Stochastic Calculus and Finance I

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46783.rar (1.75 MB) 本附件包括：

• HW2.pdf
• HW3.pdf
• HW4.pdf
• HW5.pdf
• HW6.pdf
• HW7.pdf
• HW8.pdf
• HW9.pdf
• HW.pdf
• Lecture1.pdf
• Lecture2.pdf
• Lecture3.pdf
• Lecture5.pdf
• Lecture6.pdf
• Lecture7.pdf
• Lecture8.pdf
• Lecture9.pdf
• Lecture10.pdf
• CourseDescription.html
• FXX.pdf
• HW1.pdf

2006-4-3 00:09:00 上传

Stochastic Calculus and Finance I

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Steven LALLEY

• Discrete Pricing Models
  • Discrete Multiperiod Models
  • Binomial Trees
  • Risk Neutral Measures
  • Discrete Martingales
• Continuous Stochastic Calculus
  • Wiener Process (Brownian Motion)
  • Ito Integral and Ito Formula
  • Girsanov Formula
  • Continuous--Time Martingales
  • Martingale Representation Theorem
  • Ito Processes and PDEs
• Black--Scholes Theory
  • Arbitrage Pricing
  • Black--Scholes Formulae
  • Risk Neutral Measures
  • Numeraire Invariance
  • Market Completeness
• Extensions of the Black-Sholes theory
  • Barrier Options
  • Currency Options

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关键词：Stochastic Stochast Calculus Finance Financ Finance Calculus Stochastic