书籍详情
金融数学：衍生产品定价引论 英文版
作者：（英）Martin Baxter，（英）Andrew Rennie著
出版社：人民邮电出版社
出版时间：2006-01-01
ISBN：9787115140890
定价：¥35.00
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内容简介
金融数学的核心内容之一就是衍生产品的定价。《金融数学：衍生产品定价引论（英文版）》涉足隐藏在衍生证券定价、结构和套期保值背后的数学，严格而又通俗。作者用易于市场实践者理解的方式介绍了新的诸如鞅、测度变换等概念和Heath-Jarrow-Morton模型。从借助于二叉树的离散时间套期保值开始，进一步推广到连续时间股票模型（包括Black-Scholes模型）。《金融数学：衍生产品定价引论（英文版）》突出了可实践性，包括了股票、货币和利率市场的诸多例子，并提供了基于实际数据绘制的图形。附录中提供了关于概率和金融概念的术语表。《金融数学：衍生产品定价引论（英文版）》作为金融数学的基础教材，适用于相关专业的本科生和研究生课程。也可供金融行业的市场实践者、定量分析师和衍生品交易者等相关领域专业人士参考。
作者简介
Martin Baxter供职于野村证券，曾连续4年任剑桥大学彭布罗克学院的院士，并曾访问大不列颠哥伦比亚大学1年，多次在欧洲和北美的学术和金融机构作特邀报告。Andrew Rennie毕业于剑桥大学。现为美林欧洲公司的首席债券分析师。
目录
The parable of the bookmaker 1
Chapter 1 Introduction 3
1.1 Expectation pricing 4
1.2 Arbitrage pricing 7
1.3 Expectation vs arbitrage 9
Chapter 2 Discrete processes 10
2.1 The binomial branch model 10
2.2 The binomial tree model 17
2.3 Binomial representation theorem 28
2.4 Overture to continuous models 41
Chapter 3 Continuous processes 44
3.1 Continuous processes 45
3.2 Stochastic calculus 51
3.3 It? calculus 57
3.4 Change of measure——the C-M-G theorem 63
3.5 Martingale representation theorem 76
3.6 Construction strategies 80
3.7 Black-Scholes model 83
3.8 Black-Scholes in action 92
Chapter 4 Pricing market securities 99
4.1 Foreign exchange 99
4.2 Equities and dividends 106
4.3 Bonds 112
4.4 Market price of risk 116
4.5 Quantos 122
Chapter 5 Interest rates 128
5.1 The interest rate market 129
5.2 A simple model 135
5.3 Single-factor HJM 142
5.4 Short-rate models 149
5.5 Multi-factor HJM 158
5.6 Interest rate products 163
5.7 Multi-factor models 172
Chapter 6 Bigger models 178
6.1 General stock model 178
6.2 Log-normal models 181
6.3 Multiple stock models 183
6.4 Numeraires 189
6.5 Foreign currency interest-rate models 193
6.6 Arbitrage-free complete models 196
Appendices A1 Further reading 201
A2 Notation 205
A3 Answers to exercises 209
A4 Glossary of technical terms 216
Index 228
Chapter 1 Introduction 3
1.1 Expectation pricing 4
1.2 Arbitrage pricing 7
1.3 Expectation vs arbitrage 9
Chapter 2 Discrete processes 10
2.1 The binomial branch model 10
2.2 The binomial tree model 17
2.3 Binomial representation theorem 28
2.4 Overture to continuous models 41
Chapter 3 Continuous processes 44
3.1 Continuous processes 45
3.2 Stochastic calculus 51
3.3 It? calculus 57
3.4 Change of measure——the C-M-G theorem 63
3.5 Martingale representation theorem 76
3.6 Construction strategies 80
3.7 Black-Scholes model 83
3.8 Black-Scholes in action 92
Chapter 4 Pricing market securities 99
4.1 Foreign exchange 99
4.2 Equities and dividends 106
4.3 Bonds 112
4.4 Market price of risk 116
4.5 Quantos 122
Chapter 5 Interest rates 128
5.1 The interest rate market 129
5.2 A simple model 135
5.3 Single-factor HJM 142
5.4 Short-rate models 149
5.5 Multi-factor HJM 158
5.6 Interest rate products 163
5.7 Multi-factor models 172
Chapter 6 Bigger models 178
6.1 General stock model 178
6.2 Log-normal models 181
6.3 Multiple stock models 183
6.4 Numeraires 189
6.5 Foreign currency interest-rate models 193
6.6 Arbitrage-free complete models 196
Appendices A1 Further reading 201
A2 Notation 205
A3 Answers to exercises 209
A4 Glossary of technical terms 216
Index 228
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