初等概率论.pdf

初等概率论.pdf
 

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《初等概率论(第4版)(英文版)》是由世界图书出版公司出版的。

目录
PREFACE TO THE FOURTH EDITION
PROLOGUE TO INTRODUCTION TO MATHEMATICAL FINANCE
1 SET
1.1 Sample sets
1.2 Operations with sets
1.3 Various relations
1.4 Indicator
Exercises

2 PROBABILITY
2.1 Examples of probability
2.2 Definition and illustrations
2.3 Deductions from the axioms
2.4 Independent events
2.5 Arithmetical density
Exercises

3 COUNTING
3.1 Fundamental rule
3.2 Diverse ways of sampling
3.3 Allocation models; binomial coefficients
3.4 How to solve it
Exercises

4 RANDOM VARIABLES
4.1 What is a random variable?
4.2 How do random variables come about?
4.3 Distribution and expectation
4.4 Integer-valued random variables
4.5 Random variables with densities
4.6 General case
Exercises
APPENDIX 1: BOREL FIELDS AND GENERAL RANDOM VARIABLES

5 CONDITIONING AND INDEPENDENCE
5.1 Examples of conditioning
5.2 Basic formulas
5.3 Sequential sampling
5.4 P61ya's urn scheme
5.5 Independence and relevance
5.6 Genetical models
Exercises

6 MEAN, VARIANCE, AND TRANSFORMS
6.1 Basic properties of expectation
6.2 The density case
6.3 Multiplication theorem; variance and covariance
6.4 Multinomial distribution
6.5 Generating function and the like
Exercises

7 POISSON AND NORMAL DISTRIBUTIONS
7.1 Models for Poisson distribution
7.2 Poisson process
7.3 From binomial to normal
7.4 Normal distribution
7.5 Central limit theorem
7.6 Law of large numbers
Exercises
APPENDIX 2: STIRLING'S FORMULA AND DE MOIVRE-LAPLACE'S THEOREM

8 FROM RANDOM WALKS TO MARKOV CHAINS
8.1 Problems of the wanderer or gambler
8.2 Limiting schemes
8.3 Transition probabilities
8.4 Basic structure of Markov chains
8.5 Further developments
8.6 Steady state
8.7 Winding up (or down?)
Exercises
APPENDIX 3: MARTINGALE

9 MEAN-VARIANCE PRICING MODEL
9.1 An investments primer
9.2 Asset return and risk
9.3 Portfolio allocation
9.4 Diversification
9.5 Mean-variance optimization
9.6 Asset return distributions
9.7 Stable probability distributions
Exercises
APPENDIX 4: PARETO AND STABLE LAWS

10 OPTION PRICING THEORY
10.1 Options basics
10.2 Arbitrage-free pricing: 1-period model
10.3 Arbitrage-free pricing: N-period model
10.4 Fundamental asset pricing theorems
Exercises
GENERAL REFERENCES
ANSWERS TO PROBLEMS
VALUES OF THE STANDARD NORMAL DISTRIBUTION FUNCTION
INDEX

序言
In this edition two new chapters, 9 and 10, on mathematical finance areadded. They are written by Dr. Farid AitSahlia, ancien dlve, who hastaught such a course and worked on the research staff of several industrialand financial institutions.
The new text begins with a meticulous account of the uncommon vocab-ulary and syntax of the financial world; its manifold options and actions,with consequent expectations and variations, in the marketplace. These arethen expounded in clear, precise mathematical terms and treated by themethods of probability developed in the earlier chapters. Numerous gradedand motivated examples and exercises are supplied to illustrate the appli-cability of the fundamental concepts and techniques to concrete financialproblems. For the reader whose main interest is in finance, only a portionof the first eight chapters is a "prerequisite" for the study of the last twochapters. Further specific references may be scanned from the topics listedin the Index, then pursued in more detail.
I have taken this opportunity to fill a gap in Section 8.1 and to expandAppendix 3 to include a useful proposition on martingale stopped at anoptional time. The latter notion plays a basic role in more advanced finan-cial and other disciplines. However, the level of our compendium remainselementary, as befitting the title and scheme of this textbook. We have alsoincluded some up-to-date financial episodes to enliven, for the beginners,the stratified atmosphere of "strictly business". We are indebted to RuthWilliams, who read a draft of the new chapters with valuable suggestionsfor improvement; to Bernard Bru and Marc Barbut for information on thePareto-L~vy laws originally designed for income distributions. It is hopedthat a readable summary of this renowned work may be found in the newAppendix 4.

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初等概率论

内容简介
《初等概率论(第4版)(英文版)》是一部介绍概率论及其应用的入门教程。其原始版本面世已经有30余年,但仍然是本科一二年级的经典概率教程。在第4版中增加了两章讲述应用和数学金融。传承前面版本详细、严谨的风格,讲述了有价证券和期货理论的基本知识。书中用最初等的方法讲述了概率测度、随机变量、分布以及期望等基本概念。离散和连续的案例都有所涉及,在讲述后者的时候运用了微积分知识。配以大量的典型例子重点讲述概率推理,集中介绍了组合问题、Poison过程、随机漫步、遗传模型和Markov链。每章末都附有习题及其解答。

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