风险中性定价（第2版）

图书标准信息

• 作者 [英]宾汉姆 著
• 出版社 世界图书出版公司
• 出版时间 2011-01
• 版次 2
• ISBN 9787510029707
• 定价 59.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 437页

【内容简介】

Booksarewrittenforuse，andthebestcomplimentthatthecommunityinthefieldcouldhavepaidtothefirsteditionof1998wastobuyouttheprintrun，andthatofthecorrectedprinting，ashappened.Meanwhile，thefast-developingfieldofmathematicalfinancehadmovedon，ashadourthinking，anditseemedbettertorecognizethisandundertakeathorough-goingre-writeforthesecondeditionthantotinkerwiththeexistingtext.

【目录】

PrefacetotheSecondEdition
PrefacetotheFirstEdition
1.DerivativeBackground
1.1FinancialMarketsandInstruments
1.1.1DerivativeInstruments
1.1.2UnderlyingSecurities
1.1.3Markets
1.1.4TypesofTraders
1.1.5ModelingAssumptions
1.2Arbitrage
1.3ArbitrageRelationships
1.3.1FundamentalDeterminantsofOptionValues
1.3.2ArbitrageBounds
1.4Single-periodMarketModels
1.4.1AFundamentalExample
1.4.2ASingle-periodModel
1.4.3AFewFinancial-economicConsiderations
Exercises
2.ProbabilityBackground
2.1Measure
2.2Integral
2.3Probability
2.4EquivalentMeasuresandRadon-NikodymDerivatives.
2.5ConditionalExpectation
2.6ModesofConvergence
2.7ConvolutionandCharacteristicFunctions
2.8TheCentralLimitTheorem
2.9AssetReturnDistributions
2.10InfiniteDivisibilityandtheLevy-KhintchineFormula
2.11EllipticallyContouredDistributions
2.12HyberbolicDistributions
Exercises
3.StochasticProcessesinDiscreteTime
3.1InformationandFiltrations
3.2Discrete-parameterStochasticProcesses
3.3DefinitionandBasicPropertiesofMartingales
3.4MartingaleTransforms
3.5StoppingTimesandOptionalStopping
3.6TheSnellEnvelopeandOptimalStopping
3.7SpacesofMartingales
3.8MarkovChains
Exercises
4.MathematicalFinanceinDiscreteTime
4.1TheModel
4.2ExistenceofEquivalentMartingaleMeasures
4.2.1TheNo-arbitrageCondition
4.2.2Risk-NeutralPricing
4.3CompleteMarkets：UniquenessofEMMs
4.4TheFundamentalTheoremofAssetPricing：Risk-Neutral
Valuation
4.5TheCox-Ross-RubinsteinModel
4.5.1ModelStructure
4.5.2Risk-neutralPricing
4.5.3Hedging
4.6BinomialApproximations
4.6.1ModelStructure
4.6.2TheBlack-ScholesOptionPricingFormula
4.6.3FurtherLimitingModels
4.7AmericanOptions
4.7.1Theory
4.7.2AmericanOptionsintheCRRModel
4.8FurtherContingentClaimValuationinDiscreteTime
4.8.1BarrierOptions
4.8.2LookbackOptions
4.8.3AThree-periodExample
4.9MultifactorModels
4.9.1ExtendedBinomialModel
4.9.2MultinomialModels
Exercises
5.StochasticProcessesinContinuousTime
6.MathematicalFinanceinContinuousTime
7.IncompleteMarkets
8.InterestRateTheory
9.CreditRisk
A.HilbertSpace
B.ProjectionsandConditionalExpectations
C.TheSeparatingHyperplaneTheorem
Bibliograpy
Index