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Published: 06 August 2009

560 Pages | 23 Figures


ISBN: 9780199574742

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Arbitrage Theory in Continuous Time

Third Edition

Tomas Björk

Oxford Finance Series

  • New edition building on the strengths of a successful graduate text
  • A clear, accessible introduction to a complex field of classical financial mathematics
  • Includes solved examples for all techniques, exercises, and further reading.

New to this Edition:

  • Separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors.
  • Updated definition of arbitrage in Chapter 3 that has the advantage that martingale measures will be equivalent to the objective measure instead of merely absolutely continuous.

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