Arbitrage Theory in Continuous Timeby Tomas BjorkHardcover: 464 pages Publisher: Oxford University Press; 2nd edition (May 1, 2004) ISBN: 0199271267 Table of Contents1 Introduction 1 2 The Binomial Model 5 3 A More General One Period Model 26 4 Stochastic Integrals 36 5 Differential Equations 62 6 Portfolio Dynamics 80 7 Arbitrage Pricing 88 8 Completeness and Hedging 111 9 Parity Relations and Delta Hedging 121 10 The Martingale Approach to Arbitrage Theory 133 11 The Mathematics of the Martingale Approach 154 12 Black-Scholes from a Martingale Point of View 169 13 Multidimensional Models: Classical Approach 175 14 Multidimensional Models: Martingale Approach 192 15 Incomplete Markets 205 16 Dividends 225 17 Currency Derivatives 239 18 Barrier Options 254 19 Stochastic Optimal Control 271 20 Bonds and Interest Rates 302 21 Short Rate Models 316 22 Martingale Models for the Short Rate 326 23 Forward Rate Models 340 24 Change of Numeraire 348 25 LIBOR and Swap Market Models 368 26 Forwards and Futures 389 A Measure and Integration 395 B Probability Theory 422 C Martingales and Stopping Times 443 References 453 Index 461 FinMath.com

Arbitrage Theory in Continuous Time (2nd ed) is also available from the Wilmott Bookshop.

a very good book

The Wilmott Bookshop gives a list of contents for both the first edition and the second edition which may help you.Laura

the new edition includes some important part of martingale application to the finance. And the appendix also includes some knowledge on measure theory, conditional expection, etc.Anyway, I took his course last semester. Very useful course taught by a very nice guy

Any comparisons between Bjork's book and Steve Shreve's "stochastic calculus for Finance II"? Which one is easily readable and clearer?

Bjork is definitely more readable than Shreve.

Whoops double click!

Arbitrage Theory in Continuous Timeby Tomas BjorkHardcover: 512 pages Publisher: Oxford University Press, USA; 3 edition (October 4, 2009)ISBN: 019957474X FinMath.com

has anyone seen the new edition?

Looks and reads like the second edition. Has "some" new material (e.g., martingale approach to investment problems and optimal stopping), but does not seem to add substantial value from the second edition.