金融数学方法 pdf epub mobi txt 电子书 下载 2025

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Ioannis Karatzas，Steven E.Shreve 著

图书标签:

• 金融数学
• 数学金融
• 量化金融
• 金融工程
• 随机过程
• 偏微分方程
• 数值分析
• 概率论
• 统计学
• 投资学

出版社： 世界图书出版公司

ISBN：9787506266116

版次：1

商品编码：10096022

包装：平装

开本：24开

出版时间：2004-04-01

用纸：胶版纸

页数：415

正文语种：英文

内容简介

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.

目录

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

评分☆☆☆☆☆

这本书相当不错，内容主要是关于数学金融方面的。作者已有多部著作，颇受欢迎。专业性较强，需要相当的数学基础。

评分☆☆☆☆☆

作者中有一位是卡内基梅隆大学的知名教授，书写的很好，非常适合数学功底好的人阅读。

评分☆☆☆☆☆

陈雨露老师推荐的教材，值得认真一读。

评分☆☆☆☆☆

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评分☆☆☆☆☆

一本讲解如何借助数学研究金融的经典书籍。

评分☆☆☆☆☆

书很新，速度很快，很满意

评分☆☆☆☆☆

一本讲解如何借助数学研究金融的经典书籍。

评分☆☆☆☆☆

半价的时候买的，很值，送货速度很快。

评分☆☆☆☆☆

本专业不是金融数学方向，买着慢慢看