出版社:世界图书出版公司北京公司
年代:2010
定价:49.0
本书通过无套利原理讲述了衍生证券定价和对冲理论的数学知识。全书内容分为两个部分,第一部分讲述基础理论,仅限于有限概率空间情形;第二部分陈列了作者七篇原著作的更新版本,分析了半鞅理论普通框架中的议题。
Some Measure Theoretical Lemmas
10 A Simple Counter-Example to Several Problems in the Theory of AssetPricing (1998)
10.1 Introduction and K~iown Results'.
10.2 Construction of the Example
10.3 Incomplete Markets
11 The No-Arbitrage Property under a Change of Numeraire (1995)
11.1 Introduction
11.2 Basic Theorems
11.3 Duality Relation
11.4 Hedging and Change of Numraire
12 The Existence of Absolutely Continuous Local Martingale Measures (1995)
12.1 Introduction
12.2 The Predictable Radon-Nikodym Derivative
12.3 The No-Arbitrage Property and Immediate Arbitrage.,
12.4 The Existence of an Absolutely Continuous
Local Martingale Measure
13 The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997)
13.1 Introduction
13.2 Maximal Admissible Contingent Claims
13.3 The Banach Space Generated by Maximal Contingent Claims
13.4 Some Results on the Topology of
13.5 The Value of Maximal Admissible Contingent Claims on the Set Me
13.6 The Space s under a Numdraire Change
13.7 The Closure of s and Related Problems
14 The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes (1998)
14.1 Introduction
14.2 Sigma-martingales
14.3 One-period Processes
14.4 The General Rd-valued Case
14.5 Duality Results and Maximal Elements
15 A Compactness Principle for Bounded Sequences of Martingales with Applications (1999)
15.1 Introduction
15.2 Notations and Preliminaries
15.3 An Example
15.4 A Substitute of Compactness for Bounded Subsets of H1
15.4.1 Proof of Theorem 15.A
15.4.2 Proof of Theorem 15.C
15.4.3 Proof of Theorem 15.B
15.4.4 A proof of M. Yor's Theorem ..
15.4.5 Proof of Theorem 15.D
15.5 Application
Part III Bibliography
References
《套利数学》:数学经典教材 《套利数学》包括了Models of Financial Markets on Finite Probability Spaces Utility Maximisation on Finite Probability Spaces、Bachelier and BlackScholes、The Kreps-Yan Theorem、The Dalang-Morton-Willinger Theorem A Primer in Stochastic Integration……等等。【作者简介】作者:(瑞士)戴尔贝恩(Delbaen.F.)
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出版地 | 北京 | 出版单位 | 世界图书出版公司北京公司 |
版次 | 影印本 | 印次 | 1 |
定价(元) | 49.0 | 语种 | 英文 |
尺寸 | 23 × 15 | 装帧 | 平装 |
页数 | 396 | 印数 | 1000 |
套汇数学是世界图书出版公司北京公司于2010.9出版的中图分类号为 F224.0 的主题关于 经济数学-英文 的书籍。