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This is a graduate-level textbook that covers the theory of arbitrage pricing in continuous time. It provides a rigorous and comprehensive presentation of the mathematical foundations (stochastic calculus, stochastic differential equations, martingales, etc.) plus their economic/financial applications (pricing derivatives, hedging, interest rate models, optimal investment, incomplete markets, equilibrium theory). It includes both the classical delta-hedging approach and the martingale approach, along with chapters on optimal stopping, stochastic optimal control, dynamic equilibrium, and more. The 4th edition adds new material on incomplete markets (e.g. the Esscher transform, minimal martingale measure, utility indifference pricing, good-deal bounds) and extends equilibrium theory sections.

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245: $a: Arbitrage Theory in Continuous Time (Oxford Finance)
245: $b:
082: $a:
100: $a: Tomas Björk
650: $a: Oxford University Press
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440: $v:
250: $b: Oxford University Press
250: $c: 2009
020: $a: 9780199574742
300: $a: