arbitrage theory in continuous time 3rd edition

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1、ArbitrageTheoryinContinuousTimeThirdEditionThispageintentionallyleftblankArbitrageTheoryinContinuousTimethirdeditiontomasbjork¨StockholmSchoolofEconomics13GreatClarendonStreet,Oxfordox26dpOxfordUniversityPressisadepartmentoftheUniversityofOxford.ItfurtherstheUniversity’sobjectiveofexcellencein

2、research,scholarship,andeducationbypublishingworldwideinOxfordNewYorkAucklandCapeTownDaresSalaamHongKongKarachiKualaLumpurMadridMelbourneMexicoCityNairobiNewDelhiShanghaiTaipeiTorontoWithofficesinArgentinaAustriaBrazilChileCzechRepublicFranceGreeceGuatemalaHungaryItalyJapanPolandPortugalSingapor

3、eSouthKoreaSwitzerlandThailandTurkeyUkraineVietnamOxfordisaregisteredtrademarkofOxfordUniversityPressintheUKandincertainothercountriesPublishedintheUnitedStatesbyOxfordUniversityPressInc.,NewYorkcTomasBj¨ork2009ThemoralrightsoftheauthorhavebeenassertedDatabaserightOxfordUniversityPress(maker)

4、Firstpublished2009Allrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmitted,inanyformorbyanymeans,withoutthepriorpermissioninwritingofOxfordUniversityPress,orasexpresslypermittedbylaw,orundertermsagreedwiththeappropriatereprographicsrightsorganization.Enqu

5、iriesconcerningreproductionoutsidethescopeoftheaboveshouldbesenttotheRightsDepartment,OxfordUniversityPress,attheaddressaboveYoumustnotcirculatethisbookinanyotherbindingorcoverandyoumustimposethesameconditiononanyacquirerBritishLibraryCataloguinginPublicationDataDataavailableLibraryofCongressC

6、ataloginginPublicationDataDataavailableTypesetbySPIPublisherServices,Pondicherry,IndiaPrintedinGreatBritainonacid-freepaperbyClaysLtd.,StIvesplcISBN978–0–19–957474–213579108642ToAgneta,Kajsa,andStefanPREFACETOTHETHIRDEDITIONThethirdeditiondiffersfromthesecondeditionbythefactthatIhaveaddedchapte

7、rsonthefollowingsubjects.•Themartingaleapproachtooptimalinvestmentproblems.•OptimalstoppingtheorywithapplicationstoAmericanoptions.•Positiveinterestmodelsandtheirconnectiontopotentialtheoryandsto-chasticdiscountfactors.ApartfromthisIhav