good files!!!

很好的一本金融学的电子书,希望你能从中有所收获

Description of the book:

   I have added appendices on measure theory, probability theory, and martmgale theory. These appendices can be used for a lighthearted but honest introductory course on the corresponding topics, and they define the prerequisites for the advanced parts of the main text In the appendices there is an emphasis on building intuition for basic concepts, such as measurability,conditional expectation, and measure changes. Most results aregiven formal proofs but for some results the reader is referred to the literature.
   There is a new chapter on the martingale approach to arbitrage theory, where we discuss (in some detail) the First and Second Fundamental Theorems of mathematical finance, i.e. the connectlOns between absence of arbitrage, the existence of martmgale measures, and completeness of the market. The full proofs of these results are very technical but I have tried to provide a fairly detailed guided tour through the theory, including the
Delbaen-Schachermayer proof of the First Fundamental Theorem.
   Following the chapter on the general martingale approach there is a separate chapter on martingale representation theorems and Girsanov transformations in a Wiener framework. Full proofs are gIven and I have also added a section on maximum likelihood estimation for diffusion processes.As the obvious applicatlOn of the machinery developed above, there is a chapter where the Black-Scholes model is dIscussed m detaIl from the martmgale point of view.
   There is also an added chapter on the martmgale approach to multidimenslOnal models, where these are investigated m some detail. In particular we discuss stochastic discount factors and derive the Hansen-Jagannathan bounds.
   The old chapter on changes of numeraire always suffered from the restriction to a MarkovIan setting. It has now been rewritten and placed in its
much more natural martingale setting.
   I have added a fairly extensive chapter on the LIBOR and swap market models which have become so important in interest rate theory.

书目如下:

     CONTENTS
1    Introduction
   1.1 Problem Formulation
2    The Binomial Model
   2.1 The One Period Model
      2.1.1 Model Description
      2.1.2 Portfolios and Arbitrage
      2.1.3 Contingent Claims
      2.1.4 Risk Neutral Valuation
   2.2 The Multi-period Model
      2.2.1 Portfolios and Arbitrage
      2.2.2 Contingent Claims
   2.3 Exercises
   2.4 Notes
3    A More General One Period Model 
   3.1 The Model
   3.2 Absence of Arbitrage 
   3.3 Martingale Pricing 
   3.4 Completeness
   3.5 Stochastic Discount Factors 
   3.6 Exercises
4    Stochastic Integrals 
   4.1 Introduction 
   4.2 Information
   4.3 Stochastic Integrals 
   4.4 Martingales
   4.5 Stochastic Calculus and the Ito Formula
   4.6 Examples
   4.7 The Multi-dimensional Ito Formula
   4.8 Correlated Wiener Processes 
   4.9 Exercises
   4.10 Notes
5    Differential Equations 
   5.1 Stochastic Differential Equations 
   5.2 Geometric Brownian Motion
   5.3 The Linear SDE 
   5.4 The Infinitesimal Operator 
   5.5 Partial Differential Equations
   5.6 The Kolmogorov Equations
   5.7 Exercises
   5.8 Notes 79
6    Portfolio Dynamics
   6.1 Introduction
   6.2 Self-financing Portfolios
   6.3 Dividends
   6.4 Exercise
7    Arbitrage Pricing
   7.1 Introduction
   7.2 Contingent Claims and Arbitrage
   7.3 The Black-Scholes Equation
   7.4 Risk Neutral Valuation
   7.5 The Black-Scholes Formula
   7.6 OptlOns on Futures
      7.6.1 Forward Contracts
      7.6.2 Futures Contracts and the Black Formula
   7.7 Vilatility
      7.7.1 Historic Volatility
      7.7.2 Implied Volatility
   7.8 American options
   7.9 Exercises
   7.10 Notes
8    Completeness and Hedging
   8.1 Introduction
   8.2 Completeness in the Black-Scholes Model
   8.3 Completeness-Absence of Arbitrage
   8.4 Exercises
   8.5 Notes
9    Parity Relations and Delta Hedging
   9.1 Parity Relations
   9.2 The Greeks
   9.3 Delta and Gamma Hedging
   9.4 Exercises
10   The Martingale Approach to Arbitrage Theory'
   10.1 The Case with Zero Interest Rate
   10.2 Absence of Arbitrage
      10.2.1 A Rough Sketch of the Proof
      10.2.2 Precise Results
   10.3 The General Case 
   10.4 Completeness
   10.5 Martingale Pricing
   10.6 Stochastic Discount Factors
   10.7 Summary for the Working Economist
   10.8 Notes
11   The Mathematics of the Martingale Approach*
   11.1 Stochastic Integral Representations
   11.2 The Girsanov Theorem' Heuristics
   11.3 The Girsanov Theorem
   11.4 The Converse of the Girsanov Theorem
   11.5 Girsanov Transformations and Stochastic Differentials
   11.6 MaxImum Likelihood Estimation
   11.7 Exercises
   11.8 Notes
12   Black-Scholes from a Martingale Point of View*
   12.1 Absence of Arbitrage
   12.2 Pricing
   12.3 Completeness
13   Multidimensional Models: Classical Approach
   13.1 Introduction
   13.2 Pricing
   13.3 Risk Neutral Valuation
   13.4 Reducing the State Space
   13.5 Hedging
   13.6 Exercises 
14   Multidimensional Models: Martingale Approach*
   14.1 Absence of Arbitrage
   14.2 Completeness
   14.3 Hedging
   14.4 Pricing
   14.5 Markovian Models and PDEs
   14.6 Market Prices of Risk
   14.7 Stochastic Discount Factors
   14.8 The Hansen-Jagannathan Bounds
   14.9 Exercises
   14.10 Notes
15   Incomplete Markets
   15.1 Introduction
   15.2 A Scalar Non-priced Underlying Asset
   15.3 The Multidimensional Case
   15.4 A Stochastic Short Rate
   15.5 The Martingale Approach*
   15.6 Summing Up
   15.7 Exercises
   15.8 Notes
16   Dividends
   16.1 Discrete Dividends
      16.1.1 Price Dynamics and Dividend Structure
      16.1.2 Pricing Contingent Claims
   16.2 Continuous Dividends
      16.2.1 Continuous Dividend Yield
      16.2.2 The General Case
   16.3 Exercises
17   Currency Derivatives
   17.1 Pure Currency Contracts
   17.2 Domestic and Foreign Equity Markets
   17.3 Domestic and Foreign Market Prices of Risk
   17.4 Exercises
   17.5 Notes 
18   Barrier Options
   18.1 Mathematical Background
   18.2 Out Contracts
      18.2.1 Down-and-Out Contracts
      18.2.2 Up-and-Out Contracts
      18.2.3 Examples
   18.3 In Contracts
   18.4 Ladders
   18.5 Look backs
   18.6 Exercises
   18.7 Notes
19   Stochastic Optimal Control
   19.1 An Example
   19.2 The Formal Problem
   19.3 The Hamilton-Jacobi-Bellman Equation
   19.4 Handling the HJB Equation
   19.5 The Linear Regulator
   19.6 Optimal Consumption and Investment
      19.6.1 A Generalization
      19.6.2 Optimal Consumption
   19.7 The Mutual Fund Theorems
      19.7.1 The Case with No Risk Free Asset  
      19.7.2 The Case with a Risk Free Asset
   19.8 Exercises
   19.9 Notes
20   Bonds and Interest Rates
   20.1 Zero Coupon Bonds
   20.2 Interest Rates
      20.2 .1 Definitions
      20.2.2 Relations between dj(t, T), dp(t, T), and dr(t) 
      20.2.3 An Alternative View of the Money Account
   20.3 Coupon Bonds, Swaps, and Yields
      20.3.1 Fixed Coupon Bonds
      20.3.2 Floating Rate Bonds
      20.3.3 Interest Rate Swaps
      20.3.4 Yield and Duration
   20.4 Exercises
   20.5 Notes
21   Short Rate Models
   21.1 Generalities
   21.2 The Term Structure Equation
   21.3 Exercises
   21.4 Notes 
22   Martingale Models for the Short Rate
   22.1 Q-dynamics
   22.2 Inversion of the Yield Curve
   22.3 Affine Term Structures
      22.3.1 Definition and Existence
      22.3.2 A Probabilistic Discussion
   22.4 Some Standard Models
      22.4.1 The Vasicek Model
      22.4.2 The Ho-Lee Model
      22.4.3 The CIR Model
      22.4.4 The Hull-White Model
   22.5 Exercises 
   22.6 Notes 
23   Forward Rate Models
   23.1 The Heath-Jarrow-Morton Framework
   23.2 Martingale Modeling
   23.3 The Muslela Parameterization
   23.4 Exercises
   23.5 Notes
24   Change of Numeraire* 
   24.1 Introduction
   24.2 Generalities
   24.3 Changing the Numeraire
   24.4 Forward Measures
      24.4.1 Using the T-bond as Numeraire
      24.4.2 An Expectation Hypothesis
   24.5 A General Option Pricing Formula
   24.6 The Hull-White Model
   24.7 The General Gaussian Model
   24.8 Caps and Floors
   24.9 Exercises
   24.10 Notes
25   LIBOR and Swap Market Models
   25.1 Caps: Definition and Market Practice
   25.2 The LIBOR Market Model
   25.3 Pricing Caps in the LIBOR Model
   25.4 Terminal Measure Dynamics and Existence
   25.5 Calibration and Simulation
   25.6 The Discrete Savings Account
   25.7 Swaps
   25.8 Swaptions: Definition and Market Practice
   25.9 The Swap Market Models
   25.10 Pricing Swaptions in the Swap Market Model
   25.11 Drift Conditions for the Regular Swap Market Model
   25.12 Concluding Comment
   25.13 Exercises
   25.14 Notes
26   Forwards and Futures
   26.1 Forward Contracts
   26.2 Futures Contracts
   26.3 Exercises
   26.4 Notes
A    Measure and Integration*
   A.1 Sets and Mappings
   A.2 Measures and Sigma Algebras
   A.3 Integration
   A.4 Sigma-Algebras and Partitions  
   A.5 Sets of Measure Zero
   A.6 The LP Spaces
   A.7 Hilbert Spaces
   A.8 Sigma-Algebras and Generators   
   A.9 Product measures
   A.I0 The Lebesgue Integral
   A.11 The Radon-Nikodym Theorem
   A.12 Exercises
   A.13 Notes
B    Probability Theory*
   B.1 Random Variables and Processes
   B.2 Partitions and Information
   B.3 Sigma-algebras and Information
   B.4 Independence
   B.5 Conditional Expectations
   B.6 Equivalent Probability Measures
   B.7 Exercises
   B.8 Notes
C    Martingales and Stopping Times*
   C.1 Martingales
   C.2 Discrete Stochastic Integrals
   C.3 Likelihood Processes
   C.4 Stopping Times
   C.5 Exercises
References
Index