Point Processes and Jump Diffusions: An Introduction with Finance Applications

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POINT PROCESSES AND JUMP DIFFUSIONS: AN INTRODUCTION WITH FINANCE APPLICATIONS 2021 (H) ISBN： 9781316518670 類別： 財務金融Financial Management 出版社： CAMBRIDGE UNIVERSITY PRESS 作者： BJORK 年份： 2021 裝訂別： 精裝 頁數： 320頁

Arbitrage Theory in Continuous Time (4版)

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ARBITRAGE THEORY IN CONTINUOUS TIME 4E 2021 (H) ISBN： 9780198851615 類別： 財務金融Financial Management 出版社： OXFORD UNIVERSITY PRESS 作者： BJORK 年份： 2020 裝訂別： 精裝 頁數： 592頁 Table of Contents 1:Introduction I. Discrete Time Models 2:The Binomial Model 3:A More General One period Model II. Stochastic Calculus 4:Stochastic Integrals 5:Stochastic Differential Equations III. Arbitrage Theory 6:Portfolio Dynamics 7:Arbitrage Pricing 8:Completeness and Hedging 9:A Primer on Incomplete Markets 10:Parity Relations and Delta Hedging 11:The Martingale Approach to Arbitrage Theory 12:The Mathematics of the Martingale Approach 13:Black-Scholes from a Martingale Point of View 14:Multidimensional Models: Martingale Approach 15:Change of Numeraire 16:Dividends 17:Forward and Futures Contracts 18:Currency Derivatives 19:Bonds and Interest Rates 20:Short Rate Models 21:Martingale Models for the Short Rate 22:Forward Rate Models 23:LIBOR Market Models 24:Potentials and Positive Interest IV. Optimal Control and Investment Theory 25:Stochastic Optimal Control 26:Optimal Consumption and Investment 27:The Martingale Approach to Optimal Investment 28:Optimal Stopping Theory and American Options V. Incomplete Markets 29:Incomplete Markets 30:The Esscher Transform and the Minimal Martingale Measure 31:Minimizing f-divergence 32:Portfolio Optimization in Incomplete Markets 33:Utility Indifference Pricing and Other Topics 34:Good Deal Bounds VI. Dynamic Equilibrium Theory 35:Equilibrium Theory: A Simple Production Model 36:The Cox-Ingersoll-Ross Factor Model 37:The Cox-Ingersoll-Ross Interest Rate Model 38:Endowment Equilibrium: Unit Net Supply

Probability and Random Processes (4版)

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Probability and Random Processes 4/e +作者：Grimmett +年份：2020 年4 版 +ISBN：9780198847595 +書號：PS0492PC +規格：平裝/彩色 +頁數：688 +出版商：Oxford ●To provide a thorough but straightforward account of basic probability theory, giving the reader a natural feel for the subject unburdened by oppressive technicalities. ●To discuss important random processes in depth with many examples. ●To cover a range of topics that are significant and interesting but less routine. ●To impart to the beginner some flavour of advanced work. 目錄 1:Events and their probabilities 2:Random variables and their distributions 3:Discrete random variables 4:Continuous random variables 5:Generating functions and their applications 6:Markov chains 7:Convergence of random variables 8:Random processes 9:Stationary processes 10:Renewals 11:Queues 12:Martingales 13:Diffusion processes

Science by Simulation - Volume 2: Models of Classical Physics (1版)

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【簡介】 Models of Classical Physics is the second volume of Science by Simulation. It is a recipe book of mathematical models that can be enlivened by the transmutation of equations into computer code. In this volume, the examples represent the standard canon of Classical Physics (Mechanics, Thermodynamics, Waves and Optics, Electromagnetism) and are based upon paradigm problems and systems that all pre-university and undergraduate STEM students should have the opportunity to experience and, in time, master.Rather than the ’what’ of Science, this book is aimed at the ’how’, providing guidance that can be readily applied to projects by students and professionals. Written in a friendly style based upon the author’s expertise in teaching and pedagogy, this mathematically rigorous book is designed for readers to follow arguments step by step with stand-alone chapters (and indeed sections) which can be read independently. This approach will provide a tangible and accessible context for the development of a wide range of interconnected mathematical ideas and computing methods that underpin the practice of Science, and Physics in particular.