《衍生證券與差分法（英文版）》是2012年6月世界圖書出版公司出版的圖書，作者是[美]朱友蘭。
基本介紹
- 中文名：衍生證券與差分法（英文版）
- 作者：[美]朱友蘭
- 類別：金融投資
- 出版社：世界圖書出版公司
- 出版時間：2012年6月
- 頁數：513 頁
- 定價：69 元
- 開本：24 開
- 裝幀：平裝
- ISBN：9787510044045
內容簡介,圖書目錄,
內容簡介
《衍生證券與差分法（英文版）》旨在為讀者提供運用偏微分方程為金融衍生品定價的方法。在第一部分書中描述了所涉及問題的公式；第二部分講述如何有效地獲得歐式和美式衍生物以及股票期權和利率衍生物的數值解。書中所用到的數值方法討論的都是有限差分方法。書中也討論了如何確定這些在偏微分方程中的關係。《衍生證券與差分法（英文版）》另一個目的是為有工程計算經驗的編程人員提供有效的衍生物定價編碼技巧。全書通篇包括練習，可以吸引大量的計量金融中的學生和科研人員，以及金融工業和編碼方面的工作者。
圖書目錄
Part ⅠPartial Differential Equations in Finance
1 Introduction
1.1 Assets
1.2 Derivative Securities
1.2.1 Forward and Futures Contracts
1.2.2 Options
1.2.3 Interest Rate Derivatives
1.2.4 Factors Affecting Derivative Prices
1.2.5 Functions of Derivative Securities
Problems
2 Basic Options
2.1 Asset Price Model and Ito's Lemma
2.1.1 A Model for Asset Prices
2.1.2 Ito's Lemma
2.1.3 Expectation and Variance of Lognormal Random Variables
2.2 Derivation of the Black-Scholes Equation
2.2.1 Arbitrage Arguments
2.2.2 The Black-Scholes Equation
2.2.3 Final Conditions for the Black-Scholes Equation
2.2.4 Hedging and Greeks
2.3 Two Transformations on the Black-Scholes Equation
2.3.1 Converting the Black-Scholes Equation into a Heat Equation
2.3.2 Transforming the Black-Scholes Equation into and Equation Defined on a Finite Domain
2.4 Solutions of European Options
2.4.1 The Solutions of Parabolic Equations
2.4.2 Solutions of the Black-Scholes Equation
2.4.3 Prices of Forward Contracts and Delivery Prices
2.4.4 Derivation of the Black-Scholes Formulae
2.4.5 Put-Call Parity Relation
2.4.6 An Explanation in Terms of Probability
2.5 American Option Problems as Linear Complementarity
Problems
2.5.1 Constraints on American Options
2.5.2 Formulation of the Linear Complementarity Problem in Plane
2.5.3 Formulation of the Linear Complementarity Problem in Plane
2.5.4 Formulation of the Linear Complementarity Problem on a Fuute Domain
2.5.5 More General Form of the Linear Complementarity
Problems
2.6 American Option Problems as Free-Boundary Problems
2.6.1 Free Boundaries
2.6.2 Free-Boundary Problems
2.6.3 Put-Call Symmetry Relations
2.7 Equations for Some Greeks
2.8 Perpetual Options
2.9 General Equations for Derivatives
2.9.1 Models for Random Variables
2.9.2 Generalization of Ito's Lemma
2.9.3 Derivation of Equations for Financial Derivatives
2.9.4 Three Types of State Variable8
2.9.5 Uniqueness of Solutions
2.10 Jump Conditions
2.10.1 Hyperbolic Equations with a Dirac Delta Function
2.10.2 Jump Conditions for Options with Discrete Dividends and Discrete Sampling
2.11 More Arbitrage Theory
2.11.1 Three Conclusions and Some Portfolios
2.11.2 Bounds of Option Prices
2.11.3 Relations Between Call and Put Prices
Problems
3 Exotic Options
3.1 Introduction
3.2 Barrier Options
3.2.1 Knock-Out and Knock-In Options
3.2.2 Closed-Form Solutions of Some European Barrier Options
3.2.3 Formulation of American Barrier Options
3.2.4 Parisian Options
……
Part Ⅱ Numerical Methods for Derivative Securities
References
Index
