金融市场用的数学方法（英文）

图书标准信息

• 作者 [法]詹布兰科（Jeanblanc J.） 著
• 出版社 世界图书出版公司
• 出版时间 2013-03
• 版次 1
• ISBN 9787510058431
• 定价 99.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 732页
• 正文语种 英语

【内容简介】

　　WetranslatetothedomainofmathematicalfinancewhatF.Knightwrote，insubstance，intheprefaceofhisEssentialsofBrownianMotionandDiffusion（1981）:"ittakessometemerityfortheprospectiveauthortoembarkonyetanotherdiscussionoftheconceptsandmainapplicationsofmathematicalfinance".Yet，thisiswhatwehavetriedtodoinourownway，afterconsiderablehesitation.

【目录】

PartIContinuousPathProcesses
1Continuous-PathR.andomProcesses:MathematicalPrerequisites
1.1SomeDefinitions
1.1.1Measurability
1.1.2MonotoneClassTheorem
1.1.3ProbabilityMeasures
1.1.4Filtration
1.1.5LawofaRandomVariable,Expectation
1.1.6Independence
1.1.7EquivalentProbabilitiesandRadon-NikodymDensities
1.1.8ConstructionofSimple.ProbabilitySpaces
1.1.9ConditionalExpectation
1.1.10StochasticProcesses
1.1.11Convergence
1.1.12LaplaceTransform
1.1.13GaussianProcesses
1.1.14MarkovProcesses
1.1.15UniformIntegrability
1.2Martingales
1.2.1DefinitionandMainProperties
1.2.2SpacesofMartingales
1.2.3StoppingTimes
1.2.4LocalMartingales
1.3ContinuousSemi-martingales
1.3.1BracketsofContinuousLocalMartingales
1.3.2BracketsofContinuousSemi-martingales
1.4BrownianMotion
1.4.1One-dimensionalBrownianMotion
1.4.2d-dimensionalBrownianMotion
1.4.3CorrelatedBrownianMotions
1.5StochasticCalculus
1.5.1StochasticIntegration
1.5.2IntegrationbyParts
1.5.3Ito'sFormula:TheFu.ndamentalFormulaofStochasticCalculus
1.5.4StochasticDifferentialEquations
1.5.5StochasticDifferentialEquations:TheOne-dimensionalCase
1.5.6PartialDifferentialEquations
1.5.7Doleans-DadeExponential
1.6PredictableRepresentationProperty
1.6.1BrownianMotionCase
1.6.2TowardsaGeneralDefinitionofthePredictableRepresentationProperty
1.6.3Dudley'sTheorem
1.6.4BackwardStochasticDifferentialEquations,
1.7ChangeofProbabilityandGirsanov'sTheorem
1.7.1ChangeofProbability
1.7.2DecompositionofIP-MartingalesasQ-semi-martingales
1.7.3Girsanov'sTheorem:TheOne-dimensionalBrownianMotionCase
1.7.4MultidimensionalCase
1.7.5AbsoluteContinuity
1.7.6ConditionforMartingalePropertyofExponentialLocalMartingales
1.7.7PredictableRepresentationPropertyunderaChangeofProbability
1.7.8AnExampleofInvarianceofBMunderChangeofMeasure
2BasicConceptsandExamplesinFinance
2.1ASemi-martingaleFramework
2.1.1TheFinancialMarket
2.1.2ArbitrageOpportunities
2.1.3EquivalentMartingaleMeasure
2.1.4AdmissibleStrategies
2.1.5CompleteMarket
2.2ADiffusionModel
2.2.1AbsenceofArbitrage
2.2.2CompletenessoftheMarket
2.2.3PDEEvaluationofContingentClaimsinaCompleteMarket
2.3TheBlackandScholesModel
2.3.1TheModel
……

PartIIJumpProcesses

IndexofAuthors
IndexofSymbols
SubjectIndex