作者：MarekMusiela，Marek
页数：715
出版社：世界图书出版公司
出版日期：2013
ISBN：9787510061394
电子书格式：pdf/epub/txt
内容简介
《金融模型中的鞅方法(第2版)》全面讲述了期权定价最新最完整体系。从金融市场的离散时间模型开始，涉及cox-ross-rubinstein二项模型。在black-scholes模型背景下，假定熟悉随机微积分的基本观点，从离散时间模型讲到连续时间模型，并在附录中包含了所有的必需结果。这种模型背景后来一般化到包括集中资产和货币的标准和奇异期权中。概述了套利定价理论。第二部分致力于术语结构模型和利率衍生定价模型。重在强调可以和市场定价相一致的模型。这是第二版，将第一版中第一部分做了比较大的调整，更加易于阅读，新增加了全新的一章讲述波动风险。
作者简介
Marek Musiela, Marek Rutkowski是国际知名学者，在数学和物理学界享有盛誉。本书凝聚了作者多年科研和教学成果，适用于科研工作者、高校教师和研究生。
本书特色
《金融模型中的鞅方法(第2版)》全面讲述了期权定价最新最完整体系。从金融市场的离散时间模型开始，涉及cox-ross-rubinstein二项模型。在black-scholes模型背景下，假定熟悉随机微积分的基本观点，从离散时间模型讲到连续时间模型，并在附录中包含了所有的必需结果。这种模型背景后来一般化到包括集中资产和货币的标准和奇异期权中。概述了套利定价理论。第二部分致力于术语结构模型和利率衍生定价模型。重在强调可以和市场定价相一致的模型。本书由慕斯勒著。
目录
preface to the second edition
note on the second printing
preface to the first edition
part i spot and futures markets
1 an introduction to financial derivatives
1.1 options
1.2 futures contracts and options
1.3 forward contracts
1.4 call and put spot options
1.4.1 one-period spot market
1.4.2 replicating portfolios
1.4.3 martingale measure for a spot market
1.4.4 absence of arbitrage
1.4.5 optimality of replication
1.4.6 change of a numeraire
1.4.7 put option
1.5 forward contracts
1.5.1 forward price
1.6 futures call and put options
1.6.1 futures contracts and futures prices
1.6.2 one-period futures market
1.6.3 martingale measure for a futures market
1.6.4 absence of arbitrage
1.6.5 one-period spot/futures market
1.7 options of american style
1.8 universal no-arbitrage inequalities
2 discrete-time security markets
2.1 the cox-ross-rubinstein model
2.1.1 binomial lattice for the stock price
2.1.2 recursive pricing procedure
2.1.3 crr option pricing formula
2.2 martingale properties of the crr model
2.2.1 martingale measures
2.2.2 risk-neutral valuation formula
2.2.3 change of a numeraire
2.3 the black-scholes option pricing formula
2.4 valuation of american options
2.4.1 american call options
2.4.2 american put options
2.4.3 american claims
2.5 options on a dividend-paying stock
2.6 security markets in discrete time
2.6.1 finite spot markets
2.6.2 self-financing trading strategies
2.6.3 replication and arbitrage opportunities
2.6.4 arbitrage price
2.6.5 risk-neutral valuation formula
2.6.6 existence of a martingale measure
2.6.7 completeness of a finite market
2.6.8 separating hyperplane theorem
2.6.9 change of a numeraire
2.6.10 discrete-time models with infinite state space
2.7 finite futures markets
2.7.1 self-financing futures strategies
2.7.2 martingale measures for a futures market
2.7.3 risk-neutral valuation formula
2.7.4 futures prices versus forward prices
2.8 american contingent claims
2.8.1 optimal stopping problems
2.8.2 valuation and hedging of american claims
2.8.3 american call and put
2.9 game contingent claims
2.9.1 dynkin games
2.9.2 valuation and hedging of game contingentclaims
3 benchmark models in continuous time
3.1 the black-scholes model
3.1.1 risk-free bond
3.1.2 stock price
3.1.3 self-financing trading strategies
3.1.4 martingale measure for the black-scholesmodel
……
part ii fixed-incomemarkets
partiii appendix
references
index
节选
《金融模型中的鞅方法(第2版)》适合数学,金融经济以及相关的从业人员阅读。
