A partial introduction to financial asset pricing theory

author: Philip Protter

Philip Protter是Stochastic Integration and Differential Equations这本书的作者。这篇文章是从半鞅开始介绍定价理论的，最后还简单介绍了倒向随机微分方程在经济学中的自然应用，文章不长，只有35页，风格和Stochastic Integration and Differential Equations一样，推荐给喜欢这本书风格的同学。

Abstract
We present an introduction to mathematical Finance Theory for mathematicians. The approach is to start with an abstract setting and then introduce hypotheses as needed to develop the theory. We present the basics of European call and put options, and we show the connection between American put options and backwards stochastic di erential equations.

Keywords: Financial asset pricing theory; Options; Arbitrage; Complete markets; Numeraire invariance; Semimartingale; Backwards stochastic differential equations

估计很多在大学的同学可以在http://www.sciencedirect.com/science/journal/03044149下载到，直接可以被认出来是某某大学的IP，不行的话用自己大学图书馆的专用IP。如果没有以上途径，那就买下面的吧。如果连5块钱都没有，那就把email留在下面，我回头发给你们。

[此贴子已经被作者于2008-5-25 3:11:37编辑过]