Stochastic Methods in Asset Pricing

Stochastic Methods in Asset Pricing pdf epub mobi txt 电子书 下载 2025

Andrew Lyasoff is affiliated with the Mathematical Finance Program at Boston University's Questrom School of Business.

出版者:The MIT Press
作者:Andrew Lyasoff
出品人:
页数:632
译者:
出版时间:2017-8-25
价格:USD 75.00
装帧:Hardcover
isbn号码:9780262036559
丛书系列:
图书标签:
  • 金融 
  • 数学 
  • 金融工程 
  • 资产定价 
  • 经济,政治和历史 
  • 数学和计算机 
  • pricing 
  • Asset 
  •  
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This book presents a self-contained, comprehensive, and yet concise and condensed overview of the theory and methods of probability, integration, stochastic processes, optimal control, and their connections to the principles of asset pricing. The book is broader in scope than other introductory-level graduate texts on the subject, requires fewer prerequisites, and covers the relevant material at greater depth, mainly without rigorous technical proofs. The book brings to an introductory level certain concepts and topics that are usually found in advanced research monographs on stochastic processes and asset pricing, and it attempts to establish greater clarity on the connections between these two fields.

The book begins with measure-theoretic probability and integration, and then develops the classical tools of stochastic calculus, including stochastic calculus with jumps and Lévy processes. For asset pricing, the book begins with a brief overview of risk preferences and general equilibrium in incomplete finite endowment economies, followed by the classical asset pricing setup in continuous time. The goal is to present a coherent single overview. For example, the text introduces discrete-time martingales as a consequence of market equilibrium considerations and connects them to the stochastic discount factors before offering a general definition. It covers concrete option pricing models (including stochastic volatility, exchange options, and the exercise of American options), Merton's investment--consumption problem, and several other applications. The book includes more than 450 exercises (with detailed hints). Appendixes cover analysis and topology and computer code related to the practical applications discussed in the text.

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Andrew的这本书是很有诚意的,为这个打五星。大多数人学stochastic calculus最多学到brownian motion再加一点poisson process到底了,而这些只不过是semimartingale体系的特例而已,这本书是少数几本愿意为了非数学专业的人弥补这中间的知识鸿沟而写的书。缺点也很明显,书中关于金融的内容还是太少了。

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