Arbitrage Theory in Continuous Time

ISBN: 9780198851615 出版年：2019 页码：584 Bj枚rk, Tomas Oxford University Press

1. Introduction 2. The Binomial Model 3. A More General One Period Model 4. Stochastic Integrals 5. Differential Equations 6. Portfolio Dynamics 7. Arbitrage Pricing 8. Completeness and Hedging 9. Parity Relations and Delta Hedging 10. The Martingale Approach to Arbitrage Theory (For advanced readers) 11. The Mathematics of the Martingale Approach (For advanced readers) 12. Black-Scholes from a Martingale Point of View (For advanced readers) 13. Multidimensional Models: Classical Approach 14. Multidimensional Approach: Martingale Approach (For advanced readers) 15. Incomplete Markets 16. Dividends 17. Currency Derivatives 18. Barrier Options 19. Stochastic Optimal Control 20. Bonds and Interest Rates 21. Short Rate Models 22. Martingale Models for the Short Rate 23. Forward Rate Models 24. Change of Numeraire (For advanced readers) 25. LIBOR and Swap Market Models 26. Forwards and Futures Appendix A Measure and Integration (For advanced readers) Appendix B Probability Theory (For advanced readers) Appendix C Martingales and Stopping Times (For advanced readers) References Index