金融工程和计算： 原理数学算法（影印版）

图书标准信息

• 作者 吕育道 著
• 出版社 高等教育出版社
• 出版时间 2008-05
• 版次 1
• ISBN 9787040239805
• 定价 85.00元
• 装帧 平装
• 开本 16开
• 纸张 胶版纸
• 页数 627页
• 字数 850千字
• 正文语种 英语
• 丛书 金融数学丛书

【内容简介】

《金融工程和计算：原理数学算法》（影印版）全面讨论了金融工程背后的理论和数学，并强调了在当今资本市场中金融工程实际应用的计算。与大多数有关投资学、金融工程或衍生证券的书不同的是，《金融工程和计算：原理数学算法》（影印版）从金融学的基本观念出发，逐步构建理论。在现代金融学中所需要的高级数学概念以一种可接受的层次来阐释。这样，它就为金融方面的MBA、有志于从事金融业的理工科学生、计算金融的研究工作者、系统分析师和金融工程师在这一主题上提供了全面的基础。
构建理论的同时，作者介绍了在定价、风险管理和证券组合管理方面的计算技巧的算法，并且对它们的效率进行了分析。对金融证券和衍生证券的定价是《金融工程和计算：原理数学算法》（影印版）的中心论题。各种各样的金融工具都得到讨论：债券、期权、期货、远期、利率衍生品、有抵押支持的证券、嵌入期权的债券，以及诸如此类的其他工具。为便于参考使用，每种金融工具都以简短而自成体系的一章来论述。

【作者简介】

吕育道(Yuh—DauhLyuu)教授在哈佛大学获得计算机科学专业的博土学位。他过去的职位包括贝尔实验室的技术人员、NEC研究所(普林斯顿)的研究员以及花旗证券（纽约）的助理副总裁。他目前是台湾大学的计算机科学与信息工程学教授和金融学教授。他的前一本著作是《信息散布和并行计算》（InformationDispersalandParallelComputation）。吕教授在计算机科学和金融两方面都出版过著作，他也持有美国专利，并曾因指导优秀研究生论文多次获奖。

【目录】

Preface
UsefulAbbreviations
1Introduction
1.1ModernFinance:ABriefHistory
1.2FinancialEngineeringandComputation
1.3FinancialMarkets
1.4ComputerTechnology

2AnalysisofAlgorithms
2.1Complexity
2.2AnalysisofAlgorithms
2.3DescriptionofAlgorithms
2.4SoftwareImplementation

3BasicFinancialMathematics
3.1TimeValueofMoney
3.2Annuities
3.3Amortization
3.4Yields
3.5Bonds

4BondPriceVolatility
4.1PriceVolatility
4.2Duration
4.3Convexity

5TermStructureofInterestRates
5.1Introduction
5.2SpotRates
5.3ExtractingSpotRatesfromYieldCurves
5.4StaticSpread
5.5SpotRateCurveandYieldCurve
5.6ForwardRates
5.7TermStructureTheories
5.8DurationandImmunizationRevisited

6FundamentalStatisticalConcepts
6.1Basics
6.2Regression
6.3Correlation
6.4ParameterEstimation

7OptionBasics
7.1Introduction
7.2Basics
7.3Exchange-TradedOptions
7.4BasicOptionStrategies

8ArbitrageinOptionPricing
8.1TheArbitrageArgument
8.2RelativeOptionPrices
8.3Put-CallParityandItsConsequences
8.4EarlyExerciseofAmericanOptions
8.5ConvexityofOptionPrices
8.6TheOptionPortfolioProperty

9OptionPricingModels
9.1Introduction
9.2TheBinomialOptionPricingModel
9.3TheBlack-ScholesFormula
9.4UsingtheBlack-ScholesFormula
9.5AmericanPutsonaNon-Dividend-PayingStock
9.6OptionsonaStockthatPaysDividends
9.7TraversingtheTreeDiagonally

10SensitivityAnalysisofOptions
10.1SensitivityMeasures("TheGreeks")
10.2NumericalTechniques

11ExtensionsofOptionsTheory
11.1CorporateSecurities
11.2BarrierOptions
11.3InterestRateCapsandFloors
11.4StockIndexOptions
11.5ForeignExchangeOptions
11.6CompoundOptions
11.7Path-DependentDerivatives

12Forwards,Futures,FuturesOptions,Swaps
12.1Introduction
12.2ForwardContracts
12.3FuturesContracts
12.4FuturesOptionsandForwardOptions
12.5Swaps

13StochasticProcessesandBrownianMotion
13.1StochasticProcesses
13.2Martingales("FairGames")
13.3BrownianMotion
13,4BrownianBridge

14Continuous-TimeFinancialMathematics
14.1StochasticIntegrals
14.2ItoProcesses
14.3Applications
14.4FinancialApplications

15Continuous-TimeDerivativesPricing
15.1PartialDifferentialEquations
15.2TheBlack-SchotesDifferentialEquation
15.3Applications
15.4GeneralDerivativesPricing
15.5StochasticVolatility

16Hedging
16.1Introduction
16.2HedgingandFutures
16.3HedgingandOptions

17Trees
17.1PricingBarrierOptionswithCombinatorialMethods
17.2TrinomialTreeAlgorithms
17.3PricingMultivariateContingentClaims

18NumericalMethods
18.1Finite-DifferenceMethods
18.2MonteCarloSimulation
18.3Quasi-MonteCarloMethods

19MatrixComputation
19.1FundamentalDefinitionsandResults
19.2Least-SquaresProblems
19.3CurveFittingwithSplines

20TimeSeriesAnalysis
20.1Introduction
20.2ConditionalVarianceModelsforPriceVolatility

21InterestRateDerivativeSecurities
21.1InterestRateFuturesandForwards
21.2Fixed-IncomeOptionsandInterestRateOptions
21.3OptionsonInterestRateFutures
21.4InterestRateSwaps

22TermStructureFitting
22.1Introduction
22.2LinearInterpolation
22.3OrdinaryLeastSquares
22.4Splines
22.5TheNelson-SiegelScheme

23IntroductiontoTermStructureModeling
23.1Introduction
23.2TheBinomialInterestRateTree
23.3ApplicationsinPricingandHedging
23.4VolatilityTermStructures

24FoundationsofTermStructureModeling
24.1Terminology
24.2BasicRelations
24.3Risk-NeutralPricing
24.4TheTermStructureEquation
24.5Forward-RateProcess
24.6TheBinomialModelwithApplications
24.7Black-ScholesModels

25EquilibriumTermStructureModels
25.1TheVasicekModel
25.2TheCox-Ingersoll-RossModel
25.3MiscellaneousModels
25.4ModelCalibration
25.5One-FactorShortRateModels

26No-ArbitrageTermStructureModels
26.1Introduction
26.2TheHo-LeeModel
26.3TheBlack-Derman-ToyModel
26.4TheModelsAccordingtoHullandWhite
26.5TheHeath-Jarrow-MortonModel
26.6TheRitchken-SankarasubramanianModel

27Fixed-IncomeSecurities
27.1Introduction
27.2Treasury,Agency,andMunicipalBonds
27.3CorporateBonds
27.4ValuationMethodologies
27.5KeyRateDurations

28IntroductiontoMortgage-BackedSecurities
28.1Introduction
28.2MortgageBanking
28.3AgenciesandSecuritization
28.4Mortgage-BackedSecurities
28.5FederalAgencyMortgage-BackedSecuritiesPrograms
28.6Prepayments

29AnalysisofMortgage-BackedSecurities
29.1CashFlowAnalysis
29.2CollateralPrepaymentModeling
29.3DurationandConvexity
29.4ValuationMethodologies

30CollateralizedMortgageObligations
30.1Introduction
30.2Floating-RateTranches
30.3PACBonds
30.4TACBonds
30.5CMOStrips
30.6Residuals

31ModernPortfolioTheory
31.1Mean-VarianceAnalysisofRiskandReturn
31.2TheCapitalAssetPricingModel
31.3FactorModels
31.4ValueatRisk

32Software
32.1WebProgramming
32.2UseofTheCapitalsSoftware
32.3FurtherTopics
33AnswerstoSelectedExercises
Bibliography
GlossaryofUsefulNotations
Index