连续时间套利理论
Arbitrage theory in continuous time
Björk, Tomas. · 初版 1998 年
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本书全面介绍了用于options、futures及其他financial derivatives等contingent claims定价的arbitrage theory。书中特别探讨了term structure of interest rates的arbitrage theory。此外还包含了关于stochastic optimal control的自成体系的阐述，及其在portfolio optimisation中的应用。数学推导严密精准，同时避免了显式使用measure theory。——来自 http://www.oxfordscholarship.com/view/10.1093/0198775180.001.0001/acprof-9780198775188 (2012年10月23日)。
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……很多理论书都会略过的大量细节）如果你想看更偏理论的内容：- 兰伯顿（Lamberton）和拉佩尔（Lapeyre）的《金融随机分析导论》（一本很棒的小入门书）- 托马斯·比约克（Tomas Bjork）的《连续时间套利理论》（讲得更循序渐进，覆盖面更广）- 卡拉察斯（Karatzas）和施里夫（Shreve）的《布朗运动与随机分析》以及《数理金融方法》（扎实的理论基础，适合更深层次的……
…lots of little details most theoretical books skip) If you want something more theoretical: - "Introduction to Stochastic Calculus Applied to Finance" by Lamberton and Lapeyre (Nice little intro) - "Arbitrage Theory in Continuous Time" by Tomas Bjork (Slower discussion, larger breadth) - "Brownian Motion and Stochastic Calculus" and "Methods of Mathematical Finance" by Karatzas and Shreve (Solid theoretical foundation, for the more…
有扎实数学背景的人应该跳过 Wilmott，直接去啃 Shreve 的《Stochastic Calculus for Finance II》（或者 Björk 的《Arbitrage Theory in Continuous Time》）。
Someone with a strong math background should cut Wilmott and go directly to Shreve: Stochastic Calculus for Finance II (or Björk: Arbitrage Theory in Continuous Time).
如果你需要搞懂衍生品，那就先读 Hull 的《期权、期货及其他衍生产品》。然后再读 Björk 的《连续时间套利理论》。两本都是各自领域里的神作。但这完全取决于你以后要做哪种方向的金融！
If you need to understand derivatives then start with Hull: Options, Futures and Other Derivatives. Then read Björk: Arbitrage Theory in Continuous Time. Both excellent books in their own ways. But it depends completely on what kind of finance you’ll be doing!
《连续时间套利理论》（牛津金融系列）http://www.amazon.com/gp/product/0199271267/ref=oss_product
Arbitrage Theory in Continuous Time (Oxford Finance Series) http://www.amazon.com/gp/product/0199271267/ref=oss_product
> Björk 的《连续时间套利理论》是研究生随机微积分课程的标准教材。数学本科专业通常会专注于某一方向：代数或分析。学分析背景的会更容易上手，因为……
> Björk: Arbitrage Theory in Continuous Time is standard graduate stochastic calculus course material. An undergrad degree in math usually specializes in a certain track: algebra or analysis. The analysis background would be a closer fit as the…