A Course in Financial Calculus

出版者:Cambridge University Press

作者:Alison Etheridge

页数:206

出版时间:2002-07-15

价格:USD 39.99

装帧:Paperback

isbn号码:9780521890779

图书标签:金融数学金融数学经济Finance-Mathematics统计学kyo11

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This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.

用户评价

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RMSC4005

这本书整体还是不错的，有一点就是该书正部函数符号写在右下角看着实在别扭。 该书是随机分析入门书籍难度和sherve stochastic calculus Ⅱ 大致相当，并更具严谨性与规范性。

被stochastic虐出屎

RMSC4005