內容簡介
自三十多年前Black和Scholes的開創性工作齣現以來,金融數學這個現代學科無論在理論還是實踐方麵都經曆瞭巨大發展。《金融數學引論(英文版)》旨在介紹部分基礎理論,使得學生和研究人員瞭解後能夠閱讀更高級的教科書和研究文章。
《金融數學引論(英文版)》一開始討論瞭歐式和美式衍生産品在離散二叉樹模型(即離散時間和離散狀態)下套期保值和定價的基本思想的發展,然後介紹瞭一個一般的離散有限市場模型,並在此場閤中證明瞭資産定價的一些基本定理。概率論中的諸如條件期望、濾波、(超)鞅、等價鞅測度、鞅錶示等工具,在這個簡單的離散框架下被首次用到,從而搭建瞭通嚮連續(時間和狀態)場閤的橋梁,後者需要布朗運動和隨機分析的概念。連續場閤中*簡單的模型是著名的Black-Scholes模型,歐式和美式衍生産品的定價和套期保值因此有所發展。《金融數學引論(英文版)》*後介紹瞭連續市場模型的一些基本定理,這個模型在多個方麵推廣瞭簡單Black-Scholes模型。
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精彩書評
★本書敘述清晰,結構閤理,大部分結果都有詳細的證明。每章都配有習題,是一本很全麵的教材。
——EMS Newsletter
目錄
Preface
Chapter 1.Financial Markets and Derivatives
1.1.Financial Markets
1.2.Derivatives
1.3.Exercise
Chapter 2.Binomial Model
2.1.Binomial or CRR Model
2.2.Pricing a European Contingent Claim
2.3.Pricing an American Contingent Claim
2.4.Exercises
Chapter 3.Finite Market Model
3.1.Definition of the Finite Market Model
3.2.First Fundamental Theorem of Asset Pricing
3.3.Second Fundamental Theorem of Asset Pricing
3.4.Pricing European Contingent Claims
3.5.Incomplete Markets
3.6.Separating Hyperplane Theorem
3.7.Exercises
Chapter 4.Black-Scholes Model
4.1.Preliminaries
4.2.Black-Scholes Model
4.3.Equivalent Martingale Measure
4.4.European Contingent Claims
4.5.Pricing European Contingent Claims
4.6.European Call Option - Black-Scholes Formula
4.7.American Contingent Claims
4.8.American Call Option
4.9.American Put Option
4.10.Exercises
Chapter 5.Multi-dimensional Black-Scholes Model
5.1.Preliminaries
5.2.Multi-dimensional Black-Scholes Model
5.3.First Fundamental Theorem of Asset Pricing
5.4.Form of Equivalent Local Martingale Measures
5.5.Second Fundamental Theorem of Asset Pricing
5.6.Pricing European Contingent Claims
5.7.Incomplete Markets
5.8.Exercises
Appendix A.Conditional Expectation and LP-Spaces
Appendix B.Discrete Time Stochastic Processes
Appendix C.Continuous Time Stochastic Processes
Appendix D.Brownian Motion and Stochastic Integration
D.1.Brownian Motion
D.2.Stochastic Integrals (with respect to Brownian motion)
D.3.Ito Process
D.4.Ito Formula
D.5.Girsanov Transformation
D.6.Martingale Representation Theorem
Bibliography
Index
金融數學引論(英文版) [Introduction to the Mathematics of Finance] epub pdf mobi txt 電子書 下載 2024
金融數學引論(英文版) [Introduction to the Mathematics of Finance] 下載 epub mobi pdf txt 電子書
金融數學引論(英文版) [Introduction to the Mathematics of Finance] mobi pdf epub txt 電子書 下載 2024
金融數學引論(英文版) [Introduction to the Mathematics of Finance] epub pdf mobi txt 電子書 下載 2024