图灵数学·统计学丛书06-金融数学教程【配套英文版】-[英]a·埃瑟里奇-剑桥大学出版-2002

《图灵数学·统计学丛书06-金融数学教程【配套英文版】-[英]a·埃瑟里奇-剑桥大学出版-2002》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、ThispageintentionallyleftblankACourseinFinancialCalculusACourseinFinancialCalculusAlisonEtheridgeUniversityofOxfordCAMBRIDGEUNIVERSITYPRESSCambridge,NewYork,Melbourne,Madrid,CapeTown,Singapore,SãoPauloCambridgeUniversityPressTheEdinburghBuilding,CambridgeCB28RU,UKPublishedintheUnitedStatesofAmer

2、icabyCambridgeUniversityPress,NewYorkwww.cambridge.orgInformationonthistitle:www.cambridge.org/9780521890779©CambridgeUniversityPress2002Thispublicationisincopyright.Subjecttostatutoryexceptionandtotheprovisionofrelevantcollectivelicensingagreements,noreproductionofanypartmaytakeplacewithoutthew

3、rittenpermissionofCambridgeUniversityPress.Firstpublishedinprintformat2002ISBN-13978-0-511-33725-3eBook(EBL)ISBN-100-511-33725-6eBook(EBL)ISBN-13978-0-521-89077-9paperbackISBN-100-521-89077-2paperbackCambridgeUniversityPresshasnoresponsibilityforthepersistenceoraccuracyofurlsforexternalorthird-p

4、artyinternetwebsitesreferredtointhispublication,anddoesnotguaranteethatanycontentonsuchwebsitesis,orwillremain,accurateorappropriate.ContentsPrefacepagevii1Singleperiodmodels1Summary11.1Somedefinitionsfromfinance11.2Pricingaforward41.3Theone-stepbinarymodel61.4Aternarymodel81.5Acharacterisationofn

5、oarbitrage91.6Therisk-neutralprobabilitymeasure13Exercises182Binomialtreesanddiscreteparametermartingales21Summary212.1Themultiperiodbinarymodel212.2Americanoptions262.3DiscreteparametermartingalesandMarkovprocesses282.4Someimportantmartingaletheorems382.5TheBinomialRepresentationTheorem432.6Ove

6、rturetocontinuousmodels45Exercises473Brownianmotion51Summary513.1Definitionoftheprocess513.2Levy’sconstructionofBrownianmotion´563.3Thereflectionprincipleandscaling593.4Martingalesincontinuoustime63Exercises674Stochasticcalculus71Summary71vvicontents4.1Stockpricesarenotdifferentiable724.2Stochasti

7、cintegration744.3Ito’sformulaˆ854.4IntegrationbypartsandastochasticFubiniTheorem934.5TheGirsanovTheorem964.6TheBrownianMartingaleRepresentationTheorem1004.7WhygeometricBrownianmotion?1024.8TheFeynman–Kacrepresentation102Exer