The DOI matches its Crossref record; 60 of the 60 references it cites were found in a registry or an index.
Arbitrage Theory in Continuous Time
Open accessAbstract
This book presents an introduction to arbitrage theory and its applications to problems for financial derivatives. This second edition includes more advanced materials; appendices on measure theory, probability theory, and martingale theory; and a new chapter on the martingale approach to arbitrage theory. The chapters cover the binomial model, a general one period model, stochastic integrals, differential equations, portfolio dynamics, arbitrage pricing, completeness and hedging, parity relations and delta hedging, the martingale approach, incomplete markets, dividends, currency derivatives, barrier options, stochastic optimal control, bonds and interest rates, short rate models, forward rate models, and LIBOR and swap market models.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
Merton, R. C. (1974) · The Journal of Finance · doi:10.1111/j.1540-6261.1974.tb03058.x · Cited by 10,581
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
Theory of Rational Option Pricing
Merton, R. C. (2019) · World Scientific Reference on Contingent Claims Analysis in Corporate Finance · doi:10.1142/9789814759588_0002 · Cited by 7,948
An equilibrium characterization of the term structure
Vasicek, O. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90016-2 · Cited by 6,085
Option pricing: A simplified approach
Cox, J. C., Ross, S. A., & Rubinstein, M. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90015-1 · Cited by 6,083
Optimum consumption and portfolio rules in a continuous-time model
Merton, R. C. (1971) · Journal of Economic Theory · doi:10.1016/0022-0531(71)90038-x · Cited by 5,958
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
Merton, R. C. (1969) · The Review of Economics and Statistics · doi:10.2307/1926560 · Cited by 5,187
Epstein, L. G., & Zin, S. E. (1989) · Econometrica · doi:10.2307/1913778 · Cited by 4,262
Metadata
- Authors
- Björk, T.
- Publisher
- Oxford University PressOxford
- Published
- 2004-03-04
- OpenAlex
- W3145733953
- Cited by
- 940
- References
- 60
- FWCI
- 16.34
- Type
- book
- Language
- en
- Open access
- gold
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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