外汇用的数学方法

图书标准信息

• 作者 [美]利普顿 著
• 出版社 世界图书出版公司
• 出版时间 2009-08
• 版次 1
• ISBN 9787510005398
• 定价 88.00元
• 装帧 平装
• 开本 16开
• 纸张 胶版纸
• 页数 676页
• 正文语种 英语

【内容简介】

　　《外汇用的数学方法》是一部系统、综合讲述了金融中尤其是外汇运用中的数学模型，具有很强的实用性。它揭示了金融工程的各个相关方面，包括衍生工具定价。《外汇用的数学方法》自成体系，介绍了必需的数学、经济以及简单贸易背景。除了标准材料的处理，还增加了许多原始结果。

【目录】

Preface
ⅠIntroduction
1Foreignexchangemarkets
1.1Introduction
1.2Historicalbackground
1.3Forexasanassetclass
1.4Spotforex
1.5Derivatives：forwards，futures，calls，puts，andallthat
1.6Referencesandfurtherreading

ⅡMathematicalpreliminaries
2Elementsofprobabilitytheory
2.1Introduction
2.2Probabilityspaces
2.3Randomvariables
2.4Convergenceofrandomvariablesandlimittheorems
2.5Referencesandfurtherreading

3Discrete-timestochasticengines
3.1Introduction
3.2Timeseries
3.3Binomialstochasticenginesforsingle-andmulti-periodmarkets
3.4Multinomialstochasticengines
3.5Referencesandfurtherreading

4Continuous-timestochasticengines
4.1Introduction
4.2Stochasticprocesses
4.3Markovprocesses
4.4Diffusions
4.5Wienerprocesses
4.6Poissonprocesses
4.7SDEandMappings
4.8LinearSDEs
4.9SDEsforjump-diffusions
4.10AnalyticalsolutionofPDEs
4.10.1Introduction
4.10.2Thereductionmethod
4.10.3TheLaplacetransformmethod
4.10.4Theeigenfunctionexpansionmethod
4.11NumericalsolutionofPDEs
4.11.1Introduction
4.11.2Explicit，implicit，andCrank-Nicolsonschemesforsolvingoneimensionalproblems
4.11.3ADIschemeforsolvingtwo-dimensionalproblems
4.12NumericalsolutionofSDEs
4.12.1Introduction
4.12.2Formulationoftheproblem
4.12.3TheEuler-Maruyamascheme
4.12.4TheMilsteinscheme
4.13Referencesandfurtherreading

ⅢDiscrete-timemodels
5Single-periodmarkets
5.1Introduction
5.2Binomialmarketswithnonriskyinvestments
5.3Binomialmarketswithoutnonriskyinvestments
5.4Generalsingle-periodmarkets
5.5Economicconstraints
5.6Pricingofcontingentclaims
5.7Elementaryportfoliotheory
5.8Theoptimalinvestmentproblem
5.9Elementsofequilibriumtheory
5.10Referencesandfurtherreading

6Multi-periodmarkets
6.1Introduction
6.2Stationarybinomialmarkets
6.3Non-stationarybinomialmarkets
6.3.1Introduction
6.3.2Thenonrecombiningcase
6.3.3Therecombiningcase
6.4Generalmulti-periodmarkets
6.5Contingentclaimsandtheirvaluationandhedging
6.6Portfoliotheory
6.7Theoptimalinvestmentproblem
6.8Referencesandfurtherreading

ⅣContinuous-timemodels
7Stochasticdynamicsofforex
7.1Introduction
7.2Two-countrymarketswithdeterministicinvestments
7.3Two-countrymarketswithoutdeterministicinvestments.
7.4Multi-countrymarkets
7.5Thenonlineardiffusionmodel.
7.6Thejumpdiffusionmodel
7.7Thestochasticvolatilitymodel
7.8Thegeneralforexevolutionmodel
7.9Referencesandfurtherreading

8Europeanoptions：thegroup-theoreticalapproach
8.1Introduction
8.2Thetwo-countryhomogeneousproblem，Ⅰ
8.2.1Formuiationoftheproblem
8.2.2Reductionsofthepricingproblem
8.2.3ContinuoushedgingandtheGreeks
8.3Forwards，callsandputs
8.3.1Definitions
8.3.2PricingviatheFeynman-Kacformula
8.3.3Anaivepricingattempt
8.3.4PricingviatheFouriertransformmethod
8.3.5PricingviatheLaplacetransformmethod
8.3.6Thelimitingbehaviorofcallsandputs
8.4Contingentclaimswitharbitrarypayoffs
8.4.1Introduction
8.4.2Thedecompositionformula
8.4.3Callandputbets
8.4.4Logcontractsandmodifiedlogcontracts
8.5Dynamicassetallocation
8.6Thetwo-countryhomogeneousproblem，Ⅱ
8.7Themulti-countryhomogeneousproblem
8.7.1Introduction
8.7.2Thehomogeneouspricingproblem
8.7.3Reductions
8.7.4Probabilisticpricingandhedging
8.8Somerepresentativemulti-factoroptions
8.8.1Introduction
8.8.2Outperformanceoptions
8.8.3OptionsonthemaximumorminimumofseveralFXRs
8.8.4Basketoptions
8.8.5Indexoptions
8.8.6Themulti-factordecompositionformula
8.9Referencesandfurtherreading

9Europeanoptions，theclassicalapproach
9.1Introduction
9.2Theclassicaltwo-countrypricingproblem，Ⅰ
9.2.1Theprojectionmethod
9.2.2Theclassicalmethod.
9.2.3Theimpactoftheactualdrift
9.3Solutionoftheclassmalpricingproblem
9.3.1Nondimensionalization
9.3.2Reductions
9.3.3Thepricingandhedgingformulasforforwards，callsandputs
9.3.4Europeanoptionswithexoticpayoffs
9.4Theclassicaltwo-countrypricingproblem，Ⅱ
9.5Themulti-countryclassicalpricingproblem
9.5.1Introduction
……
Bilbiography
Index