Andrew Lyasoff is affiliated with the Mathematical Finance Program at Boston University's Questrom School of Business.
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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怎麼說呢,......
评分這本書俺讀的頭發都快沒瞭
评分Andrew的這本書是很有誠意的,為這個打五星。大多數人學stochastic calculus最多學到brownian motion再加一點poisson process到底瞭,而這些隻不過是semimartingale體係的特例而已,這本書是少數幾本願意為瞭非數學專業的人彌補這中間的知識鴻溝而寫的書。缺點也很明顯,書中關於金融的內容還是太少瞭。
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评分這本書俺讀的頭發都快沒瞭
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