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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 Martingale Approach to Arbitrage Theory

*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:
- 10.1093/0199271267.003.0010
- Subject:
- Economics and Finance, Financial Economics

This chapter analyses a market model made up of N + 1 a priori given asset price processes S0, S1, ..., SN. Typically, the model is specified by giving the dynamics of the asset price processes under ... More

## Black–Scholes from a Martingale Point of View*

*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:
- 10.1093/0199271267.003.0012
- Subject:
- Economics and Finance, Financial Economics

This chapter discusses the standard Black-Scholes model from the martingale point of view. The probability space (Ω, □, P, □-) carrying a P-Wiener process W-, where the filtration □- is the one ... 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

## Multidimensional Models: 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:
- 10.1093/0199271267.003.0014
- Subject:
- Economics and Finance, Financial Economics

This chapter analyses a multidimensional model using the martingale machinery of Chapter 10. This model is more general than the one used in the previous chapter to obtain more general results, and ... More

## Incomplete Markets

*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:
- 10.1093/0199271267.003.0015
- Subject:
- Economics and Finance, Financial Economics

This chapter examines derivative pricing in incomplete markets. It focuses on a particular type of incomplete market, namely a “factor model” — a market where there are some nontraded underlying ... More

## The Martingale Approach to Optimal Investment

*Tomas Björk*

### in Arbitrage Theory in Continuous Time

- Published in print:
- 2019
- Published Online:
- February 2020
- ISBN:
- 9780198851615
- eISBN:
- 9780191886218
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198851615.003.0027
- Subject:
- Economics and Finance, Econometrics

For the special case of optimal consumption/investment problems, there is an alternative to dynamic programming. The alternative is based on market completeness and martingale methods. This approach ... More

## Forward and Futures Contracts

*Tomas Björk*

### in Arbitrage Theory in Continuous Time

- Published in print:
- 2019
- Published Online:
- February 2020
- ISBN:
- 9780198851615
- eISBN:
- 9780191886218
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198851615.003.0017
- Subject:
- Economics and Finance, Econometrics

This chapter contains a substantial extension of the more elementary theory of forwards and futures developed in Chapter 7. We derive a general pricing formula for forward contracts. Futures ... More

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