利率衍生物定价的有效方法

图书标准信息

• 作者 A.佩尔森（Antoon Pelsser） 著
• 出版社 世界图书出版公司
• 出版时间 2013-05
• 版次 1
• ISBN 9787510058394
• 定价 35.00元
• 装帧 平装
• 开本 16开
• 纸张 胶版纸
• 页数 172页
• 正文语种 英语

【内容简介】

　　《利率衍生物定价的有效方法》是一部全面讲述计算和管理利率衍生物模型的教程。分为两个部分：第一部分比较和讨论了传统模型，比如即期和远期利率模型；第二部分主要讲述最新发展起来的市场模型。《利率衍生物定价的有效方法》和同时期众多图书的不同之处在于，不仅专注于数学知识，并大量刻画了作者在工业应用中的实践经验。

【目录】

1.introduction
2.arbitrage，martingalesandnumericalmethods
2.1arbitrageandmartingales
2.1.1basicsetup
2.1.2equivalentmartingalemeasure
2.1.3changeofnumerairetheorem
2.1.4girsanov'stheoremandito'slemma
2.1.5application：black-scholesmodel
2.1.6application：foreign-exchangeoptions
2.2numericalmethods
2.2.1derivationofblack-scholespartialdifferentialequation
2.2.2feynman-kacformula
2.2.3numericalsolutionofpde's
2.2.4montecarlosimulation
2.2.5numericalintegration

parti.spotandforwardratemodels
3.spotandforwardratemodels
3.1vasicekmethodology
3.1.1spotinterestrate
3.1.2partialdifferentialequation
3.1.3calculatingprices
3.1.4example：ho-leemodel
3.2heath-jarrow-mortonmethodology
3.2.1forwardrates
3.2.2equivalentmartingalemeasure
3.2.3calculatingprices
3.2.4example：ho-leemodel
3.3equivalenceofthemethodologies
4.fundamentalsolutionsandtheforward-risk-adjustedmeasure
4.1forward-risk-adjustedmeasure
4.2fundamentalsolutions
4.3obtainingfundamentalsolutions
4.4example：ho-leemodel
4.4.1radon-nikodymderivative
4.4.2fundamentalsolutions
4.5fundamentalsolutionsfornormalmodels
5.thehull-whitemodel
5.1spotrateprocess
5.1.1partialdifferentialequation
5.1.2transformationofvariables
5.2analyticalformulae
5.2.1fundamentalsolutions
5.2.2optionprices
5.2.3pricesforotherinstruments
5.3implementationofthemodel
5.3.1fittingthemodeltotheinitialterm-structure
5.3.2transformationofvariables
5.3.3trinomialtree
5.4performanceofthealgorithm
5.5appendix
6.thesquaredgaussianmodel
6.1spotrateprocess
6.1.1partialdifferentialequation
6.2analyticalformulee
6.2.1fundamentalsolutions
6.2.2optionprices
6.3implementationofthemodel
6.3.1fittingthemodeltotheinitialterm-structure
6.3.2trinomialtree
6.4appendixa
6.5appendixb
7.anempiricalcomparisonofone-factormodels
7.1yield-curvemodels
7.2econometricapproach
7.3data
7.4empiricalresults
7.5conclusions

partii.marketratemodels
8.liborandswapmarketmodels
8.1libormarketmodels
8.1.1liborprocess
8.1.2capletprice
8.1.3terminalmeasure
8.2swapmarketmodels
8.2.1interestrateswaps
8.2.2swaptionprice
8.2.3terminalmeasure
8.2.4ti-forwardmeasure
8.3montecarlosimulationforlibormarketmodels
8.3.1calculatingthenumerairerebasedpayoff
8.3.2example：vanillacap
8.3.3discretebarriercaps/floors
8.3.4discretebarrierdigitalcaps/floors
8.3.5paymentstream
8.3.6ratchets
8.4montecarlosimulationforswapmarketmodels
8.4.1terminalmeasure
8.4.2ti-forwardmeasure
8.4.3example：spreadoption
9.markov-functionalmodels
9.1basicassumptions
9.2libormarkov-functionalmodel
9.3swapmarkov-functionalmodel
9.4numericalimplementation
9.4.1numericalintegration
9.4.2non-parametricimplementation
9.4.3semi-parametricimplementation
9.5forwardvolatilitiesandauto-correlation
9.5.1mean-reversionandauto-correlation
9.5.2auto-correlationandthevolatilityfunction
9.6liborexample：barriercaps
9.6.1numericalcalculation
9.6.2comparisonwithlibormarketmodel
9.6.3impactofmean-reversion
9.7liborexample：chooser-andauto-caps
9.7.1auto-caps/floors
9.7.2chooser-caps/floors
9.7.3auto-andchooser-digitals
9.7.4numericalimplementation
9.8swapexample：bermudanswaptions
9.8.1earlynotification
9.8.2comparisonbetweenmodels
10.anempiricalcomparisonofmarketmodels
10.1datadescription
10.2libormarketmodel
10.2.1calibrationmethodology
10.2.2estimationandpricingresults
10.3swapmarketmodel
10.3.1calibrationmethodology
10.3.2estimationandpricingresults
10.4conclusion
11.convexitycorrection
11.1convexitycorrectionandchangeofnumeraire
11.1.1multi-currencychangeofnumerairetheorem
11.1.2convexitycorrection
11.2optionsonconvexitycorrectedrates
11.2.1optionpriceformula
11.2.2digitalpriceformula
11.3singleindexproducts
11.3.1liborinarrears
11.3.2constantmaturityswap
11.3.3diffedlibor
11.3.4diffedcms
11.4multi-indexproducts
11.4.1ratebasedspreadoptions
11.4.2spreaddigital
11.4.3othermulti-indexproducts
11.4.4comparisonwithmarketmodels
11.5awarningonconvexitycorrection
11.6appendix：linearswapratemodel
12.extensionsandfurtherdevelopments
12.1generalphilosophy
12.2multi-factormodels
12.3volatilityskews
references
index