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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 电子书 下载 mobi epub pdf txt

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开卷有益处,不忘送书人

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内容详细、丰富，从中获益不小。

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21世

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本专业不是金融数学方向，买着慢慢看

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在国内不

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纯属好奇心，买来学习一下，希望有进步。

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书就其内容本身来说是本好书，京东的服务也没得说！我只想说说这本书的出版者世界图书出版公司。世图影印出版了一系列的这种国外著名的教材，从其书后所列的“购权影印科技图书”系列就将近400种。但是就这次所购买的四本这个系列的图书来看，共同的印象就是装祯简单；影印质量差，很多分子式和图形中的横线虚到断断续续，看不清楚；定价奇高，一本415页的、几乎不需要世图公司做任何编辑工作的、将国外A4大小开本缩小成24K本的影印书定价59元。我清楚地记得从上个世纪80年代起世图公司就大量地盗版影印各种国外图书，影印质量糟糕得一塌糊涂。现在跟以前相比，看来除了不再敢盗印了之外，其他方面进步不大嘛。

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好

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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。

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