金融數學方法 下載 mobi epub pdf 電子書 2025

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☆☆☆☆☆

Ioannis Karatzas，Steven E.Shreve 著

齣版社： 世界圖書齣版公司

ISBN：9787506266116

版次：1

商品編碼：10096022

包裝：平裝

開本：24開

齣版時間：2004-04-01

用紙：膠版紙

頁數：415

正文語種：英文

內容簡介

This book is intended for readers who are quite familiar with probability and stochastic processes but know little or nothing about finance. It is written in the definition/theorem/proof style of modern mathematics and attempts to explain as much of the finance motivation and terminology as possible.

目錄

Preface
1 A Brownian Model of Financial Markets
1.1 Stocks and a Money Market
1.2 Portfolio and Gains Processes
1.3 Income and Wealth Processes
1.4 Arbitrage and Market Viability
1.5 Standard Financial Markets
1.6 Completeness of Financial Markets
1.7 Financial Markets with an Infinite Planning Horizon
1.8 Notes

2 Contingent Claim Valuation in a Complete Market
2.1 Introduction
2.2 European Contingent Claims
2.3 Forward and Futures Contracts
2.4 European Options in a Constant-Coefficient Market
2.5 American Contingent Claims
2.6 The American Call Option
2.7 The American Put Option
2.8 Notes
3 Single-Agent Consumption and Investment
3.1 Introduction
3.2 The Financial Market
3.3 Consumption and Portfolio Processes
3.4 Utility Functions
3.5 The Optimization Problems
3.6 Utility from Consumption and Terminal Wealth
3.7 Utility from Consumption or Terminal Wealth
3.8 Deterministic Coefficients
3.9 Consumption and Investment on an Infinite Horizon
3.10 Maximization of the Growth Rate of Wealth
3.11 Notes

4 Equilibrium in a Complete Market
4.1 Introduction
4.2 Agents, Endowments, and Utility Functions
4.3 The Financial Market: Consumption and Portfolio Processes
4.4 The Individual Optimization Problems
4.5 Equilibrium and the Representative Agent
4.6 Existence and Uniqueness of Equilibrium
4.7 Examples
4.8 Notes

5 Contingent Claims in Incomplete Markets
5.1 Introduction
5.2 The Model
5.3 Upper Hedging Price
5.4 Convex Sets and Support Functions
5.5 A Family of Auxiliary Markets
5.6 The Main Hedging Result
5.7 Upper Hedging with Constant Coefficients
5.8 Optimal Dual Processes
5.9 Lower Hedging Price
5.10 Lower Hedging with Constant Coefficients
5.11 Notes

6 Constrained Consumption and Investment
6.1 Introduction
6.2 Utility Maximization with Constraints
6.3 A Family of Unconstrained Problems
6.4 Equivalent Optimality Conditions
6.5 Duality and Existence
6.6 Deterministic Coefficients, Cone Constraints
6.7 Incomplete Markets
6.8 Higher Interest Rate for Borrowing Than for Investing
6.9 Notes
Appendix A. Essential Supremum of a Family of Random Variables
Appendix B. On the Model of Section 1.1
Appendix C. On Theorem 6.4.1
Appendix D. Optimal Stopping for Continuons-Parameter Processes
Appendix E. The Clark Formula
References
Symbol Index
Index

前言/序言

評分☆☆☆☆☆

作者中有一位是卡內基梅隆大學的知名教授，書寫的很好，非常適閤數學功底好的人閱讀。

評分☆☆☆☆☆

活動時買的，還是挺劃算的，給個好評！

評分☆☆☆☆☆

作者中有一位是卡內基梅隆大學的知名教授，書寫的很好，非常適閤數學功底好的人閱讀。

評分☆☆☆☆☆

對這本書感興趣，正在看

評分☆☆☆☆☆

這本書相當不錯，內容主要是關於數學金融方麵的。作者已有多部著作，頗受歡迎。專業性較強，需要相當的數學基礎。

評分☆☆☆☆☆

很經典的一本教材，老師推薦的。

評分☆☆☆☆☆

純屬好奇心，買來學習一下，希望有進步。

評分☆☆☆☆☆

不錯

評分☆☆☆☆☆

21世