Arbitrage theory in continuous time
by Björk, Tomas. · first published 1998
50% recommend50% neutral
This book gives a comprehensive introduction to arbitrage theory for the pricing of contingent claims, such as options, futures, and other financial derivatives. The arbitrage theory for the term structure of interest rates is given particular consideration. Also included is a self-contained exposition of stochastic optimal control, with applications to portfolio optimisation. The mathematical development is precise but avoids the explicit use of measure theory. -- From http://www.oxfordscholarship.com/view/10.1093/0198775180.001.0001/acprof-9780198775188 (Oct. 23, 2012).
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…lots of little details most theoretical books skip) If you want something more theoretical: - "Introduction to Stochastic Calculus Applied to Finance" by Lamberton and Lapeyre (Nice little intro) - "Arbitrage Theory in Continuous Time" by Tomas Bjork (Slower discussion, larger breadth) - "Brownian Motion and Stochastic Calculus" and "Methods of Mathematical Finance" by Karatzas and Shreve (Solid theoretical foundation, for the more…
on “Good books for hackers interested in quant finance?” ↗Arbitrage Theory in Continuous Time (Oxford Finance Series) http://www.amazon.com/gp/product/0199271267/ref=oss_product
on “Ask HN: Good resources for learning+getting into Finance / Trading?” ↗