Stochastic Calculus for Finance II pdf epub mobi txt 電子書下載2025

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出版者:Springer

作者:Steven E. Shreve

出品人:

頁數:550

译者:

出版時間:2008-6-19

價格:GBP 49.99

裝幀:Hardcover

isbn號碼:9780387401010

叢書系列:springer finance

圖書標籤:

金融數學
金融
數學
stochastic
finance
quant
calculus
quantitative

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Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes. This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time. Master's level students and researchers in mathematical finance and financial engineering will find this book useful.

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評分☆☆☆☆☆

如果作為入門的話，顯然Okesendal的書或者 Arbitrage Theory in Continuous time甚至John Hull的書都更加適閤對隨機分析進行入門和直觀的理解。如果僅有概率論基礎的話，讀此書很容易陷入各種數學推導和難以直觀理解的定義裏，建議對隨機分析一定直觀理解之後再讀此書好些。

評分☆☆☆☆☆

Duffie寫瞭一篇長文推薦該書，論述嚴謹，見解深刻，行文又盡力使人容易理解，可謂難得。缺少瞭最優投資組閤、市場均衡等內容，經濟學味道淡些，但這也說明那些內容對業界不是那麼重要，從金融危機的情況看，這類經濟學傳統理論基本上不管用。

評分☆☆☆☆☆

非常好的一本書。前六章可能要花3-4遍去啃下來，知道能仔細理解裏麵的很多概念與實際的金融市場時間的關係的話。裏麵甚至解釋瞭為什麼會挑隨機微積分中的Ito積分來處理金融問題。作者還花瞭好多精力來強調quadratic variation給Ito微積分帶來的影響。 Girsanov thm, 和Mart...

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