在綫閱讀本書
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.
發表於2024-06-08
Stochastic Calculus for Finance II 2024 pdf epub mobi 電子書 下載
a good book on stochastic calculus; really like the way Shreve does/talks math (highly recommend his other prob. books); certain level of math skill/background required
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。
圖書標籤: 金融數學 金融 數學 stochastic finance quant calculus quantitative
Shreve乃奇人也!數學證明非常elegant,深入淺齣。
評分It's the bible for math finance people, but not enough if you are really serious about math finance.
評分看這本書真是一種思維上的享受
評分看這本書真是一種思維上的享受
評分寫得超級無敵好!!終於覺得自己學懂瞭啊
Stochastic Calculus for Finance II 2024 pdf epub mobi 電子書 下載