Stochastic Calculus for Finance II pdf epub mobi txt 电子书下载 2025

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出版者:Springer

作者:Steven E. Shreve

出品人:

页数:550

译者:

出版时间:2008-6-19

价格:GBP 49.99

装帧:Hardcover

isbn号码:9780387401010

丛书系列:springer finance

图书标签:

金融数学
金融
数学
stochastic
finance
quant
calculus
quantitative

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Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has 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 refine through classroom experience with this material are provided. 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. This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time. Master's level students and researchers in mathematical finance and financial engineering will find this book useful.

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读后感

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Duffie写了一篇长文推荐该书，论述严谨，见解深刻，行文又尽力使人容易理解，可谓难得。缺少了最优投资组合、市场均衡等内容，经济学味道淡些，但这也说明那些内容对业界不是那么重要，从金融危机的情况看，这类经济学传统理论基本上不管用。

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非常好的一本书。前六章可能要花3-4遍去啃下来，知道能仔细理解里面的很多概念与实际的金融市场时间的关系的话。里面甚至解释了为什么会挑随机微积分中的Ito积分来处理金融问题。作者还花了好多精力来强调quadratic variation给Ito微积分带来的影响。 Girsanov thm, 和Mart...

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a good book on stochastic calculus; really like the way Shreve does/talks math (highly recommend his other prob. books); certain level of math skill/background required

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用户评价

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妹的看了前几页就想吐血。。。。智商捉鸡，如何破。。

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有脑子就可以赚钱

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只能说好的 math finance 入门书实在不多。这本书的符号用的很累赘，特别是涉及 foreign currency 那章的符号可以用 terrible 来形容了。数学推导大篇幅是无关紧要的细节，对于整体思路的解释却不那么清晰；关于金融思想的解释就更是模糊了，比如对 risk-neutral pricing 的阐释总感觉没有到点子上，虽然其他大部分书也没有解释得令人满意。优点是这本书算是合理选择了入门金融数学的基本内容，能以此找其他资料补充展开

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我去你奶奶的MA571！！！

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非常非常好的书。不过感觉作者考虑到书的难度，很多证明和推导还是有意识的省略了细节，美式期权的部分写得也不如离散模型那本书思路那么清晰。不过的确是收获颇丰。