☆☆☆☆☆




點擊這裡下載

類似圖書 點擊查看全場最低價

---

內容簡介

《金融衍生品數學模型(第2版)》旨在運用金融工程方法講述模型衍生品背後的理論，作為重點介紹瞭對大多數衍生證券很常用的鞅定價原理。書中還分析瞭固定收入市場中的大量金融衍生品，強調瞭定價、對衝及其風險策略。《金融衍生品數學模型(第2版)》從著名的期權定價模型的Black-Scholes-Merton公式開始，講述衍生品定價模型和利率模型中的最新進展，解決各種形式衍生品定價問題的解析技巧和數值方法。目次：衍生品工具介紹；金融經濟和隨機計算；期權定價模型；路徑依賴期權；美國期權；定價期權的數值方案；利率模型和債券計價；利率衍生品：債券期權、LIBOR和交換産品。

內頁插圖

目錄

Preface
1 Introduction to Derivative Instruments
1.1 Financial Options and Their Trading Strategies
1.1.1 Trading Strategies Involving Options
1.2 Rational Boundaries for Option Values
1.2.1 Effects of Dividend Payments
1.2.2 Put-Call Parity Relations
1.2.3 Foreign Currency Options
1.3 Forward and Futures Contracts
1.3.1 Values and Prices of Forward Contracts
1.3.2 Relation between Forward and Futures Prices
1.4 Swap Contracts
1.4.1 Interest Rate Swaps
1.4.2 Currency Swaps
1.5 Problems

2 Financial Economics and Stochastic Calculus
2.1 Single Period Securities Models
2.1.1 Dominant Trading Strategies and Linear Pricing Measures
2.1.2 Arbitrage Opportunities and Risk Neutral Probability Measures
2.1.3 Valuation of Contingent Claims
2.1.4 Principles of Binomial Option Pricing Model
2.2 Filtrations， Martingales and Multiperiod Models
2.2.1 Information Structures and Filtrations
2.2.2 Conditional Expectations and Martingales
2.2.3 Stopping Times and Stopped Processes
2.2.4 Multiperiod Securities Models
2.2.5 Multiperiod Binomial Models
2.3 Asset Price Dynamics and Stochastic Processes
2.3.1 Random Walk Models
2.3.2 Brownian Processes
2.4 Stochastic Calculus： Itos Lemma and Girsanovs Theorem
2.4.1 Stochastic Integrals
2.4.2 Itos Lemma and Stochastic Differentials
2.4.3 Itos Processes and Feynman-Kac Representation Formula
2.4.4 Change of Measure： Radon-Nikodym Derivative and Girsanovs Theorem.
2.5 Problems

3 Option Pricing Models： Blaek-Scholes-Merton Formulation
3.1 Black-Scholes-Merton Formulation
3.1.1 Riskless Hedging Principle
3.1.2 Dynamic Replication Strategy
3.1.3 Risk Neutrality Argument
3.2 Martingale Pricing Theory
3.2.1 Equivalent Martingale Measure and Risk Neutral Valuation
3.2.2 Black-Scholes Model Revisited
3.3 Black-Scholes Pricing Formulas and Their Properties
3.3.1 Pricing Formulas for European Options
3.3.2 Comparative Statics
3.4 Extended Option Pricing Models
3.4.1 Options on a Dividend-Paying Asset
3.4.2 Futures Options
3.4.3 Chooser Options
3.4.4 Compound Options
3.4.5 Mertons Model of Risky Debts
3.4.6 Exchange Options
3.4.7 Equity Options with Exchange Rate Risk Exposure
3.5 Beyond the Black-Scholes Pricing Framework
3.5.1 Transaction Costs Models
3.5.2 Jump-Diffusion Models
3.5.3 Implied and Local Volatilities
3.5.4 Stochastic Volatility Models
3.6 Problems

4 Path Dependent Options
4.1 Barrier Options
4.1.1 European Down-and-Out Call Options
4.1.2 Transition Density Function and First Passage Time Density
4.1.3 Options with Double Barriers
4.1.4 Discretely Monitored Barrier Options
4.2 Lookback Options
4.2.1 European Fixed Strike Lookback Options
4.2.2 European Floating Strike Lookback Options
4.2.3 More Exotic Forms of European Lookback Options
4.2.4 Differential Equation Formulation
4.2.5 Discretely Monitored Lookback Options
4.3 Asian Options.
4.3.1 Partial Differential Equation Formulation
4.3.2 Continuously Monitored Geometric Averaging Options
4.3.3 Continuously Monitored Arithmetic Averaging Options
4.3.4 Put-Call Parity and Fixed-Floating Symmetry Relations
4.3.5 Fixed Strike Options with Discrete Geometric Averaging
4.3.6 Fixed Strike Options with Discrete Arithmetic Averaging
4.4 Problems

5 American Options
5.1 Characterization of the Optimal Exercise Boundaries
5.1.1 American Options on an Asset Paying Dividend Yield
5.1.2 Smooth Pasting Condition.
5.1.3 Optimal Exercise Boundary for an American Call
5.1.4 Put-Call Symmetry Relations.
5.1.5 American Call Options on an Asset Paying Single Dividend
5.1.6 One-Dividend and Multidividend American Put Options
5.2 Pricing Formulations of American Option Pricing Models
5.2.1 Linear Complementarity Formulation
5.2.2 Optimal Stopping Problem
5.2.3 Integral Representation of the Early Exercise Premium
5.2.4 American Barrier Options
5.2.5 American Lookback Options
5.3 Analytic Approximation Methods
5.3.1 Compound Option Approximation Method
5.3.2 Numerical Solution of the Integral Equation
5.3.3 Quadratic Approximation Method
5.4 Options with Voluntary Reset Rights
5.4.1 Valuation of the Shout Floor
5.4.2 Reset-Strike Put Options
5.5 Problems

6 Numerical Schemes for Pricing Options
6.1 Lattice Tree Methods
6.1.1 Binomial Model Revisited
6.1.2 Continuous Limits of the Binomial Model
6.1.3 Discrete Dividend Models
6.1.4 Early Exercise Feature and Callable Feature
6.1.5 Trinomial Schemes
6.1.6 Forward Shooting Grid Methods
6.2 Finite Difference Algorithms
6.2.1 Construction of Explicit Schemes
6.2.2 Implicit Schemes and Their Implementation Issues
6.2.3 Front Fixing Method and Point Relaxation Technique
6.2.4 Truncation Errors and Order of Convergence
6.2.5 Numerical Stability and Oscillation Phenomena
6.2.6 Numerical Approximation of Auxiliary Conditions
6.3 Monte Carlo Simulation
6.3.1 Variance Reduction Techniques
6.3.2 Low Discrepancy Sequences
6.3.3 Valuation of American Options
6.4 Problems

7 Interest Rate Models and Bond Pricing
7.1 Bond Prices and Interest Rates
7.1.1 Bond Prices and Yield Curves
7.1.2 Forward Rate Agreement， Bond Forward and Vanilla Swap
7.1.3 Forward Rates and Short Rates
7.1.4 Bond Prices under Deterministic Interest Rates
7.2 One-Factor Short Rate Models
7.2.1 Short Rate Models and Bond Prices
7.2.2 Vasicek Mean Reversion Model
7.2.3 Cox-Ingersoll-Ross Square Root Diffusion Model
7.2.4 Generalized One-Factor Short Rate Models
7.2.5 Calibration to Current Term Structures of Bond Prices
7.3 Multifactor Interest Rate Models
7.3.1 Short Rate/Long Rate Models
7.3.2 Stochastic Volatility Models
7.3.3 Affine Term Structure Models
7.4 Heath-Jarrow-Morton Framework
7.4.1 Forward Rate Drift Condition
7.4.2 Short Rate Processes and Theft Markovian Characterization
7.4.3 Forward LIBOR Processes under Ganssian HIM Framework
7.5 Problems

8 Interest Rate Derivatives： Bond Options， LIBOR and Swap Products
8.1 Forward Measure and Dynamics of Forward Prices
8.1.1 Forward Measure
8.1.2 Pricing of Equity Options under Stochastic Interest Rates
8.1.3 Futures Process and Futures-Forward Price Spreadi
8.2 Bond Options and Range Notes
8.2.1 Options on Discount Bonds and Coupon-Bearing Bonds
8.2.2 Range Notes
8.3 Caps and LIBOR Market Models
8.3.1 Pricing of Caps under Gaussian HJM Framework
8.3.2 Black Formulas and LIBOR Market Models
8.4 Swap Products and Swaptions
8.4.1Forward Swap Rates and Swap Measure
8.4.2 Approximate Pricing of Swaption under Lognormal LIBOR Market Model
8.4.3 Cross-Currency Swaps
8.5 Problems
References
Author Index
Subject Index

前言/序言

　　In the past three decades， we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets around the globe and the surge in research on derivative pricing theory，cading financial institutions are hiring graduates with a science background who can use advanced analyrical and numerical techniques to price financial derivatives and manage portfolio risks， a phenomenon coined as Rocket Science on Wall Street. There are now more than a hundred Master level degreed programs in Financial Engineering/Quantitative Finance/Computational Finance in different continents. This book is written as an introductory textbook on derivative pricing theory for students enrolled in these degree programs. Another audience of the book may include practitioners in quantitative teams in financial institutions who would like to acquire the knowledge of option pricing techniques and explore the new development in pricing models of exotic structured derivatives. The level of mathematics in this book is tailored to readers with preparation at the advanced undergraduate level of science and engineering majors， in particular， basic proficiencies in probability and statistics， differential equations， numerical methods， and mathematical analysis. Advance knowledge in stochastic processes that are relevant to the martingale pricing theory， like stochastic differential calculus and theory of martingale， are 金融衍生品數學模型（第2版） [Mathematical Models of Financial Derivatives Second Edition] 下載 mobi epub pdf txt 電子書

評分☆☆☆☆☆

好評…………

評分☆☆☆☆☆

金融衍生産品（derivatives)是指其價值依賴於基礎資産(underlyings)價值變動的閤約（contracts）。這種閤約可以是標準化的，也可以是非標準化的。標準化閤約是指其標的物(基礎資産）的交易價格、交易時間、資産特徵、交易方式等都是事先標準化的，因此此類閤約大多在交易所上市交易，如期貨。非標準化閤約是指以上各項由交易的雙方自行約定，因此具[1]有很強的靈活性，比如遠期協議。

評分☆☆☆☆☆

全英文版的，有一定難度。

評分☆☆☆☆☆

這是一本金融衍生産品定價的經典教材，我很喜歡，買一本來收藏。當然，需要一定的數學功底，比如概率論、隨機過程，多少你需要懂一點，不然真的就睏難瞭。

評分☆☆☆☆☆

郭老師的書，買來做教材使用

評分☆☆☆☆☆

很好很快，書很新，不錯

評分☆☆☆☆☆

好評…………

評分☆☆☆☆☆

（1）根據産品形態，可以分為遠期、期貨、期權和互換四大類。

評分☆☆☆☆☆

3、聯動性

類似圖書 點擊查看全場最低價

查看全網最低價