金融數學方法 pdf epub mobi txt 電子書 下載 2025

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☆☆☆☆☆

Ioannis Karatzas，Steven E.Shreve 著

圖書標籤:

• 金融數學
• 數學金融
• 量化金融
• 金融工程
• 隨機過程
• 偏微分方程
• 數值分析
• 概率論
• 統計學
• 投資學

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☆☆☆☆☆

開捲有益處,不忘送書人

評分☆☆☆☆☆

哲學和政治學隊伍，因此研究方法多為定性的方法。而西方正好相反，金融研究方嚮的隊伍具有很好的數理功底。其次是我國的金融市場的實際環境所決定。我國證券市場剛起步，也沒有一個統一的貨幣市場，投資者隊伍主要由中小投資者構成，市場投機成分高，因此不會産生對現代投資理論的需求，相應地，學術界也難以對此産生研究的熱情。

評分☆☆☆☆☆

陳雨露老師推薦的教材，值得認真一讀。

評分☆☆☆☆☆

半價的時候買的，很值，送貨速度很快。

評分☆☆☆☆☆

陳雨露老師推薦的教材，值得認真一讀。

評分☆☆☆☆☆

開捲有益處,不忘送書人

評分☆☆☆☆☆

對這本書感興趣，正在看

評分☆☆☆☆☆

很好

評分☆☆☆☆☆

很好