连续时间套利理论， 第三版，习题答案 Arbitrage Theory in Continuous Time， 3rd edition - Bjork Solutions.pdf

Seminars on Continuous Time Finance Raquel M. Gaspar Fall 2003 1 Contents 3 Stochastic Integrals 4 4 Differential Equations 7 6 Arbitrage Pricing 10 7 Completeness and Hedging 13 8 Parity Relations and Delta Hedging 14 9 Several Underlying Assets 17 10 Incomplete Markets 19 11 Dividends 20 12 Currency Derivatives 21 15 Bonds and Interest Rates 24 16 Short Rate Models 26 17 Martingale Models for the Short Rate 28 18 Forward Rate Models 32 19 Change of Numeraire 34 20 Extra Exercises 38 20.1 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 20.2 Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 21 Exams 49 2 21.1 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 21.1.1 March 26, 2003 . . . . . . . . . . . . . . . . . . . . .