随机金融基础
￥ 104.75 5.5折 ￥ 189 九五品
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作者【俄罗斯】A.N.谢里亚耶夫
出版社世界图书出版公司
ISBN9787519264208
出版时间2019-08
版次1
装帧平装
开本16开
纸张胶版纸
页数852页
定价189元
上书时间2024-08-04
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基本信息
书名:随机金融基础
定价：189.00元
作者:【俄罗斯】A.N.谢里亚耶夫
出版社：世界图书出版公司
出版日期：2019-08-01
ISBN：9787519264208
字数：
页码：852
版次：
装帧：平装
开本：16开
商品重量：
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内容提要
目录
ForewordPart 1．Facts．ModelsChapter I．Main Concepts，Structures，and InstrumentsAims and Problems of Financial Theoryand Financial Engineering1．Financial structures and instruments§1a．Key objects and structures§1b．Financial markets§1c．Market of derivatives．Financial instruments2．Financial markets under uncertainty．Classical theories ofthe dynamics of financial indexes，their critics and revisionNeoclassical theories§2a．Random walk conjecture and concept of efficient market§2b．Investment portfolio．Markowitz'S diversification§2c．CAPM：Capital Asset Pricing Model§2d．APT：Arbitrage Pricing Theory§2e．Analysis，interpretation，and revision of the classical concepts of efficient market§2f．Analysis，interpretation，and revision of the classical conceDts of efficient market．II3．Aims and problems offinancial theory，engineering， and actuarial calculations§3a．Role of financial theory and financial engineering．Financial risks§3b．Insurance：a social mechanism of compensation for financial 10sse8§3c．A classical example of actuarial calculations：the Lundberg-Cramer theoremChapter II．Stochastic Models．Discrete Time1．Necessary probabilistic concepts and several models of the dynamics of market prices§1a．Uncertainty and irregularity in the behavior of prices．Their description and representation in probabilistic terms§1b．Doob decomposition．Canonical representations§1c．Local martingales．Martingale transformations．Generalized martingales§1d．Gaussian and conditionally Ganssian models§1e．Binomial model of price evolution§1f．Models with discrete intervention of chance2．Linear stochastic models§2a．Moving average model MA(q)§2b．Autoregressive model AR(p)§2c．Autoregressive and moving average model ARMA(p，q) and integrated model ARIMA(p，d，q)§2d．Prediction in linear models3．Nonlinear stochastic conditionally Gaussian models§3a．ARCH and GARCH models§3b．EGARCH,TGARCH,HARCH,and other models§3c．Stochastic volatility models4．Supplement：dynamical chaos models§4a．Nonlinear chaotic models§4b．Distinguishing between'chaotic'and'stochastic'sequencesChapter III．Stochastic Models．Continuous Time1．Non-Gaussian models of distributions and processes§1a．Stable and infinitely divisible distributions§1b．Ldvy processes§1c．Stable processes§1d．Hyperbolic distributions and processes2．Models with self-similarity．Fractality§2a．Hurst'S statistical phenomenon of self-similarity§2b．A digression on fractal geometry§2c．Statistical sel5similarity．Fractal Brownian motion§2d．Fractional Gaussian noise：a process with strong aftereffect3．Modelased on a Brownian motion§3a．Brownian motion and its role of a basic process……Chapter IV．Statistical Analysis of Financial DataPart 2．TheoryChapter V．Theory of Arbitrage in Stochastic Financial Models．Discrete TimeChapter VI．Theory of Pricing in Stochastic Financial Models．Discrete TimeChapter VII．Theory of Arbitrage in Stochastic Financial Models． Continuous TimeChapter VIII．Theory of Pricing in Stochastic Financial Models.Continuous Time
作者介绍
Albert N. Shiryaev，俄罗斯数学家，斯捷克洛夫数学研究所和莫斯科州立大学（Steklov Mathematical Institute and Moscow State University）教授，1974年获马尔可夫奖。
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