金融模型中的鞅方法（第2版）（馆藏）

图书标准信息

• 作者 [英]慕斯勒（Marek Musiela）、[英]Marek Rutkowski 著
• 出版社 世界图书出版公司
• 出版时间 2013-10
• 版次 2
• ISBN 9787510061394
• 定价 129.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 715页
• 正文语种 英语

【内容简介】

　　Letusstressthatwehaveonlytakenoutfewsectionsthat，inouropinion，wereofmarginalimportancefortheunderstandingofthefundamentalprinciplesoffinancialmodellingofarbitragevaluationofderivatives.Inviewoftheabundanceofnewresultsinthearea，itwouldbeinanycaseunimaginabletocoverallexistingapproachestopricingandhedgingfinancialderivatives（nottomentionallimportantresults）inasinglebook，nomatterhowvoluminousitwere.Hence，severalintensivelystudiedareas，suchas:mean-variancehedging，utility-basedpricing，entropybasedapproach，financialmodelswithfrictions（e.g.，short-sellingconstraints，bidaskspreads，transactioncosts，etc.）eitherremainunmentionedinthistext，orarepresentedverysuccinctly.Althoughtheissueofmarketincompletenessisnottotallyneglected，itisexaminedprimarilyintheframeworkofmodelsofstochastic（oruncertain）volatility.Luckilyenough，theafore-mentionedapproachesandresultsarecoveredexhaustivelyinseveralexcellentmonographswritteninrecentyearsbyourdistinguishedcolleagues，andthusitisourpleasuretobeabletorefertheinterestedreadertothesetexts.

【目录】

PrefacetotheSecondEdition
NoteontheSecondPrinting
PrefacetotheFirstEdition

Part1SpotandFuturesMarkets
1AnIntroductiontoFinancialDerivatives
1.1Options
1.2FuturesContractsandOptions
1.3ForwardContracts
1.4CallandPutSpotOptions
1.4.1One-periodSpotMarket
1.4.2ReplicatingPortfolios
1.4.3MartingaleMeasureforaSpotMarket
1.4.4AbsenceofArbitrage
1.4.5OptimalityofReplication
1.4.6ChangeofaNumeraire
1.4.7PutOption
1.5ForwardContracts
1.5.1ForwardPrice
1.6FuturesCallandPutOptions
1.6.1FuturesContractsandFuturesPrices
1.6.2One-periodFuturesMarket
1.6.3MartingaleMeasureforaFuturesMarket
1.6.4AbsenceofArbitrage
1.6.5One-periodSpot/FuturesMarket
1.7OptionsofAmericanStyle
1.8UniversalNo-arbitrageInequalities

2Discrete-timeSecurityMarkets
2.1TheCox-Ross-RubinsteinModel
2.1.1BinomialLatticefortheStockPrice
2.1.2RecursivePricingProcedure
2.1.3CRROptionPricingFormula
2.2MartingalePropertiesoftheCRRModel
2.2.1MartingaleMeasures
2.2.2Risk-neutralValuationFormula
2.2.3ChangeofaNumeraire
2.3TheBlack-ScholesOptionPricingFormula
2.4ValuationofAmericanOptions
2.4.1AmericanCallOptions
2.4.2AmericanPutOptions
2.4.3AmericanClaims..
2.5OptionsonaDividend-payingStock
2.6SecurityMarketsinDiscreteTime
2.6.1FiniteSpotMarkets..
2.6.2Self-financingTradingStrategies
2.6.3ReplicationandArbitrageOpportunities
2.6.4ArbitfagePrice
2.6.5Risk-neutralValuationFormula
2.6.6ExistenceofaMartingaleMeasure
2.6.7CompletenessofaFiniteMarket
2.6.8SeparatingHyperplaneTheorem
2.6.9ChangeofaNumeraire
2.6.10Discrete-timeModelswithInfiniteStateSpace
2.7FiniteFuturesMarkets
2.7.1Self-financingFuturesStrategies
2.7.2MartingaleMeasuresforaFuturesMarket
2.7.3Risk-neutralValuationFormula
2.7.4FuturesPricesVersusForwardPrices
2.8AmericanContingentClaims
2.8.1OptimalStoppingProblems
2.8.2ValuationandHedgingofAmericanClaims
2.8.3AmericanCallandPut
2.9GameContingentClaims
2.9.1DynkinGames
2.9.2ValuationandHedgingofGameContingentClaims

3BenchmarkModelsinContinuousTime
3.1TheBlack-ScholesModel
3.1.1Risk-freeBond
3.1.2StockPrice
3.1.3Self-financingTradingStrategies
3.1.4MartingaleMeasurefortheBlack-ScholesModel
……

PartIIFixed-incomeMarkets
PartIIIAPPENDIX
References
Index