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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
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