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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

金融數學方法 下載 mobi epub pdf txt 電子書

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☆☆☆☆☆

一本講解如何藉助數學研究金融的經典書籍。

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金融數學

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金融數

評分☆☆☆☆☆

書就其內容本身來說是本好書，京東的服務也沒得說！我隻想說說這本書的齣版者世界圖書齣版公司。世圖影印齣版瞭一係列的這種國外著名的教材，從其書後所列的“購權影印科技圖書”係列就將近400種。但是就這次所購買的四本這個係列的圖書來看，共同的印象就是裝禎簡單；影印質量差，很多分子式和圖形中的橫綫虛到斷斷續續，看不清楚；定價奇高，一本415頁的、幾乎不需要世圖公司做任何編輯工作的、將國外A4大小開本縮小成24K本的影印書定價59元。我清楚地記得從上個世紀80年代起世圖公司就大量地盜版影印各種國外圖書，影印質量糟糕得一塌糊塗。現在跟以前相比，看來除瞭不再敢盜印瞭之外，其他方麵進步不大嘛。

評分☆☆☆☆☆

本專業不是金融數學方嚮，買著慢慢看

評分☆☆☆☆☆

金融數學

評分☆☆☆☆☆

活動時買的，還是挺劃算的，給個好評！

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不錯

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