金融数学方法

金融数学方法 下载 mobi epub pdf 电子书 2024


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Ioannis Karatzas,Steven E.Shreve 著



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发表于2024-11-14

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图书介绍

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


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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 下载 mobi epub pdf txt 电子书 格式

金融数学方法 mobi 下载 pdf 下载 pub 下载 txt 电子书 下载 2024

金融数学方法 下载 mobi pdf epub txt 电子书 格式 2024

金融数学方法 下载 mobi epub pdf 电子书
想要找书就要到 图书大百科
立刻按 ctrl+D收藏本页
你会得到大惊喜!!

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纯属好奇心,买来学习一下,希望有进步。

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对你们的服务很不满意,我的订单号19169666900,价格*,我已通过在线服务申请寄发票,可是至今没有收到发票(一个星期了)。

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内容详细、丰富,从中获益不小。

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对这本书感兴趣,正在看

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开卷有益处,不忘送书人

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对这本书感兴趣,正在看

评分

哲学和政治学队伍,因此研究方法多为定性的方法。而西方正好相反,金融研究方向的队伍具有很好的数理功底。其次是我国的金融市场的实际环境所决定。我国证券市场刚起步,也没有一个统一的货币市场,投资者队伍主要由中小投资者构成,市场投机成分高,因此不会产生对现代投资理论的需求,相应地,学术界也难以对此产生研究的热情。

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。

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