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Arbitrage Theory in Continuous Time (Oxford Finance Series) Hardcover – 6 Aug 2009

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Product details

  • Hardcover: 560 pages
  • Publisher: OUP Oxford; 3 edition (6 Aug. 2009)
  • Language: English
  • ISBN-10: 019957474X
  • ISBN-13: 978-0199574742
  • Product Dimensions: 23.6 x 3.6 x 15 cm
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Bestsellers Rank: 209,752 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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Product Description


Review from previous edition This book is one of the best of a large number of new books on mathematical and probabilistic models in finance, positioned between the books by Hull and Duffie on a mathematical scale...This is a highly reasonable book and strikes a balance between mathematical development and intuitive explanation (Short Book Reviews)

About the Author

Tomas Björk is Professor of Mathematical Finance at the Stockholm School of Economics. His background is in probability theory and he was formerly at the Mathematics Department of the Royal Institute of Technology in Stockholm. He is co-editor of Mathematical Finance and Associate Editor of Finance and Stochastics. He has published numerous journal articles on mathematical finance in general, and in particular on interest rate theory.

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Most Helpful Customer Reviews

5 of 5 people found the following review helpful By Grześ on 28 Sept. 2010
Format: Hardcover Verified Purchase
This book covers valuation of a wide variety of financial assets. It is written in a way that is very simple to understand, yet contains a lot of advanced details. Very highly recommended.

Unfortunately Oxford University Press didn't deliver up to the author standards and I have to complain that the edition is rubbish - after just a few moths of use already a couple of pages have fallen off and other will follow shortly. Its a real shame, as the contents is a perfect reference for both academic and professional work.
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Format: Hardcover Verified Purchase
Nearly the best textbook in continuous time finance. It is rather concise and straightforward. Any unnecessary technical details are omitted. Especially suitable for non-math major students. However the glue of this book is terrible. I really don't understand how oxford press can do this to such an excellent book.
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Most Helpful Customer Reviews on (beta) 5 reviews
9 of 9 people found the following review helpful
Only a Minor Update But Still an Excellent Book 23 Oct. 2009
By C. Ang - Published on
Format: Hardcover
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.
I consider this book the most accessible introduction to continuous ... 23 Sept. 2015
By Flavio Nardi - Published on
Format: Hardcover Verified Purchase
I consider this book the most accessible introduction to continuous time finance. There are many well known books on arbitrage pricing in continuous time finance, some more mathematical (e.g. Karatzas and Shreve) and some less so - in an attempt to provide more intuition (e.g. Salih N. Neftci). I find Tomas Bjork's exposition extremely intuitive and sufficiently (mathematically) formal. The mathematical notation is clear and appealing. About half the book is devoted to applications of the continuous time technique to pricing of financial derivatives.
Four Stars 23 Sept. 2015
By Denys - Published on
Format: Hardcover Verified Purchase
The book itself contains some typos, but overall very good
7 of 13 people found the following review helpful
Kindle version is full of math font errors 24 Jun. 2012
By Marios - Published on
Format: Kindle Edition Verified Purchase
This review is based on the Kindle version of the book.

Having been recommended this book, and reading the reviews, I looked forward to reading and learning about this subject. I chose to purchase the Kindle version as I currently do all my reading on the Kindle, but this was a mistake. Arbitrage Theory in Continuous Time contains a substantial number of math equations and these are essential in the presentation of the material laid out in the book. Unfortunately, many such formulas have not been correctly converted in the digital Kindle version, either being incorrectly displayed or having big parts missing. This makes the book unreadable.

The book looks to have been written using LaTeX and therefore I am surprised that the conversion was not done using the original source, as this would have preserved and correctly displayed the included math equations. I should have bought the dead tree version instead!
1 of 3 people found the following review helpful
Great!!! 11 Aug. 2013
By Luis Otavio Facanha - Published on
Format: Hardcover Verified Purchase
I am studying it, after I managed more elementary texts. But it is self contained and the author knows how to teach.
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