金融数学方法 epub pdf mobi txt 电子书 下载 2024

金融数学方法 epub pdf mobi txt 电子书 下载 2024

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金融数学方法 epub pdf mobi txt 电子书 下载 2024

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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

金融数学方法 epub pdf mobi txt 电子书 下载 2024

金融数学方法 下载 epub mobi pdf txt 电子书 2024

评分☆☆☆☆☆

好

评分☆☆☆☆☆

世图的影印书出得不错，很具有学术参考价值。

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☆☆☆☆☆

金融数

评分☆☆☆☆☆

在国内不

评分☆☆☆☆☆

很经典的一本教材，老师推荐的。

评分☆☆☆☆☆

书很新，速度很快，很满意

评分☆☆☆☆☆

很好

评分☆☆☆☆☆

内容详细、丰富，从中获益不小。

类似图书 点击查看全场最低价