Stochastic Calculus And Finance(Shreve)

《Stochastic Calculus And Finance(Shreve)》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、StevenShreve:StochasticCalculusandFinancePRASADCHALASANISOMESHJHACarnegieMellonUniversityCarnegieMellonUniversitychal@cs.cmu.edusjha@cs.cmu.eduTHISISADRAFT:PLEASEDONOTDISTRIBUTEcCopyright;StevenE.Shreve,1996October6,1997Contents1IntroductiontoProbabilityTheory111.1TheBinomialA

2、ssetPricingModel..........................111.2FiniteProbabilitySpaces...............................161.3LebesgueMeasureandtheLebesgueIntegral....................221.4GeneralProbabilitySpaces..............................301.5Independence.....................................4

3、01.5.1Independenceofsets.............................401.5.2Independenceof-algebras.........................411.5.3Independenceofrandomvariables......................421.5.4Correlationandindependence........................441.5.5Independenceandconditionalexpectation.........

4、.........451.5.6LawofLargeNumbers............................461.5.7CentralLimitTheorem............................472ConditionalExpectation492.1ABinomialModelforStockPriceDynamics....................492.2Information......................................502.3ConditionalExpecta

5、tion...............................522.3.1Anexample..................................522.3.2DefinitionofConditionalExpectation....................532.3.3FurtherdiscussionofPartialAveraging...................542.3.4PropertiesofConditionalExpectation....................552.3.5Exa

6、mplesfromtheBinomialModel.....................572.4Martingales......................................58123ArbitragePricing593.1BinomialPricing...................................593.2Generalone-stepAPT.................................603.3Risk-NeutralProbabilityMeasure..........

7、................613.3.1PortfolioProcess...............................623.3.2Self-financingValueofaPortfolioProcess
................623.4SimpleEuropeanDerivativeSecurities........................633.5TheBinomialModelisComplete...........................644TheMarkovProperty674.1

8、BinomialModelPricingandHedging........................674.2Co