《金融模型中的鞅方法(第2版)》全面講述了期權定價最新最完整體系。從金融市場的離散時間模型開始，涉及cox—ross—rubinstein二項模型。在black—scholes模型背景下，假定熟悉隨機微積分的基本觀點，從離散時間模型講到連續時間模型，並在附錄中包含了所有的必需結果。這種模型背景後來一般化到包括集中資產和貨幣的標準和奇異期權中。概述了套利定價理論。第二部分致力於術語結構模型和利率衍生定價模型。重在強調可以和市場定價相一致的模型。這是第二版，將第一版中第一部分做了比較大的調整，更加易於閱讀，新增加了全新的一章講述波動風險。
基本介紹
- 中文名：金融模型中的鞅方法
- 作者：慕斯勒 (Marek Musiela) Marek Rutkowski
- 出版社：世界圖書出版社
- 出版時間：2013年10月1日
- 頁數：715 頁
- 開本：16 開
- ISBN：9787510061394, 7510061393
- 外文名：Martingale Methods in Financial Modelling Second Edition
- 類型：英語與其他外語
- 語種：簡體中文, 英語
內容簡介,圖書目錄,
內容簡介
《金融模型中的鞅方法(第2版)》適合數學，金融經濟以及相關的從業人員閱讀。
圖書目錄
Preface to the Second Edition
Note on the Second Printing
Preface to the First Edition
Part Ⅰ Spot and 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 Change of a Numeraire
1.4.7 Put Option
1.5 Forward Contracts
1.5.1 Forward Price
1.6 Futures Call and Put Options
1.6.1 Futures Contracts and Futures Prices
1.6.2 One-period Futures Market
1.6.3 Martingale Measure for a Futures Market
1.6.4 Absence of Arbitrage
1.6.5 One-period SpoUFutures Market
1.7 Options of American Style
1.8 Universal No-arbitrage Inequalities
2 Discrete-time Security Markets
2.1 The Cox-Ross-Rubinstein Model
2.1.1 Binomial Lattice for the Stock Price
2.1.2 Recursive Pricing Procedure
2.1.3 CRR Option Pricing Formula
2.2 Martingale Ptoperties of the CRR Model
2.2.1 Martingale Measures
2.2.2 Risk-neutral Valuation Formula
2.2.3 Change of a Numeraire
2.3 The Black-Scholes Option Pricing Formula
2.4 Valuation of American Options
2.4.1 American Call Options
2.4.2 American Put Options
2.4.3 American Claims
2.5 Options on a Dividend-paying Stock
2.6 Security Markets in Discrete Time
2.6.1 Finite Spot Markets
2.6,2 Self-financing Trading Strategies
2.6.3 Replication and Arbitrage Opportunities
2.6.4 Arbitrage Price
2.6.5 Risk-neutral Valuation Formula
2.6.6 Existence of a Martingale Measure
2.6.7 Completeness of a Finite Market
2.6.8 Separating Hyperplane Theorem
2.6.9 Change of a Numeraire
2.6.10 Discrete-time Models with Infinite State Space
2.7 Finite Futures Markets
2.7.1 Self-financing Futures Strategies
2.7.2 Martingale Measures for a Futures Market
2.7.3 Risk-neutral Valuation Formula
2.7.4 Futures Prices Versus Forward Prices
2.8 American Contingent Claims
2.8.1 Optimal Stopping Problems
2.8.2 Valuation and Hedging of American Claims
2.8.3 American Call and Put
2.9 Game Contingent Claims
2.9.1 Dynkin Games
2.9.2 Valuation and Hedging of Game Contingent Claims
3 Benchmark Models in Continuous Time
3.1 The Black-Scholes Model
3.1.1 Risk-free Bond
3.1.2 Stock Price
3,1.3 Self-financing Trading Strategies
3.1.4 Martingale Measure for the Black-Scholes Model
3.1.5 Black-Scholes Option Pricing Formula
3.1.6 Case of Time-dependent Coefficients
3.1.7 Merton's Model
3.1.8 Put-Call Parity for Spot Options
3.1.9 Black-Scholes PDE
3.1.10 A Riskless Portfolio Method
3.1.1 I Black-Scholes Sensitivities
3.1.12 Market Imperfections
3.1.13 Numerical Methods
3.2 A Dividend-paying Stock
3.2.1 Case of a Constant Dividend Yield
3.2.2 Case of Known Dividends
3.3 Bachelier Model
3.3.1 Bachelier Option Pricing Formula
3.3.2 Bachelier's PDE
3.3.3 Bachelier Sensitivities
3.4 Black Model
3.4.1 Self-financing Futures Strategies
3,4.2 Martingale Measure for the Futures Market
3.4.3 Black's Futures Option Formula
3.4.4 Options on Forward Contracts
3.4.5 Forward and Futures Prices
3.5 Robustness of the Black-Scholes Approach
3.5.1 Uncertain Volatility
3.5.2 European Call and Put Options
3.5.3 Convex Path-independent European Claims
3.5.4 General Path-independent European Claims
Foreign Market Derivatives
4,1 Cross-currency Market Model
4.1.1 Domestic Martingale Measure
4.1.2 Foreign Martingale Measure
4.1.3 Foreign Stock Price Dynanucs
4.2 Currency Forward Contracts and Options
4.2.1 Forward Exchange Rate
4.2.2 Currency Option Valuation Formula
4.3 Foreign Equity Forward Contracts
4.3.1 Forward Price of a Foreign Stock
4.3.2 Quanto Forward Contracts
4.4 Foreign Market Futures Contracts
4.5 Foreign Equity Options
4.5.1 Options Struckin a Foreign Currency
4.5.2 Options Struck in Domestic Currency
4.5.3 Quanto Options
4.5.4 Equity-linked Foreign Exchange Options
5 American Options
5.1 Valuation of American Claims
5.2 American Call and Put Options
5.3 Early Exercise Representation of an American Put
5.4 Analytical Approach
5.5 Approximations of the American Put Price
5.6 Option on a Dividend-paying Stock
5.7 Game Contingent Claims
6 Exotic Options
6.1 Packages
6.2 Forward-start Options
6.3 Chooser Options
6.4 Compound Options
6.5 Digital Options
6.6 Barrier Options
6.7 Lookback Options
6.8 Asian Options
6.9 Basket Options
6.10 Quantile Options
6.11 Other Exotic Options
7 Volatility Risk
7.1 Implied Volatilities of Traded Options
7.1.1 Historical Volatility
7.1.2 Implied Volatility
7.1.3 Implied Volatility Versus Historical Volatility
7.1.4 Approximate Formulas
7.1.5 Implied Volatility Surface
7.1.6 Asymptotic Behavior of the Implied Volatility
7.1.7 Marked-to-Market Models
7.1.8 Vega Hedging
7.1.9 Correlated Brownian Motions
7.1.10 Forward-start Options
7.2 Extensions of the Black-Scholes Model
7.2.1 CEV Model
7.2.2 Shifted Lognormal Models
7.3 Local Volatility Models
7.3.1 Implied Risk-Neutral Probability Law
7.3.2 Local Volatility
7.3.3 Mixture Models
7.3.4 Advantages and Drawbacks of LV Models
7.4 Stochastic Volatility Models
7.4.1 PDE Approach
7.4.2 Examples of SV Models
7.4.3 Hull and White Model
7.4.4 Heston's Model
7.4.5 SABR Model
7.5 Dynamical Models of Volatility Surfaces
7.5.1 Dynamics of the Local Volatility Surface
7.5.2 Dynamics of the Implied Volatility Surface
7.6 Alternative Approaches
7.6.1 Modelling of Asset Returns
7.6.2 Modelling of Volatility and Realized Variance
8 Continuous-time Security Markets
8.1 Standard Market Models
8.1.1 Standard Spot Market
8.1.2 Futures Market
8.1.3 Choice of a Numeraire
8.1.4 Existence of a Martingale Measure
8.1.5 Fundamental Theorem of Asset Pricing
8.2 Multidimensional Black-Scholes Model
8.2.1 Market Completeness
8.2.2 Variance-minimizing Hedging
8.2.3 Risk-minimizing Hedging
8.2.4 Market Imperfections
……
PartⅡ Fixed-income Markets
PartⅢ APPENDIX
