金融隨機分析：第1卷(英文版)（簡體書）

這是一套隨機分析在定量經濟學領域中應用方面的著名教材，作者在該領域享有盛譽，全書共分2卷。第1卷主要包括隨機分析的基礎性知識和離散時間模型；第2卷主要包括連續時間模型和該模型經濟學中的應用。就其內容而言，第2卷有較為實際的可操作性的定量經濟學內容，同時也包含了較為完整的隨機微分方程理論。本書各章有習題，適用於掌握微積積分基礎知識的大學高年級本科生和碩士研究生。

1 The Binomial No-Arbitrage Pricing Model
1.1 One-Period Binomial Model
1.2 Multiperiod Binomial Model
1.3 Computational Considerations
1.4 Summary
1.5 Notes
1.6 Exercises

2 Probability Theory on Coin Toss Space
2.1 Finite Probability Spaces
2.2 Random Variables, Distributions, and Expectations
2.3 Conditional Expectations
2.4 Martingales
2.5 Markov Processes
2.6 Summary
2.7 Notes
2.8 Exercises

3 State Prices
3.1 Change of Measure
3.2 Radon-Nikod~m Derivative Process
3.3 Capital Asset Pricing Model
3.4 Summary
3.5 Notes
3.6 Exercises

4 American Derivative Securities
4.1 Introduction
4.2 Non-Path-Dependent American Derivatives
4.3 Stopping Times
4.4 General American Derivatives
4.5 American Call Options
4.6 Summary
4.7 Notes
4.8 Exercises

5 Random Walk
5.1 Introduction
5.2 First Passage Times
5.3 Reflection Principle
5.4 Perpetual American Put: An Example
5.5 Summary
5.6 Notes
5.7 Exercises

6 Interest-Rate-Dependent Assets
6.1 Introduction
6.2 Binomial Model for Interest Rates
6.3 Fixed-Income Derivatives
6.4 Forward Measures
6.5 Futures
6.6 Summary
6.7 Notes
6.8 Exercises
Proof of Fundamental Properties of　Conditional Expectations
References
Index