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金融模型中的鞅方法(第2版)

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97364801
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    • 出版社: 世界图书出版公司
      作者:(英)慕斯勒
      出版日期:2013-10-01
      版次:1
      印次:1
      开本:7
      内容提要:
      导语: 《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 EditionNote on the Second PrintingPreface to the First EditionPart 1 Spot and Futures Markets1 An Introduction to Financial Derivatives1.1 Options1.2 Futures Contracts and Options1.3 Forward Contracts1.4 CallandPutSpotOptions1.4.1 One-period Spot Market1.4.2 Replicating Portfolios1.4.3 Martingale Measure for a Spot Market1.4.4 Absence of Arbitrage1.4.5 Optimality of Replication1.4.6 Change of a Numeraire1.4.7 Put Option1.5 Forward Contracts1.5.1 Forward Price1.6 Futures Call and Put Options1.6.1 Futures Contracts and Futures Prices1.6.2 One-period Futures Market1.6.3 Martingale Measure for a Futures Market1.6.4 Absence of Arbitrage1.6.5 One-period Spot/Futures Market 1.7 Options of American Style1.8 Universal No-arbitrage Inequalities2 Discrete-time Security Markets2.1 The Cox-Ross-Rubinstein Model2.1.1 Binomial Lattice for the Stock Price2.1.2 Recursive Pricing Procedure2.1.3 CRR Option Pricing Formula2.2 Martingale Properties of the CRR Model2.2.1 Martingale Measures2.2.2 Risk-neutral Valuation Formula2.2.3 Change of a Numeraire2.3 The Black-Scholes Option Pricing Formula2.4 Valuation of American Options2.4.1 American Call Options2.4.2 American Put Options2.4.3 American Claims..2.5 Options on a Dividend-paying Stock2.6 Security Markets in Discrete Time2.6.1 Finite Spot Markets..2.6.2 Self-financing Trading Strategies2.6.3 Replication and Arbitrage Opportunities2.6.4 Arbitfage Price 2.6.5 Risk-neutral Valuation Formula2.6.6 Existence of a Martingale Measure2.6.7 Completeness of a Finite Market2.6.8 Separating Hyperplane Theorem 2.6.9 Change of a Numeraire2.6.10 Discrete-time Models with Infinite State Space2.7 Finite Futures Markets2.7.1 Self-financing Futures Strategies2.7.2 Martingale Measures for a Futures Market2.7.3 Risk-neutral Valuation Formula2.7.4 Futures Prices Versus Forward Prices2.8 American Contingent Claims2.8.1 Optimal Stopping Problems2.8.2 Valuation and Hedging of American Claims2.8.3 American Call and Put2.9 Game Contingent Claims2.9.1 Dynkin Games2.9.2 Valuation and Hedging of Game Contingent Claims3 Benchmark Models in Continuous Time3.1 The Black-Scholes Model3.1.1 Risk-free Bond3.1.2 Stock Price3.1.3 Self-financing Trading Strategies3.1.4 Martingale Measure for the Black-Scholes Model……Part II Fixed-income MarketsPart III APPENDIXReferencesIndex
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