《金融建模中的鞅方法》 是世界圖書出版公司出版的圖書， ISBN是9787506283076
基本介紹
- 中文名：金融建模中的鞅方法
- 作者：(澳大利亞)魯科沃斯奇、(英國)姆斯拉
- 出版社：世界圖書出版公司
- 出版時間：2007年5月1日
- 頁數：636 頁
- 開本：32 開
- 裝幀：平裝
- ISBN： 9787506283076
作者簡介,內容簡介,目錄,
作者簡介
作者：(澳大利亞)魯科沃斯奇 (英國)姆斯拉
內容簡介
《金融建模中的鞅方法》主要內容：The origin of this book can be traced to courses on financial mathematics taught by us at the University of New South Wales in Sydney, Technical University of Warsaw (Politechnika Watszawska) and Institut National Polytechnique de Grenoble. Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds (mathematics, physics, computer science, engineering, economics and commerce). The anticipated diversity of potential readers explains the somewhat unusual way in which the book is written. It starts at a very elementary mathematical level and does not assume any prior knowledge of financial markets. Later, it develops into a text which requires some familiarity with concepts of stochastic calculus (the basic relevant notions and results are collected in the appendix). Over time, what was meant to be a short text acquired a life of its own and started to grow. The final version can be used as a textbook for three one-semester courses one at undergraduate level, the other two as graduate courses.
目錄
Preface of the First Edition
Perface of the Second Edition
PartⅠ.Psot to the Futures Markets
1. An Introduction to Financial Derivatives
1.1 Options
1.2 Futures Contracts and Options
1.3 Forward Contracts
1.4 Call and Put Spot Options
1.4.1 One-period Spot Market
1.4.2 Replicating Portfolios
1.4.3 Martingale Measure for a Spot Market
1.4.4 Absence of Arbitrage
1.4.5 Optimality of Replication
1.4.6 Put Option
1.5 Futures Call and Put Options
1.5.1 Futures Contracts and Futures Prices
1.5.2 One-period Futures Market
1.5.3 Martingale Measure for a Futures Market
1.5.4 Absence of Arbitrage
1.5.5 One-period Spot/Futures Market
1.6 Forward Contracts
1.6.1 Forward Price
1.7 Options of American Style
2. The Cox-Ross-Rubinstein Model
2.1 The CRR Model of a Stock Price
2.1.1 The CRR Option Pricing Formula
2.1.2 The Black-Scholes Option Pricing Formula
2.2 Probabilistic Approach
2.2.1 Martingale Measure
2.2.2 Risk-neutral Valuation Formula
2.3 the Blace -Scholes Option Pricing Formula
2.4 Valuation of American Options
2.4.1 American Call Preface
2.4.2 American Put Options
2.4.3 America Claim
2.5 Options on a Dividend-paying Stock
2.6 Finite Spot Markets
……
3. Benchmar Models in Continuous Time
4. Freign Market derivatives
5. American Options
6. Exotic Options
7. Volatility Risk
8. Continuous-time Security Markets
PartⅡ Fixes-income Markets
9. Inerest Rates and related Contracts
10 Short-term Rate Models
11. Models of Instantaneous Forwars Rates
12. Market LIBOR Models
13. Alternative Market Models
14. Cross-currency Dericativer
PartⅢ APPENDICES
References
Index
