Description
Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.
About the Author
Tomas Bjoerk is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics and previously worked at the Mathematics Department of the Royal Institute of Technology, Stockholm. Bjoerk has been co-editor of Mathematical Finance, on the editorial board for Finance and Stochastics and several other journals, and was President of the Bachelier Finance Society. He is particularly known for his research on point-process-driven forward-rate models, finite-dimensional realizations of infinite dimensional SDEs, and time-inconsistent control theory. He is the author of the well-known textbook Arbitrage Theory in Continuous Time (1998), now in its fourth edition.
Reviews
'essential for those who are interested in the theory of point processes, in both theoretical and applied aspects.' Ying Hui Dong, MathSciNet
Book Information
ISBN 9781316518670
Author Tomas Bjoerk
Format Hardback
Page Count 320
Imprint Cambridge University Press
Publisher Cambridge University Press
Weight(grams) 680g
Dimensions(mm) 250mm * 174mm * 21mm