较全面的随机理论及其在金融中的运用。

[UseMoney=3] [/UseMoney] 1 Introduction to Probability Theory 11 2 Conditional Expectation 49 3 Arbitrage Pricing 59 4 The Markov Property 67 5 Stopping Times and American Options 77 6 Properties of American Derivative Securities 85 7 Jensen’s Inequality 91 8 RandomWalks 97 9 Pricing in terms ofMarket Probabilities: The Radon-Nikodym Theorem. 111 10 Capital Asset Pricing 119 11 General Random Variables 123 12 Semi-Continuous Models 131 13 BrownianMotion 139 14 The Itˆo Integral 153 15 Itˆo’s Formula 167 16 Markov processes and the Kolmogorov equations 177 17 Girsanov’s theorem and the risk-neutral measure 189 18 Martingale Representation Theorem 197 19 A two-dimensional market model 203

[此贴子已经被作者于2005-6-6 18:42:18编辑过]