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1.pdf
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目录：
Contents:
- Preliminaries From Calculus
- Concepts of Probability Theory
- Basic Stochastic Processes
- Brownian Motion Calculus
- Stochastic Differential Equations
- Diffusion Processes
- Martingales
- Calculus for Semimartingales
- Pure Jump Processes
- Change of Probability Measure
- Applications in Finance: Stock and FX Options
- Applications in Finance: Bonds, Rates and Options
- Applications in Biology
- Applications in Engineering and Physics
第二本
An Introductionto Stochastic Calculus with Applicationsto Finance.pdf
(2.09 MB, 需要: 20 个论坛币)
An Introduction to Stochastic Calculus with Applications to Finance
Ovidiu Calin
Department of Mathematics Eastern Michigan University
Contents:
I Stochastic Calculus
- 1. Basic Notions
- 2. Useful Stochastic Processes
- 3. Properties of Stochastic Processes
- 4. Stochastic Integration
- 5. Stochastic Differentiation
- 6. Stochastic Integration Techniques
- 7. Stochastic Differential Equations
- 8. Application of Brownian Motion
- 9. Martingales and Girsanov's Theorem
- 10. Modeling Stochastic Rates
- 11. Bond Valuation and Yield Curves
- 12. Modeling Stock Prices
- 13. Risk-Neutral Valuation
- 14. Martingale Measures
- 15. Black-Scholes Analysis
- 16. Black-Scholes for Asian Derivatives
- 17. American Options
- 18. Hints and Solutions
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