金融衍生品数学模型

图书标准信息

• 作者 郭宇权 著
• 出版社 世界图书出版公司
• 出版时间 2010-04
• 版次 1
• ISBN 9787510005503
• 定价 49.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 530页
• 正文语种 英语

【内容简介】

《金融衍生品数学模型(第2版)》旨在运用金融工程方法讲述模型衍生品背后的理论，作为重点介绍了对大多数衍生证券很常用的鞅定价原理。书中还分析了固定收入市场中的大量金融衍生品，强调了定价、对冲及其风险策略。《金融衍生品数学模型(第2版)》从著名的期权定价模型的Black-Scholes-Merton公式开始，讲述衍生品定价模型和利率模型中的最新进展，解决各种形式衍生品定价问题的解析技巧和数值方法。目次：衍生品工具介绍；金融经济和随机计算；期权定价模型；路径依赖期权；美国期权；定价期权的数值方案；利率模型和债券计价；利率衍生品：债券期权、LIBOR和交换产品。

【目录】

Preface
1IntroductiontoDerivativeInstruments
1.1FinancialOptionsandTheirTradingStrategies
1.1.1TradingStrategiesInvolvingOptions
1.2RationalBoundariesforOptionValues
1.2.1EffectsofDividendPayments
1.2.2Put-CallParityRelations
1.2.3ForeignCurrencyOptions
1.3ForwardandFuturesContracts
1.3.1ValuesandPricesofForwardContracts
1.3.2RelationbetweenForwardandFuturesPrices
1.4SwapContracts
1.4.1InterestRateSwaps
1.4.2CurrencySwaps
1.5Problems

2FinancialEconomicsandStochasticCalculus
2.1SinglePeriodSecuritiesModels
2.1.1DominantTradingStrategiesandLinearPricingMeasures
2.1.2ArbitrageOpportunitiesandRiskNeutralProbabilityMeasures
2.1.3ValuationofContingentClaims
2.1.4PrinciplesofBinomialOptionPricingModel
2.2Filtrations，MartingalesandMultiperiodModels
2.2.1InformationStructuresandFiltrations
2.2.2ConditionalExpectationsandMartingales
2.2.3StoppingTimesandStoppedProcesses
2.2.4MultiperiodSecuritiesModels
2.2.5MultiperiodBinomialModels
2.3AssetPriceDynamicsandStochasticProcesses
2.3.1RandomWalkModels
2.3.2BrownianProcesses
2.4StochasticCalculus：ItosLemmaandGirsanovsTheorem
2.4.1StochasticIntegrals
2.4.2ItosLemmaandStochasticDifferentials
2.4.3ItosProcessesandFeynman-KacRepresentationFormula
2.4.4ChangeofMeasure：Radon-NikodymDerivativeandGirsanovsTheorem.
2.5Problems

3OptionPricingModels：Blaek-Scholes-MertonFormulation
3.1Black-Scholes-MertonFormulation
3.1.1RisklessHedgingPrinciple
3.1.2DynamicReplicationStrategy
3.1.3RiskNeutralityArgument
3.2MartingalePricingTheory
3.2.1EquivalentMartingaleMeasureandRiskNeutralValuation
3.2.2Black-ScholesModelRevisited
3.3Black-ScholesPricingFormulasandTheirProperties
3.3.1PricingFormulasforEuropeanOptions
3.3.2ComparativeStatics
3.4ExtendedOptionPricingModels
3.4.1OptionsonaDividend-PayingAsset
3.4.2FuturesOptions
3.4.3ChooserOptions
3.4.4CompoundOptions
3.4.5MertonsModelofRiskyDebts
3.4.6ExchangeOptions
3.4.7EquityOptionswithExchangeRateRiskExposure
3.5BeyondtheBlack-ScholesPricingFramework
3.5.1TransactionCostsModels
3.5.2Jump-DiffusionModels
3.5.3ImpliedandLocalVolatilities
3.5.4StochasticVolatilityModels
3.6Problems

4PathDependentOptions
4.1BarrierOptions
4.1.1EuropeanDown-and-OutCallOptions
4.1.2TransitionDensityFunctionandFirstPassageTimeDensity
4.1.3OptionswithDoubleBarriers
4.1.4DiscretelyMonitoredBarrierOptions
4.2LookbackOptions
4.2.1EuropeanFixedStrikeLookbackOptions
4.2.2EuropeanFloatingStrikeLookbackOptions
4.2.3MoreExoticFormsofEuropeanLookbackOptions
4.2.4DifferentialEquationFormulation
4.2.5DiscretelyMonitoredLookbackOptions
4.3AsianOptions.
4.3.1PartialDifferentialEquationFormulation
4.3.2ContinuouslyMonitoredGeometricAveragingOptions
4.3.3ContinuouslyMonitoredArithmeticAveragingOptions
4.3.4Put-CallParityandFixed-FloatingSymmetryRelations
4.3.5FixedStrikeOptionswithDiscreteGeometricAveraging
4.3.6FixedStrikeOptionswithDiscreteArithmeticAveraging
4.4Problems

5AmericanOptions
5.1CharacterizationoftheOptimalExerciseBoundaries
5.1.1AmericanOptionsonanAssetPayingDividendYield
5.1.2SmoothPastingCondition.
5.1.3OptimalExerciseBoundaryforanAmericanCall
5.1.4Put-CallSymmetryRelations.
5.1.5AmericanCallOptionsonanAssetPayingSingleDividend
5.1.6One-DividendandMultidividendAmericanPutOptions
5.2PricingFormulationsofAmericanOptionPricingModels
5.2.1LinearComplementarityFormulation
5.2.2OptimalStoppingProblem
5.2.3IntegralRepresentationoftheEarlyExercisePremium
5.2.4AmericanBarrierOptions
5.2.5AmericanLookbackOptions
5.3AnalyticApproximationMethods
5.3.1CompoundOptionApproximationMethod
5.3.2NumericalSolutionoftheIntegralEquation
5.3.3QuadraticApproximationMethod
5.4OptionswithVoluntaryResetRights
5.4.1ValuationoftheShoutFloor
5.4.2Reset-StrikePutOptions
5.5Problems

6NumericalSchemesforPricingOptions
6.1LatticeTreeMethods
6.1.1BinomialModelRevisited
6.1.2ContinuousLimitsoftheBinomialModel
6.1.3DiscreteDividendModels
6.1.4EarlyExerciseFeatureandCallableFeature
6.1.5TrinomialSchemes
6.1.6ForwardShootingGridMethods
6.2FiniteDifferenceAlgorithms
6.2.1ConstructionofExplicitSchemes
6.2.2ImplicitSchemesandTheirImplementationIssues
6.2.3FrontFixingMethodandPointRelaxationTechnique
6.2.4TruncationErrorsandOrderofConvergence
6.2.5NumericalStabilityandOscillationPhenomena
6.2.6NumericalApproximationofAuxiliaryConditions
6.3MonteCarloSimulation
6.3.1VarianceReductionTechniques
6.3.2LowDiscrepancySequences
6.3.3ValuationofAmericanOptions
6.4Problems

7InterestRateModelsandBondPricing
7.1BondPricesandInterestRates
7.1.1BondPricesandYieldCurves
7.1.2ForwardRateAgreement，BondForwardandVanillaSwap
7.1.3ForwardRatesandShortRates
7.1.4BondPricesunderDeterministicInterestRates
7.2One-FactorShortRateModels
7.2.1ShortRateModelsandBondPrices
7.2.2VasicekMeanReversionModel
7.2.3Cox-Ingersoll-RossSquareRootDiffusionModel
7.2.4GeneralizedOne-FactorShortRateModels
7.2.5CalibrationtoCurrentTermStructuresofBondPrices
7.3MultifactorInterestRateModels
7.3.1ShortRate/LongRateModels
7.3.2StochasticVolatilityModels
7.3.3AffineTermStructureModels
7.4Heath-Jarrow-MortonFramework
7.4.1ForwardRateDriftCondition
7.4.2ShortRateProcessesandTheftMarkovianCharacterization
7.4.3ForwardLIBORProcessesunderGanssianHIMFramework
7.5Problems

8InterestRateDerivatives：BondOptions，LIBORandSwapProducts
8.1ForwardMeasureandDynamicsofForwardPrices
8.1.1ForwardMeasure
8.1.2PricingofEquityOptionsunderStochasticInterestRates
8.1.3FuturesProcessandFutures-ForwardPriceSpreadi
8.2BondOptionsandRangeNotes
8.2.1OptionsonDiscountBondsandCoupon-BearingBonds
8.2.2RangeNotes
8.3CapsandLIBORMarketModels
8.3.1PricingofCapsunderGaussianHJMFramework
8.3.2BlackFormulasandLIBORMarketModels
8.4SwapProductsandSwaptions
8.4.1ForwardSwapRatesandSwapMeasure
8.4.2ApproximatePricingofSwaptionunderLognormalLIBORMarketModel
8.4.3Cross-CurrencySwaps
8.5Problems
References
AuthorIndex
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