
9780199663972
eISBN:
9780191755996
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199663972.003.0005
Subject:
Political Science, Comparative Politics

The theoretical mechanism by which the public attributes value to the attention of politicians to public policy topics is the subject of this chapter. Drawing on asset pricing theory from the ... More


Factor Models

Claus Munk

in Financial Asset Pricing Theory

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199585496
eISBN:
9780191751790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199585496.003.0010
Subject:
Economics and Finance, Econometrics

The consumption-based asset pricing models are elegant, but tests and applications suffer from the questionable quality of the available consumption data, and at least some of these models are ... More


Factor Models

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0006
Subject:
Economics and Finance, Financial Economics

The CAPM and factor models in general are explained. Factors can be replaced by the returns or excess returns that are maximally correlated (the projections of the factors). A factor model is ... More


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