《利率衍生物定價的有效方法(英文)》是一部全面講述計算和管理利率衍生物模型的教程。分為兩個部分：第一部分比較和討論了傳統模型，比如即期和遠期利率模型；第二部分主要講述最新發展起來的市場模型。全書和同時期眾多圖書的不同之處在於，不僅專注於數學知識，並大量刻畫了作者在工業套用中的實踐經驗。
基本介紹
- 書名：利率衍生物定價的有效方法
- 作者：佩爾森 (Antoon Pelsser)
- 出版日期：2013年3月1日
- 語種：簡體中文, 英語
- ISBN：9787510058394
- 外文名：Efficient Methods for Valuing Interest Rate Derivatives
- 出版社：世界圖書出版公司北京公司
- 頁數：172頁
- 開本：24
- 品牌：世界圖書出版公司北京公司
基本介紹,內容簡介,作者簡介,圖書目錄,
基本介紹
內容簡介
佩爾森著的《利率衍生物定價的有效方法》是一部全面講述計算和管理利率衍生物模型的教程。分為兩個部分：第一部分比較和討論了傳統模型，比如即期和遠期利率模型；第二部分主要講述最新發展起來的市場模型。本書和同時期眾多圖書的不同之處在於，不僅專注於數學知識，並大量刻畫了作者在工業套用中的實踐經驗。目次：導引；套匯、鞅和數值方法；（一）即期和遠期利率模型：即期和遠期利率模型；基礎解和遠期風險調節策略；Hull—White模型；平方高斯模型；單因子模型的經驗比較；（二）市場利率模型：LIBOR和調劑市場模型；馬爾科夫函式模型；市場模型的經。
作者簡介
作者：（荷蘭）佩爾森（Antoon Pelsser）
圖書目錄
1. Introduction
2. Arbitrage, Martingales and Numerical Methods
2.1 Arbitrage and Martingales
2.1.1 Basic Setup
2.1.2 Equivalent Martingale Measure
2.1.3 Change of Numeraire Theorem
2.1.4 Girsanov's Theorem and It6's Lemma
2.1.5 Application: Black-Scholes Model
2.1.6 Application: Foreign-Exchange Options
2.2 Numerical Methods
2.2.1 Derivation of Black-Scholes Partial Differential Equation
2.2.2 Feynman-Kac Formula
2.2.3 Numerical Solution of PDE's
2.2.4 Monte Carlo Simulation
2.2.5 Numerical Integration
Part Ⅰ. Spot and Forward Rate Models
3. Spot and Forward Rate Models
3.1 Vasicek Methodology
3.1.1 Spot Interest Rate
3.1.2 Partial Differential Equation
3.1.3 Calculating Prices
3.1.4 Example: Ho-Lee Model
3.2 Heath-Jarrow-Morton Methodology
3.2.1 Forward Rates
3.2.2 Equivalent Martingale Measure
3.2.3 Calculating Prices
3.2.4 Example: Ho-Lee Model
3.3 Equivalence of the Methodologies
4. Fundamental Solutions and the Forward-Risk-Adjusted Measure
4.1 Forward-Risk-Adjusted Measure
4.2 Fundamental Solutions
4.3 Obtaining Fundamental Solutions
4.4 Example: Ho-Lee Model
4.4.1 Radon-Nikodym Derivative
4.4.2 Fundamental Solutions
4.5 Fundamental Solutions for Normal Models
5. The Hull-White Model
5.1 Spot Rate Process
5.1.1 Partial Differential Equation
5.1.2 Transformation of Variables
5.2 Analytical Formulae
5.2.1 Fundamental Solutions
5.2.2 Option Prices
5.2.3 Prices for Other Instruments
5.3 Implementation of the Model
5.3.1 Fitting the Model to the Initial Term-Structure
5.3.2 Transformation of Variables
5.3.3 Trinomial Tree
5.4 Performance of the Algorithm
5.5 Appendix
……
Part Ⅱ. Market Rate Models
References
Index
2. Arbitrage, Martingales and Numerical Methods
2.1 Arbitrage and Martingales
2.1.1 Basic Setup
2.1.2 Equivalent Martingale Measure
2.1.3 Change of Numeraire Theorem
2.1.4 Girsanov's Theorem and It6's Lemma
2.1.5 Application: Black-Scholes Model
2.1.6 Application: Foreign-Exchange Options
2.2 Numerical Methods
2.2.1 Derivation of Black-Scholes Partial Differential Equation
2.2.2 Feynman-Kac Formula
2.2.3 Numerical Solution of PDE's
2.2.4 Monte Carlo Simulation
2.2.5 Numerical Integration
Part Ⅰ. Spot and Forward Rate Models
3. Spot and Forward Rate Models
3.1 Vasicek Methodology
3.1.1 Spot Interest Rate
3.1.2 Partial Differential Equation
3.1.3 Calculating Prices
3.1.4 Example: Ho-Lee Model
3.2 Heath-Jarrow-Morton Methodology
3.2.1 Forward Rates
3.2.2 Equivalent Martingale Measure
3.2.3 Calculating Prices
3.2.4 Example: Ho-Lee Model
3.3 Equivalence of the Methodologies
4. Fundamental Solutions and the Forward-Risk-Adjusted Measure
4.1 Forward-Risk-Adjusted Measure
4.2 Fundamental Solutions
4.3 Obtaining Fundamental Solutions
4.4 Example: Ho-Lee Model
4.4.1 Radon-Nikodym Derivative
4.4.2 Fundamental Solutions
4.5 Fundamental Solutions for Normal Models
5. The Hull-White Model
5.1 Spot Rate Process
5.1.1 Partial Differential Equation
5.1.2 Transformation of Variables
5.2 Analytical Formulae
5.2.1 Fundamental Solutions
5.2.2 Option Prices
5.2.3 Prices for Other Instruments
5.3 Implementation of the Model
5.3.1 Fitting the Model to the Initial Term-Structure
5.3.2 Transformation of Variables
5.3.3 Trinomial Tree
5.4 Performance of the Algorithm
5.5 Appendix
……
Part Ⅱ. Market Rate Models
References
Index
