金融數學方法
出版時間：2004-4 出版社：世界圖書出版公司(此信息作廢) 作者：Ioannis Karatzas 頁數：415
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內容概要
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.
書籍目錄
Preface1 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 Notes2 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 Notes3 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 Notes4 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 Notes5 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 Notes6 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 NotesAppendix A. Essential Supremum of a Family of Random VariablesAppendix B. On the Model of Section 1.1Appendix C. On Theorem 6.4.1Appendix D. Optimal Stopping for Continuons-Parameter ProcessesAppendix E. The Clark FormulaReferencesSymbol IndexIndex
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用戶評論 (總計10條)
- 如果能找到一本打算嚴肅地講金融數學的書而沒有提到Karatzas和Shreve的兩本經典（另外一本是布朗運動），那真是很罕見的一件事情?？上У氖菚募垙埐粔蚝茫苊?。
- 金融隨機分析還是要學的
- 金融工程導學 用書
- 我覺得概率論與數理統計專業(yè)的看完布朗運動與隨機積分，可以先看這本書，而金融專業(yè)的，去看shereve的金融隨機分析就好了。
- 太難了！
- 幫別人買的·所以沒打開···很不錯···
- 買了四本，唯一好的書。
- 內容推薦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.內容推薦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.內容推薦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.內容推薦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.內容推薦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.
- 是送同學的，很滿意，不過內容不知道能不能讀懂了
- 書稍后再看。