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

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☆☆☆☆☆

买来以后看的，质量还不错

评分☆☆☆☆☆

在国内不

评分☆☆☆☆☆

很经典的一本教材，老师推荐的。

评分☆☆☆☆☆

金融数学

评分☆☆☆☆☆

陈雨露老师推荐的教材，值得认真一读。

评分☆☆☆☆☆

不错

评分☆☆☆☆☆

帮朋友买的，朋友说书还不错

评分☆☆☆☆☆

陈雨露老师推荐的教材，值得认真一读。

评分☆☆☆☆☆

= =还是那句话。纸质达不到我的要求，印刷过糙了