Stochastic Calculus for Finance I : The Binomial Asset Pricing Model金融的随机计算I：二项式资产定价模型
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作者： Steven E. Shreve著
出 版 社：
出版时间： 2004-4-1字数：版次： 1页数： 183印刷时间： 2004/04/01开本： 16开印次： 1纸张： 胶版纸I S B N ： 9780387401003包装： 精装内容简介
This book evolved from the first ten years of the Carnegie Mellon professional Master’s program in Computational Finance。The contents of the book have 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 refined through classroom experience with this material，are provided throughout the book。Volume I introduces the fundamental concepts in a discrete-time setting and Volume II builds on this foundation to develop stochastic calculus，martingales，risk-neutral pricing，exotic options，and term structure models，all in continuous time。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。Classroom-tested exercises conclude every chapter；some of these extend the theory while others are drawn from practical problems in quantitative finance。Instructor's manual available。
目录
1 The Binomial NoAritrage Pricing Model
1.1 One—Period Binomial Model
1.2 Multiperiod Binomial Model
1.3 Computational Considerations
1.4 Summary
1.5 Notes
1.6 Exercises
2 Probability Theory on Coin Toss Space
2.1 Finite Probability Spaces
2.2 Random Variables，Distributions，and Expectations
2.3 Conditional Expectations
2.4 Martingales
2.5 Markov Processes
2.6 Summary
2.7 Notes
2.8 Exercises
3 State Price6
3.1 Change of Measure
3.2 Radon—Nikod~m Derivative Process
3.3 Capital Asset Pricing Model
3.4 Summary
3.5 Notes
3.6 Exercises
4 American Derivative Securities
4.1 Introduction
4.2 Non—Path—Dependent American Derivatives
4.3 Stopping Times
4.4 General Anleriean Derivatives
4.5 American Call Options
4.6 Summary
4.7 Notes
4.8 Exercises
5 Random Walk
5.1 Introduction
5.2 First Passage Times
5.3 Reflection Principle
5.4 Perpetual American Put：An Example
5.5 Summary
5.6 Notes
5.7 Exercises
6 InterestRate—Dependent Assets
6.1 Introduction
6.2 Binomial Model for Interest Rates
6.3 Fixed一[nconle Derivatives
6.4 Forward MeasHres，
6.5 Futures
6.6 Summary
6.7 Notes
6.8 Exercises
Proof of Fundamental Properties of Conditional Expectations
References
Index
