查看完整版本: Stochastic Calculus and Financial Applications

Stochastic Calculus and Financial Applications

Stochastic Calculus and Financial Applications

J. Michael Steele
Springer,2001
随机过程计算与金融应用，宾夕法尼亚大学沃顿商学院的教材.djvu格式.

1、[书名] Stochastic Calculus and Financial Applications随机过程与金融应用
2、[作者] J. Michael Steele
3、[出版社] Springer
4、[关键词] Stochastic, Financial
5、[内容简介] 宾夕法尼亚大学沃顿商学院的教材
The Wharton School course on which the book is based is designed for energetic students who have had some experience with probability and statistics, but who have not had advanced courses in stochastic processes. Even though the course assumes only a modest background, it moves quickly and - in the end - students can expect to have the tools that are deep enough and rich enough to be relied upon throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more demanding development of continuous time stochastic process, especially Brownian motion. The construction of Brownian motion is given in detail, and enough material on the subtle properties of Brownian paths is developed so that the student should sense of when intuition can be trusted and when it cannot. The course then takes up the It¿ integral and aims to provide a development that is honest and complete without being pedantic. With the It¿ integral in hand, the course focuses more on models. Stochastic processes of importance in Finance and Economics are developed in concert with the tools of stochastic calculus that are needed in order to solve problems of practical importance. The financial notion of replication is developed, and the Black-Scholes PDE is derived by three different methods. The course then introduces enough of the theory of the diffusion equation to be able to solve the Black-Scholes PDE and prove the uniqueness of the solution.
6、[分类] 经济学>>经济学分支科学>>经济统计学
7、[版本] 2001 英文版
8、[文件格式] djvu
9、[是否完整] 是
10、[定价] 89.95$
11、[ISBN号] 9780387950167
12、[是否是扫描版]  否
13、[目录]1. Random Walk and Firest Step Analysis
2. First Martingale Step
3. Brownian Motion
4. Martingalws: The Next Step
5. Richness of Paths
......

书评 (原创)

这本书我手头有，去年在princeton上这门课的时候用的，早知道能在这里找到就用不着花40多美金买了。

熟悉这个topic的应该知道Stochastic Calculus是个比较难的课题，当然是指对一般硕士生来说，
如果你是数学系或者非常相关方向的硕士，或者相关方向Ph.D.，那么你应该可以啃下来这本书。
其实即使你是读financial engineering 方向的硕士，也不一定需要读这本书，应该会学一些偏实用方向的期权定价的书，这本书比较偏理论化。
这本书对本科生应该是难度很大，我认为一般人啃不下来。

言归正传，说说这本书的具体情况，首先读这本书之前需要有哪些基础知识，
最好的情况是你学过Measure theorey（测度论），而且学过从测度论角度讲的Stochastic Process (随机过程).
如果稍微再懂些简单的经济学的问题那就完美了。
如果你没有学过测度论以及相应的随机过程，难度是比较大的，
但是如果上过几门概率统计还有随机模型（这个其实指的就是简单的随机过程）的课程，还是可以啃的，
但是需要花很多时间看其他关于测度论和随机过程的书。

另外，这本书其实已经简单化了，把一些理论问题回避了，综合看起来不能算一本讲理论的书，
只是对涉及到期权定价模型的一些必须要用到的定理概念等进行了描述。
如果你是致力于理论研究的话，应该选择其他书去读。

这本书从Martingale(鞅)讲起, 讲到了一些期权定价当中有关的定理并给了证明。
然后开始讲Brownian Motion(布朗运动)，构造布朗运动，然后分析它路径的一些性质。
再是Ito integral, local Martingale,
然后 给出了 Ito's Formula, 讨论了Stochastic differential equation.
最后给出Arbitrage（套利）概念，然后经典的期权定价 Black-Scholes 模型。

读的时候可以先读一些Arbitrage和期权定价的概念，也就是先了解了要解决的问题，
然后回过头来从Martingale的内容开始看，这样容易把握自己，否则可能学了很久也不知道自己要干什么。


上面楼主没有给出完整的目录，这里我给列一下，
1. Random Walk and First Step Analysis
2. First Martingale Steps
3. Brownian Motion
4. Martingales: the next steps
5. Richness of Paths
6. Ito Integration
7. Localization and Ito integral
8. Ito's Formula
9. Stochastic Differential equations
10. Arbitrage and SDEs
11. The diffusion equation
12. Representation Theorem
13. Girsanov Theory
14. Arbitrage And Martingales
15. The Feynman-Kac Connection

看来楼上是把这本书读透了，我不是这专业的，随手下载来的，就发到这来了，呵呵。

下不了？？
怎么回事？？

谢谢分享，可否修正一下下载链接或重新上传一份?

谢谢分享，可否修正一下下载链接或重新上传一份?多谢

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