Springer.Mathematics.of.Financial.Markets.[1999.ISBN0387985530]

《Springer.Mathematics.of.Financial.Markets.[1999.ISBN0387985530] 》由會員上傳分享，免費在線閱讀，更多相關內(nèi)容在學術論文-天天文庫。

1、MathematicsofFinancialMarketsRobertJ.ElliottP.EkkehardKoppSpringerContentsix9BondsandTermStructure2119.1MarketDynamics........................2119.2FuturePriceandFuturesContracts.............2159.3ChangingNum′eraire......................2199.4AGeneralOptionPricingFormula..........

2、....2229.5TermStructureModels....................2279.6Di?usionModelsfortheShort-TermRateProcess.....2299.7TheHeath–Jarrow–MortonModel..............2429.8AMarkovChainModel....................24710Consumption-InvestmentStrategies25110.1UtilityFunctions........................25110.

3、2AdmissibleStrategies......................25310.3UtilityMaximizationfromConsumption...........25810.4MaximizationofTerminalUtility...............26310.5UtilityMaximizationforBothConsumptionandTerminalWealth......................266References271Index289PrefaceThisworkisaimedatanau

4、diencewithasoundmathematicalbackgroundwishingtolearnabouttherapidlyexpanding?eldofmathematical?nance.Itscontentissuitableparticularlyforgraduatestudentsinmathematicswhohaveabackgroundinmeasuretheoryandprobability.Theemphasisthroughoutisondevelopingthemathematicalconceptsre-quiredf

5、orthetheorywithinthecontextoftheirapplication.Noattemptismadetocoverthebewilderingvarietyofnovel(or‘exotic’)?nancialinstru-mentsthatnowappearonthederivativesmarkets;thefocusthroughoutremainsonarigorousdevelopmentofthemorebasicoptionsthatlieattheheartoftheremarkablerangeofcurrentap

6、plicationsofmartingaletheoryto?nancialmarkets.The?rst?vechapterspresentthetheoryinadiscrete-timeframework.Stochasticcalculusisnotrequired,andthismaterialshouldbeaccessibletoanyonefamiliarwithelementaryprobabilitytheoryandlinearalgebra.Thebasicideaofpricingbyarbitrage(or,rather,byn

7、onarbitrage)ispresentedinChapter1.TheuniquepriceforaEuropeanoptioninasingle-periodbinomialmodelisgivenandthenextendedtomulti-periodbinomialmodels.Chapter2introducestheideaofamartingalemeasureforpricepro-cesses.Followingadiscussionoftheuseofself-?nancingtradingstrategiestohedgeagai

8、nsttradingrisk,itisshownhowoption