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2 results

  • 16 - Basic Arbitrage Theory

  • from Part V - Applications in Financial Economics
  • Tomas Björk, Stockholm School of Economics
  • Book:
    Point Processes and Jump Diffusions
    Published online:
    27 May 2021
    Print publication:
    17 June 2021, pp 173-187

  • Summary

    This chapter contains an introduction to financial economics, giving the reader the necessary background for the rest of the text. It coversportfolio theory, arbitrage theory, martingale measures, change of numeraire, stochastic discount factors, Hansen–Jagannathan bounds, dividends and consumption.

Point Processes and Jump Diffusions
  • An Introduction with Finance Applications
  • Tomas Björk
  • Published online:
    27 May 2021
    Print publication:
    17 June 2021
  • The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research.