正版未使用 利率模型/美-卡莫纳/英文版 201301-版次 没有塑封

图书标准信息

• 作者 [美]卡莫纳 著
• 出版社 世界图书出版公司
• 出版时间 2013-01
• 版次 1
• ISBN 9787510052774
• 定价 39.00元
• 装帧 平装
• 开本 24开
• 纸张 其他
• 页数 235页

【内容简介】

　　卡莫纳编著的《利率模型》内容介绍：Themaingoalofthebookistopresent,inaself-containedmanner,theempiricalfactsneededtounderstandthesophisticatedmathematicalmodelsdevelopedbythefinancialmathematicscommunityoverthelastdecade.Soafteraveryelementaryintroductiontothemechanicsofthebondmarket,andathoroughstatisticalanalysisofthedataavailabletoanycuriousspectatorwithoutanyspecialinsidetrackinformation,wegraduallyintroducethemathematicaltoolsneededtoanalyzethestochasticmodelsmostwidelyusedintheindustry.OurpointofviewhasbeenstronglyinfluencedbyrecentworksofContandhiscollaboratorsandthePh.D.ofFilipovid.TheymergetheoriginalproposalofMusielainvitingustorewritetheHJMmodelasastochasticpartialdifferentialequation,togetherwithBjork'sproposaltorecasttheHJMmodelintheframeworkofstochasticdifferentialequationsinaBaoachspace.

【目录】

PartⅠTheTermStructureofInterestRates
DataandInstrumentsoftheTermStructureofInterestRates
1.1TimeValueofMoneyandZeroCouponBonds
1.1.1TreasuryBills
1.1.2DiscountFactorsandInterestRates
1.2CouponBearingBonds
1.2.1TreasuryNotesandTreasuryBonds
1.2.2TheSTRIPSProgram
1.2.3CleanPrices
1.3TermStructureasGivenbyCurves
1.3.1TheSpot（ZeroCoupon）YieldCurve
1.3.2TheForwardRatsCurveandDuration
1.3.3SwapRateCurves
1.4ContinuousCompoundingandMarketConventions
1.4.1DayCountConventions
1.4.2CompoundingConventions
1.4.3Summary
1.5RelatedMarkets
1.5.1MunicipalBonds
1.5.2IndsxLinkedBonds
1.5.3CorporateBondsandCreditMarkets
1.5.4TaxIssues
1.5.5AssetBackedSecurities
1.6StatisticalEstimationoftheTermStructure
1.6.1YieldCurveEstimation
1.6.2ParametricEstimationProcedures
1.6.3NonparametricEstimationProcedures
1.7PrincipalComponentAnalysis
1.7.1PrincipalComponentsofaRandomVector
1.7.2MultivariateDataPCA
1.7.3PCAoftheYieldCurve
1.7.4PCAoftheSwapRateCurve
Notes&Complements
TermStructureFactorModels
2.1FactorModelsfortheTermStructure
2.2AfllneModels
2.3ShortRateModelsasOne-FactorModels
2.3.1IncompleteneSsandPricing
2.3.2SpecificModels
2.3.3APDEforNumericalPurposes
2.3.4ExplicitPricingFormulae
2.3.5RigidTermStructuresforCalibration
2.4TermStructureDynamics
2.4.1TheHeathJarrow-MortonFramework
2.4.2HedgingContingentClaims
2.4.3AShortcomingoftheFinite-RankModels
2.4.4TheMusielaNotation
2.4.5RandomFieldFormulation
2.5Appendices
Notes&Complements
PartⅡInfiniteDimensionalStochasticAnalysis
InfiniteDimensionalIntegrationTheory
3.1Introduction
3.1.1TheSetting
3.1.2DistributionsofGaussianProcesses
3.2GanssianMeasuresinBanachSpacesandExamples
3.2.1IntegrabilityProperties
3.2.2IsouormalProcesses
3.3ReproducingKernelHilbertSpace
3.3.1RKHSofGaussianProcesses
3.3.2TheRKHSoftheClassicalWienerMeasure
3.4TopologicalSupports.Carriers.EquivalenceandSingularity
3.4.1TopologicalSupportsofGaussianMeasures
3.4.2EquivalenceandSingularityofGaussianMeasures
3.5SeriesExpansions
3.6CylindricalMeasures
3.6.1TheCanonical（Ganssian）CylindricalMeasure
ofaHilbertSpace
3.6.2IntegrationwithRespecttoaCylindricalMeasure
3.6.3CharacteristicFunctionsandBochner'sTheorem
3.6.4RadonificationofCylindricalMeasures
3.7Appendices
Notes&Complements
StochasticAnalysisinInfiniteDimensions
4.1InfiniteDimensionalWienerProcesses
4.1.1RevisitingsomeKnownTwo-ParameterProcesses
4.1.2BannchSpaceValuedWienerProcess
4.1.3SamplePathRegularity
4.1.4AbsoluteContinuityIssues
4.1.5SeriesExpansions
4.2StochasticIntegralandIt6Processes
4.2.1TheCaseofE*-andH*-ValuedIntegrands
4.9.2TheCaseofOperatorValuedIntegrands
4.2.3StochasticConvolutions
4.3MartingaleRepresentationTheorems
4.4Girsanov'sTheoremandChangesofMeasures
4.5InfiniteDimensionalOrnsteinUhtenbeckProcesses
4.5.1FiniteDimensionalOUProcesses
4.5.2InfiniteDimensionalOUProcesses
4.5.3TheSDEApproachinInfiniteDimensions
4.6StochasticDifferentialEquations
Notes&Complements
TheMalliavinCalculus
5.1TheMalliavinDerivative
5.1.1VariousNotionsofDifferentiability
5.1.2TheDefinitionoftheMalliavinDerivative
5.2TheChainRule
5.3TheSkorohodIntegral
5.4TheClarkOconeFormula
5.4.1SobolevandLogarithmicSebolevInequalities
5.5ManiavinDerivativesandSDEs
5.5.1RandomOperators
5.5.2AUsefulFormula
5.6ApplicationsinNumericalFinance
5.6.1ComputationoftheDelta
5.6.2ComputationofConditionalExpectations
Notes&Complements
PartⅢGeneralizedModelsfortheTermStructure
6GeneralModels
6.1ExistenceofaBondMarket
6.2TheHJMEvolutionEquation
6.2.1FunctionSpacesforForwardCurves
6.3TheAbstractHJMModel
6.3.1DriftConditionandAbsenceofArbitrage
6.3.2LongRatesNeverFall
6.3.3AConcreteExample
6.4GeometryoftheTermStructureDynamics
6.4.1TheConsistencyProblem
6.4.2FiniteDimensionalRealizations
6.5GeneralizedBondPortfolios
6.5.1ModelsoftheDiscountedBondPriceCurve
6.5.2TradingStrategies
6.5.3UniquenessofHedgingStrategies
6.5.4ApproximateCompletenessoftheBondMarket
6.5.5HedgingStrategiesforLipscbitzClaims
Notes&Complements
7SpecificModels
7.1MarkovianHJMModels
7.1.1GaussianMarkovModels
7.1.2AssumptionsontheStateSpace
7.1.3InvariantMeasuresforGauss-MarkovHJMModels
7.1.4Non-UniquenessoftheInvariantMeasure
7.1.5AsymptoticBehavior
7.1.6TheShortRateisaMaximumonAverage
7.2SPDEsandTermStructureModels
7.2.1TheDeformationProcess
7.2.2AModeloftheDeformationProcess
7.2.3AnalysisoftheSPDE
7.2.4RegularityoftheSolutions
7.3MarketModels
7.3.1TheForwardMeasure
7.3.2LIBORRatesRevisited
Notes&Complements
References
NotationIndex
AuthorIndex
SubjectIndex