金融数学方法

出版时间：2004-4  出版社：世界图书出版公司(此信息作废)  作者：Ioannis Karatzas  页数：415  
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内容概要

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.

书籍目录

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

用户评论 (总计10条)

•   如果能找到一本打算严肃地讲金融数学的书而没有提到Karatzas和Shreve的两本经典（另外一本是布朗运动），那真是很罕见的一件事情。可惜的是书的纸张不够好，很毛糙。
•   金融随机分析还是要学的
•   金融工程导学 用书
•   我觉得概率论与数理统计专业的看完布朗运动与随机积分，可以先看这本书，而金融专业的，去看shereve的金融随机分析就好了。
•   太难了！
•   帮别人买的·所以没打开···很不错···
•   买了四本，唯一好的书。
•   内容推荐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.内容推荐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.内容推荐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.内容推荐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.内容推荐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.
•   是送同学的，很满意，不过内容不知道能不能读懂了
•   书稍后再看。