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名校购书信息
关键词:
Stochastic Calculus and Financial Applications
书目信息
ISBN:
9780387950167(13位)
中图分类号:
F8
杜威分类号:
中文译名:
随机演算及其在金融问题上的应用
作者:
Steele
编者:
语种:
English
出版信息
出版社:
Springer
出版地:
出版年:
2003
版本:
1st ed. 2001. Corr. 3rd printing
版本类型:
原版
丛书题名:
Stochastic Modelling and Applied Probability Vol. 45
卷期:
文献信息
关键词:
Mathematics
前言:
摘要:
内容简介:
16This book is designed for students who want to develop professional skills in stochastic calculus and its application to problems in finance. The Wharton School course on which the book is based is designed for energetic students who have had some experience with probability and statistics, but who have not had advanced courses in stochastic processes. Even though the course assumes only a modest background, it moves quickly and - in the end - students can expect to have the tools that are deep enough and rich enough to be relied upon throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more demanding development of continuous time stochastic process, especially Brownian motion. The construction of Brownian motion is given in detail, and enough materia 16l on the subtle properties of Brownian paths is developed so that the student should sense of when intuition can be trusted and when it cannot. The course then takes up the It's integral and aims to provide a development that is honest and complete without being pedantic. With the It's Integral in hand, the course focuses more on models. Stochastic processes of importance in Finance and Economics are developed in concert with the tools of stochastic calculus that are needed in order to solve problems of practical importance. The financial notion of replication is developed, and the Black-Scholes PDE is derived by three different methods. The course then introduces enough of the theory of the diffusion equation to be able to solve the Black-Scholes PDE and prove the uniqueness of the solution. 04From the contents:- Random Walk and First Step Analysis- First Martingale Steps- Brownian Motion- Martingale: The Next Steps- Richness of Paths- It's Integration- Localization and It 's Integral- It 's Formula- Stochastic Differential Equations- Arbitrage and SDEs- The Diffusion Equation- Representation Theorem- Girsanov Theory- Arbitrage and Martingales- The Feynman-Kac Connection- Appendix I. Mathematical Tools- Appendix II. Comments and Credits- Bibliography- Index
目次:
Random Walk and First Step Analysis.- First Martingale Steps.- Brownian Motion.- Martingale: The Next Steps.Richness of Paths.- It?Integration.- Localization and It?s Integral.- It?s Formula.- Stochastic Differential Equations.- Arbitrage and SDEs.- The Diffusion Equation.Representation Theorem.- Girsanov Theory.- Arbitrage and Martingales.- The Feynman-Kac Connection.- Appendix I. Mathematical Tools.- Appendix II. Comments and Credits.Bibliography.- Index.
附录:
全文链接:
读者对象:
grad.
实体信息
页码:
装帧:
hard
尺寸:
其它形态细节:
其它信息
原价:
EUR
74.9500
原版ISBN:
其它ISBN:
图书特色:
书评:
扩展信息
Isbn:
0387950168
issue:
2006JC01
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