- Hardcover: 300 pages
- Publisher: Oxford University Press; First Edition edition (1 Jan 1999)
- Language English
- ISBN-10: 0198775180
- ISBN-13: 978-0198775188
- Product Dimensions: 23.6 x 15.5 x 2.5 cm
- Average Customer Review: 5.0 out of 5 stars See all reviews (3 customer reviews)
- Amazon Bestsellers Rank: 1,668,040 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Review
"[This book] does attempt to present the main concepts of modern mathematical finance without becoming tied down in measure theoretic technicalities. In this the book, now in its second edition, succeeds reasonably well."--SIAM Review
--This text refers to an out of print or unavailable edition of this title.
--This text refers to an out of print or unavailable edition of this title.
Product Description
The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines 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. In this substantially extended new edition Tomas Bjork has added completely new chapters on measure theory and probability theory, including the Radon-Nikodym Theorem, Girsanov transformations, and stochastic integral martingale representations. There is also an extensive new chapter on the abstract martingale approach to arbitrage theory, including a guided tour through the Delbaen-Schachermayer proof of the first fundamental theorem, as well as a new chapter on the LIBOR and swap market models. Providing two full treatments of arbitrage theory - the classical delta hedging approach and the modern martingale approach - the book is written in such a way 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, while at the same time allowing the specialist to see the full theory in action. This is the textbook of choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in financial markets.
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First Sentence
The main project in this book consists in studying theoretical pricing models for those financial assets which are known as financial derivatives. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
The main project in this book consists in studying theoretical pricing models for those financial assets which are known as financial derivatives. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
17 of 17 people found the following review helpful
Format:Hardcover
The book by T. Bjork illustrates how to price derivatives, and how term structure models work. It applies a consistent and modern approach to this tasks, starting by explaining the maths which is required to understand modern finance (without using a purely mathematical perspective) and moving on to illustrate pricing problems in order of difficulty. The author explains all the main models (Black and Scholes, Black, Vasiceck, CIR, etc.) and the main approaches to pricing (risk neutral pricing and change of numeraire techniques). Used in conjuction with Hull (which is a very good introduction) this book can really alow one to understand the foundations of modern financial theory without going into abstract mathematical models.
1 of 1 people found the following review helpful
Format:Hardcover
This is an excellent book, precise, rigorous and damn interesting.
Although I would recommend a good mathematical background almost all you need is included and some more advanced optional chapters are here to statisfy the mathematically inclined reader.
There are a few typos in the book, but nothing an attentive reader couldn't correct immediatly so it doesn't spoil any of it.
If you are looking for an introduction to modern financial maths, this is THE title to get.
Although I would recommend a good mathematical background almost all you need is included and some more advanced optional chapters are here to statisfy the mathematically inclined reader.
There are a few typos in the book, but nothing an attentive reader couldn't correct immediatly so it doesn't spoil any of it.
If you are looking for an introduction to modern financial maths, this is THE title to get.
3 of 4 people found the following review helpful
Format:Hardcover
This book is highly recommended by my professer and past students. It covers everything you need to know about financial application of stocastical method. And the most important point is, this book is interesting!
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