金融数学方法

图书标准信息

• 作者 Ioannis、Steven E.Shreve 著
• 出版社 世界图书出版公司
• 出版时间 2004-04
• 版次 1
• ISBN 9787506266116
• 定价 59.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 415页
• 正文语种 英语

【作者简介】

I. Karatzas，美国哥伦比亚大学（Columbia University）数理统计系教授。

【目录】

Preface
1ABrownianModelofFinancialMarkets
1.1StocksandaMoneyMarket
1.2PortfolioandGainsProcesses
1.3IncomeandWealthProcesses
1.4ArbitrageandMarketViability
1.5StandardFinancialMarkets
1.6CompletenessofFinancialMarkets
1.7FinancialMarketswithanInfinitePlanningHorizon
1.8Notes

2ContingentClaimValuationinaCompleteMarket
2.1Introduction
2.2EuropeanContingentClaims
2.3ForwardandFuturesContracts
2.4EuropeanOptionsinaConstant-CoefficientMarket
2.5AmericanContingentClaims
2.6TheAmericanCallOption
2.7TheAmericanPutOption
2.8Notes
3Single-AgentConsumptionandInvestment
3.1Introduction
3.2TheFinancialMarket
3.3ConsumptionandPortfolioProcesses
3.4UtilityFunctions
3.5TheOptimizationProblems
3.6UtilityfromConsumptionandTerminalWealth
3.7UtilityfromConsumptionorTerminalWealth
3.8DeterministicCoefficients
3.9ConsumptionandInvestmentonanInfiniteHorizon
3.10MaximizationoftheGrowthRateofWealth
3.11Notes

4EquilibriuminaCompleteMarket
4.1Introduction
4.2Agents,Endowments,andUtilityFunctions
4.3TheFinancialMarket:ConsumptionandPortfolioProcesses
4.4TheIndividualOptimizationProblems
4.5EquilibriumandtheRepresentativeAgent
4.6ExistenceandUniquenessofEquilibrium
4.7Examples
4.8Notes

5ContingentClaimsinIncompleteMarkets
5.1Introduction
5.2TheModel
5.3UpperHedgingPrice
5.4ConvexSetsandSupportFunctions
5.5AFamilyofAuxiliaryMarkets
5.6TheMainHedgingResult
5.7UpperHedgingwithConstantCoefficients
5.8OptimalDualProcesses
5.9LowerHedgingPrice
5.10LowerHedgingwithConstantCoefficients
5.11Notes

6ConstrainedConsumptionandInvestment
6.1Introduction
6.2UtilityMaximizationwithConstraints
6.3AFamilyofUnconstrainedProblems
6.4EquivalentOptimalityConditions
6.5DualityandExistence
6.6DeterministicCoefficients,ConeConstraints
6.7IncompleteMarkets
6.8HigherInterestRateforBorrowingThanforInvesting
6.9Notes
AppendixA.EssentialSupremumofaFamilyofRandomVariables
AppendixB.OntheModelofSection1.1
AppendixC.OnTheorem6.4.1
AppendixD.OptimalStoppingforContinuons-ParameterProcesses
AppendixE.TheClarkFormula
References
SymbolIndex
Index