衍生证券教程：理论和计算

图书标准信息

• 作者 [美]贝克 著
• 出版社 世界图书出版公司
• 出版时间 2010-09
• 版次 1
• ISBN 9787510027260
• 定价 49.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 355页

【内容简介】

Thisbookisanoutgrowthofnotescompiledbytheauthorwhileteachingcoursesforundergraduateandmasters/MBAfinancestudentsatWashing-tonUniversityinSt.LouisandtheInstitutffirHShereStudieninVienna.Atonetime,acourseinOptionsandFutureswasconsideredanadvancedfinanceelective,butnowsuchacourseisnearlymandatoryforanyfinancemajorandisanelectivechosenbymanynon-financemajorsaswell.Moreover,studentsareexposedtoderivativesecuritiesincoursesonInvestments,InternationalFinance,RiskManagement,InvestmentBanking,FixedIncome,etc.Thisex-pansionofeducationinderivativesecuritiesmirrorstheincreasedimportanceofderivativesecuritiesincorporatefinanceandinvestmentmanagement.

【目录】

partiintroductiontooptionpricing
1assetpricingbasics
1.1fundamentalconcepts
1.2statepricesinaone-periodbinomialmodel
1.3probabilitiesandnumeraires
1.4assetpricingwithacontinuumofstates
1.5introductiontooptionpricing
1.6anincompletemarketsexample
problems
2continuous-timemodels
2.1simulatingabrownianmotion
2.2quadraticvariation
2.3it6processes
2.4it6'sformula
2.5multipleit5processes
2.6examplesofit6'sformula
2.7reinvestingdividends
2.8geometricbrownianmotion
2.9numerairesandprobabilities
2.10tailprobabilitiesofgeometricbrownianmotions
2.11volatilities
problems
3black-scholes
3.1digitaloptions
3.2sharedigitals
3.3putsandcalls
3.4greeks
3.5deltahedging
3.6gammahedging
3.7impliedvolatilities
3.8termstructureofvolatility
3.9smilesandsmirks
3.10calculationsinvba
problems
4estimatingandmodellingvolatility
4.1statisticsreview
4.2estimatingaconstantvolatilityandmean
4.3estimatingachangingvolatility
4.4garchmodels
4.5stochasticvolatilitymodels
4.6smilesandsmirksagain
4.7hedgingandmarketcompleteness
problems
5introductiontomontecarloandbinomialmodels
5.1introductiontomontecarlo
5.2introductiontobinomialmodels
5.3binomialmodelsforamericanoptions
5.4binomialparameters
5.5binomialgreeks
5.6montecarlogreeksi：differenceratios
5.7montecarlogreeksii：pathwiseestimates
5.8calculationsinvba
problems

partiiadvancedoptionpricing
6foreignexchange
6.1currencyoptions
6.2optionsonforeignassetsstruckinforeigncurrency
6.3optionsonforeignassetsstruckindomesticcurrency
6.4currencyforwardsandfutures
6.5quantos
6.6replicatingquantos
6.7quantoforwards
6.8quantooptions
6.9returnswaps
6.10uncoveredinterestparity
problems
7forward，futures，andexchangeoptions
7.1margrabe'sformula
7.2black'sformula
7.3merton'sformula
7.4deferredexchangeoptions
7.5calculationsinvba
7.6greeksandhedging
7.7therelationoffuturespricestoforwardprices
7.8futuresoptions
7.9time-varyingvolatility
7.10hedgingwithforwardsandfutures
7.11marketcompleteness
problems
8exoticoptions
8.1forward-startoptions
8.2compoundoptions
8.3americancallswithdiscretedividends
8.4choosers
8.5optionsonthemaxormin
8.6barrieroptions
8.7lookbacks
8.8basketandspreadoptions
8.9asianoptions
8.10calculationsinvba
problems
9moreonmontecarloandbinomialvaluation
9.1montecarlomodelsforpath-dependentoptions
9.2binomialvaluationofbasketandspreadoptions
9.3montecarlovaluationofbasketandspreadoptions
9.4antitheticvariatesinmontecarlo
9.5controlvariatesinmontecarlo
9.6acceleratingbinomialconvergence
9.7calculationsinvba
problems
10finitedifferencemethods
10.1fundamentalpde
10.2discretizingthepde
10.3explicitandimplicitmethods
10.4crank-nicolson
10.5europeanoptions
10.6americanoptions
10.7barrieroptions
10.8calculationsinvba
problems

partiiifixedincome
11fixedincomeconcepts
11.1theyieldcurve
11.2libor
11.3swaps
11.4yieldtomaturity，duration，andconvexity
11.5principalcomponents
11.6hedgingprincipalcomponents
problems
12introductiontofixedincomederivatives
12.1capsandfloors
12.2forwardrates
12.3portfoliosthatpayspotrates
12.4themarketmodelforcapsandfloors
12.5themarketmodelforeuropeanswaptions
12.6acommentonconsistency
12.7capletsasputsondiscountbonds
12.8swaptionsasoptionsoncouponbonds
12.9calculationsinvba
problems
13valuingderivativesintheextendedvasicekmodel
13.1theshortrateanddiscountbondprices
13.2thevasicekmode]
13.3estimatingthevasicekmodel
13.4hedginginthevasicekmodel
13.5extensionsofthevasicekmodel
13.6fittingdiscountbondpricesandforwardrates
13.7discountbondoptions，capsandfloors
13.8couponbondoptionsandswaptions
13.9captionsandfloortions
13.10yieldsandyieldvolatilities
13.11thegeneralhull-whitemodel
13.12calculationsinvba
problems
14abriefsurveyoftermstructuremodels
14.1ho-lee
14.2black-derman-toy
14.3black-karasinski
14.4cox-ingersoll-ross
14.5longstaff-schwartz
14.6heath-jarrow-morton
14.7marketmodelsagain
problems
ppendices
aprogramminginvba
a.1vbaeditorandmodules
a.2subroutinesandfunctions
a.amessageboxandinputbox
a.4writingtoandreadingfromceils
a.5variablesandassignments
a.6mathematicaloperations
a.7randomnumbers
a.8forloops
a.9whileloopsandlogicalexpressions
a.10if，else，andelseifstatements
a.11variabledeclarations
a.12variablepassing
a.13arrays
a.14debugging
bmiscellaneousfactsaboutcontinuous-timemodels
b.1girsanov'stheorem
b.2theminimumofageometricbrownianmotion
b.3besselsquaredprocessesandthecirmodel
listofprograms
listofsymbols
references
index