《風險中性定價》是世界圖書出版公司2011年1月1日出版圖書，該書風險中性定價原理，其核心在於，構造了一個風險中性世界，不管個體投資者各自的風險偏好水平和期望回報率的差異，統一以風險中性偏好和無風險利率來代替，進行定價。在無套利的前提下，定價是惟一的，風險中性世界中定出的價格也是現實世界中的價格，所以可以在風險中性世界中對現實世界裡衍生證券進行定價。
基本介紹
- 書名：風險中性定價
- 又名： Risk-Neutral Valuation:Pricing and Hedging of Financial Derivatives(Second Edition)
- 作者：（英國）賓漢姆（N.H.Bingham）
- 頁數：437
- 出版社：世界圖書出版公司
- 出版時間：2011年1月1日
- 開本：24
作者簡介,內容簡介,目錄,
作者簡介
作者：（英國）賓漢姆（N.H.Bingham）
內容簡介
《風險中性定價(第2版)(英文版)》內容簡介：Books are written for use, and the best compliment that the community in the field could have paid to the first edition of 1998 was to buy out the printrun, and that of the corrected printing, as happened. Meanwhile, the fast-developing field of mathematical finance had moved on, as had our thinking, and it seemed better to recognize this and undertake a thorough-going re-write for the second edition than to tinker with the existing text.
目錄
Preface to the Second Edition
Preface to the First Edition
Derivative Background
1.1 Financial Markets and Instruments
1.1.1 Derivative Instruments
1.1.2 Underlying Securities
1.1.3 Markets
1.1.4 Types of Traders
1.1.5 Modeling Assumptions
1.2 Arbitrage
1.3 Arbitrage Relationships
1.3.1 Fundamental Determinants of Option Values
1.3.2 Arbitrage Bounds
1.4 Single-period Market Models
1.4.1 A Fundamental Example
1.4.2 A Single-period Model
1.4.3 A Few Financial-economic Considerations
Exercises
Probability Background
2.1 Measure
2.2 Integral
2.3 Probability
2.4 Equivalent Measures and Radon-Nikod~m Derivatives
2.5 Conditional Expectation
2.6 Modes of Convergence
2.7 Convolution and Characteristic Functions
2.8 The Central Limit Theorem
2.9 Asset Return Distributions
2.10 Infinite Divisibility and the L~vy-Khintchine Formula
2.11 Elliptically Contoured Distributions
2.12 Hyberbolic Distributions
Exercises
3. Stochastic Processes in Discrete Time
3.1 Information and Filtrations
3.2 Discrete-parameter Stochastic Processes
3.3 Definition and Basic Properties of Martingales
3.4 Martingale Transforms
3.5 Stopping Times and Optional Stopping
3.6 The Snell Envelope and Optimal Stopping
3.7 Spaces of Martingales
3.8 Markov Chains
Exercises
4. Mathematical Finance in Discrete Time
4.1 The Model
4.2 Existence of Equivalent Martingale Measures
4.2.1 The No-arbitrage Condition
4.2.2 Risk-Neutral Pricing
4.3 Complete Markets: Uniqueness of EMMs
4.4 The Fundamental Theorem of Asset Pricing: Risk-Neutral
Valuation
4.5 The Cox-Ross-Rubinstein Model
4.5.1 Model Structure
4.5.2 Risk-neutral Pricing
4.5.3 Hedging
4.6 Binomial Approximations
4.6.1 Model Structure
4.6.2 The Black-Scholes Option Pricing Formula
4.6.3 Further Limiting Models
4.7 American Options
4.7.1 Theory
4.7.2 American Options in the CRR Model
4.8 Further Contingent Claim Valuation in Discrete Time
4.8.1 Barrier Options
4.8.2 Lookback Options
4.8.3 A Three-period Example
4.9 Multifactor Models
4.9.1 Extended Binomial Model
4.9.2 Multinomial Models
Exercises
……
