金融随机分析-(第2卷) 本书特色

这是一套介绍随机分析在定量经济学领域中应用的著名教材，作者在该领域享有盛誉，全书共分2卷。第1卷主要包括随机分析基础性知识和离散时间模型；第2卷主要包括连续时间模型和该模型在经济学中的应用。就其内容而言，第2卷有较为实际的可操作性的定量经济学内容，同时也包含了较为完整的随机微分方程理论。本书各章有习题，适用于掌握微积分基础知识的大学高年级本科生和硕士研究生。...

金融随机分析-(第2卷) 内容简介

这是一套随机分析在定量经济学领域中应用方面的著名教材,作者在该领域享有盛誉,全书共分2卷。第1卷主要包括随机分析的基础性知识和离散时间模型;第2卷主要包括连续时间模型和该模型经济学中的应用。就其内容而言,第2卷有较为实际的可操作性的定量经济学内容,同时也包含了较为完整的随机微分方程理论。本书各章有习题,适用于掌握微积积分基础知识的大学高年级本科生和硕士研究生。

金融随机分析-(第2卷) 目录

1GeneralProbabilityTheory.1.1InfiniteProbabilitySpaces1.2RandomVariablesandDistributions1.3Expectations1.4ConvergenceofIntegrals1.5ComputationofExpectations1.6ChangeofMeasure1.7Sumroary1.8Notes1.9Exercises2InformationandConditioning2.1Informationanda-algebras2.2Independence2.3GeneralConditionalExpectations2.4Summary2.5Notes2.6Exercises3BrownianMotion3.1Introduction3.2ScaledRandomWalks3.3BrownianMotion3.4QuadraticVariation3.5MarkovProperty3.6FirstPassageTimeDistribution3.7ReflectionPrinciple3.8Summary3.9Notes3.10Exercises4StochasticCalculus4.1Introduction4.2Ito'sIntegralforSimpleIntegrands4.3Ito'sIntegralforGeneralIntegrands4.4Ito-DoeblinFormula4.5Black-Scholes-MertonEquation4.6MultivariableStochasticCalculus4.7BrownianBridge4.8Summary4.9Notes4.10Exercises5Risk-NeutralPricing5.1Introduction5.2Risk-NeutralMeasure5.3MartingaleRepresentationTheorem5.4FundamentalTheoremsofAssetPricing5.5Dividend-PayingStocks5.6ForwardsandFutures5.7Summary5.8Notes5.9Exercises6ConnectionswithPartialDifferentialEquations6.1Introduction6.2StochasticDifferentialEquations6.3TheMarkovProperty6.4PartialDifferentialEquations6.5InterestRateModels6.6MultidimensionalFeynman-KacTheorems6.7Summary..6.8Notes6.9Exercises7ExoticOptions7.1Introduction7.2MaximumofBrownianMotionwithDrift7.3Knock-outBarrierOptions7.4LookbackOptions7.5AsianOptions7.6Summary7.7Notes7.8Exercises8AmericanDerivativeSecurities8.1Introduction8.2StoppingTimes8.3PerpetualAmericanPut8.4Finite-ExpirationAmericanPut8.5AmericanCall8.6Summary8.7Notes8.8Exercises9ChangeofNumeraire9.1Introduction9.2Numeraire9.3ForeignandDomesticRisk-NeutralMeasures9.4ForwardMeasures9.5Summary9.6Notes9.7Exercises10Term-StructureModels10.1Introduction10.2Affine-YieldModels10.3Heath-Jarrow-MortonModel10.4ForwardLIBORModel10.5Summary10.6Notes10.7Exercises11IntroductiontoJumpProcesses11.1Introduction11.2PoissonProcess11.3CompoundPoissonProcess11.4JumpProcessesandTheirIntegrals11.5StochasticCalculusforJumpProcesses11.6ChangeofMeasure11.7PricingaEuropeanCallinaJumpModel11.8Summary11.9Notes11.10ExercisesAAdvancedTopicsinProbabilityTheoryA.1CountableAdditivityA.2Generatingp-algebrasA.3RandomVariablewithNeitherDensitynorProbabilityMassFunctionBExistenceofConditionalExpectationsCCompletionoftheProofoftheSecondFundamentalTheoremofAssetPricingReferencesIndex...