Customer Review

18 of 18 people found the following review helpful
5.0 out of 5 stars A very good book to understand derivatives pricing, 19 Jan. 1999
By A Customer
This review is from: Arbitage Theory in Continuous Time (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.
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5.0 out of 5 stars (4 customer reviews)
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