这本书不消多说,是经典中的经典.

Steven Shreve: Stochastic Calculus and FinanceTotal pages are 348

Chapters:

1 Introduction to Probability Theory

2 Conditional Expectation

3 Arbitrage Pricing

4 The Markov Property

5 Stopping Times and American Options

6 Properties of American Derivative Securities

7 Jensen’s Inequality

8 RandomWalks

9 Pricing in terms ofMarket Probabilities: The Radon-Nikodym Theorem.

10 Capital Asset Pricing1

1 General Random Variables

12 Semi-Continuous Models

13 BrownianMotion

14 The Itˆo Integral

15 Itˆo’s Formula

16 Markov processes and the Kolmogorov equations

17 Girsanov’s theorem and the risk-neutral measure

18 Martingale Representation Theorem

19 A two-dimensional market model

20 Pricing Exotic Options

21 Asian Options

22 Summary of Arbitrage Pricing Theory

23 Recognizing a BrownianMotion

24 An outside barrier option

25 American Options

26 Options on dividend-paying stocks

27 Bonds, forward contracts and futures

28 Term-structure models2

9 Gaussian processes

30 Hull and White model

31 Cox-Ingersoll-Ross model

32 A two-factor model (Duffie & Kan)

33 Change of num´eraire

34 Brace-Gatarek-Musiela model