Arbitrage Theory in Continuous Time
Author: Tomas Bjork
List Price: $69.50
Our Price: Click to see the latest and low price
ISBN: 0198775180
Publisher: Oxford University Press (January, 1999)
Sales Rank: 80,323
Average Customer Rating: 4.5 out of 5
Customer Reviews
Rating: 4 out of 5
Hell, I should have rated it 5 stars!
If you're going to be introduced to Derivatives pricing and Quantitative finance in continuous time, you need some basics in probability theory, an elementary introduction to stochastic calculus and you need "bjork". It tells you the equation and how to understand it.It's the best source for a complete understanding of the basics of arbitrage free pricing in continuous time; whether it's in complete or incomplete markets.
The best feature of this book is how the author invariably provides an "intuitive interpretation or explanation" to convey critical concepts. {Things like market price of risk in the context of interest rate modelling, change of measure etc...}
Why I rated the book 4 instead of 5?
I will not forgive "Tomas bjork" not to have covered the Libor Market Model; it's "THE" model and therefore should be covered in great details by any book of this calibre. A new edition of this book with the libor market model is needed.
Having said that, the coverage he gives to the popular short rate models is worth every read!
Guy,
Msc Financial Engineering at ISMA Center, Reading - UK.
Rating: 4 out of 5
Good introductory book
It is a good book to read as an introduction to the field. The author is successful in conveying the intuition behind the models instead of striving for complete mathematical rigor. I recommend this book if you want to quickly get acquainted with derivatives pricing but are a bit afraid of the higher math seen in other books.
Rating: 5 out of 5
An FE Bible
The central text for IOE 552(financial Engineering I) at the University of Michigan. Halfway through the course and I really understand the application of Ito's Lemma and the Feynman-Kac stochastic representation theorem. This book has just the right mixture of narative story telling, and mathematical rigor. The derivations are accessible to those with a semester of advanced calculus and a semester of probability. Over and over, Bjork shows that the secret of success in Financial Engineering is "RAIL" which stands for the "Relentless Application of Ito's Lemma". Similar Products
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