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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 格式

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學是一門新興學科，是“金融高技術 ”的重要組成部分。研究金融數學有著重要的意義。 金融數學總的研究目標是利用我國數學界某些方麵的優勢，圍繞金融市場的均衡與有價證券定價的數學理論進行深入剖析，建立適閤我國國情的數學模型，編寫一定的計算機軟件，對理論研究結果進行仿真計算，對實際數據進行計量經濟分析研究，為實際金融部門提供較深入的技術分析谘詢。金融數學是在兩次華爾街革命的基礎上迅速發展起來的一門數學與金融學相交叉的前沿學科。其核心內容就是研究不確定隨機環境下的投資組閤的最優選擇理論和資産的定價理論。套利、最優與均衡是金融數學的基本經濟思想和三大基本概念。在國際上，這門學科已經有50 多年的發展曆史，特彆是近些年來，在許多專傢、學者們的努力下，金融數學中的許多理論得以證明、模擬和完善。金融數學的迅速發展，帶動瞭現代金融市場中金融産品的快速創新，使得金融交易的範圍和層次更加豐富和多樣。這門新興的學科同樣與我國金融改革和發展有緊密的聯係，而且其在我國的發展前景不可限量。

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= =還是那句話。紙質達不到我的要求，印刷過糙瞭

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金融數學

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金融數學

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陳雨露老師推薦的教材，值得認真一讀。

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很好

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純屬好奇心，買來學習一下，希望有進步。

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不錯

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