书籍详情
金融数学教程：英文版
作者：（英）Alison Etheridge著
出版社：人民邮电出版社
出版时间：2006-01-01
ISBN：9787115140906
定价：¥29.00
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内容简介
金融为现代数学技术成功地应用于实际问题提供了一个十分生动的例子：金融衍生品定价。《金融数学教程（英文版）》可作为金融数学入门教材，含有大量的习题和例子，面向有一定数学基础的读者。《金融数学教程（英文版）》首先基于离散时间框架介绍了一些基本概念，如二叉树、鞅、布朗运动、随机积分及Black-Scholes期权定价公式，然后介绍了一些复杂的金融模型和金融产品，最后一章则介绍了金融方面更为高级的话题，如带跳的股票价格模型和随机波动率等。《金融数学教程（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，也可供相关领域专业人士参考。
作者简介
Alison Etheridge，牛津大学Madgalen学院教授。拥有牛津大学博士学位，并在剑桥大学做博士后研究。她曾先后任教于加州大学伯克利分校、爱丁堡大学和伦敦大学。主要研究兴趣是随机过程和偏微分方程及其应用。除本书外，她还著有Introduction to Superprocesses一书。
目录
1 Single period models 1
Summary 1
1.1 Some definitions from finance 1
1.2 Pricing a forward 4
1.3 The one-step binary model 6
1.4 A ternary model 8
1.5 A characterisation of no arbitrage 9
1.6 The risk-neutral probability measure 13
Exercises 18
2 Binomial trees and discrete parameter martingales 21
Summary 21
2.1 The multiperiod binary model 21
2.2 American options 26
2.3 Discrete parameter martingales and Markov processes 28
2.4 Some important martingale theorems 38
2.5 The Binomial Representation Theorem 43
2.6 Overture to continuous models 45
Exercises 47
3 Brownian motion 51
Summary 51
3.1 Definition of the process 51
3.2 Lévy's construction of Brownian motion 56
3.3 The reflection principle and scaling 59
3.4 Martingales in continuous time 63
Exercises 67
4 Stochastic calculus 71
Summary 71
4.1 Stock prices are not differentiable 72
4.2 Stochastic integration 74
4.3 It?'s formula 85
4.4 Integration by parts and a stochastic Fubini Theorem 93
4.5 The Girsanov Theorem 96
4.6 The Brownian Martingale Representation Theorem 100
4.7 Why geometric Brownian motion? 102
4.8 The Feynman-Kac representation 102
Exercises 107
5 The Black-Scholes model 112
Summary 112
5.1 The basic Black-Scholes model 112
5.2 Black-Scholes price and hedge for European options 118
5.3 Foreign exchange 122
5.4 Dividends 126
5.5 Bonds 131
5.6 Market price of risk 132
Exercises 134
6 Oifferent payoffs 139
Summary 139
6.1 European options with discontinuous payoffs 139
6.2 Multistage options 141
6.3 Lookbacks and barriers 144
6.4 Asian options 149
6.5 American options 150
Exercises 154
7 Bigger models 159
Summary 159
7.1 General stock model 160
7.2 Multiple stock models 163
7.3 Asset prices with jumps 175
7.4 Model error 181
Exercises 185
Bibliography 189
Notation 191
Index 193
Summary 1
1.1 Some definitions from finance 1
1.2 Pricing a forward 4
1.3 The one-step binary model 6
1.4 A ternary model 8
1.5 A characterisation of no arbitrage 9
1.6 The risk-neutral probability measure 13
Exercises 18
2 Binomial trees and discrete parameter martingales 21
Summary 21
2.1 The multiperiod binary model 21
2.2 American options 26
2.3 Discrete parameter martingales and Markov processes 28
2.4 Some important martingale theorems 38
2.5 The Binomial Representation Theorem 43
2.6 Overture to continuous models 45
Exercises 47
3 Brownian motion 51
Summary 51
3.1 Definition of the process 51
3.2 Lévy's construction of Brownian motion 56
3.3 The reflection principle and scaling 59
3.4 Martingales in continuous time 63
Exercises 67
4 Stochastic calculus 71
Summary 71
4.1 Stock prices are not differentiable 72
4.2 Stochastic integration 74
4.3 It?'s formula 85
4.4 Integration by parts and a stochastic Fubini Theorem 93
4.5 The Girsanov Theorem 96
4.6 The Brownian Martingale Representation Theorem 100
4.7 Why geometric Brownian motion? 102
4.8 The Feynman-Kac representation 102
Exercises 107
5 The Black-Scholes model 112
Summary 112
5.1 The basic Black-Scholes model 112
5.2 Black-Scholes price and hedge for European options 118
5.3 Foreign exchange 122
5.4 Dividends 126
5.5 Bonds 131
5.6 Market price of risk 132
Exercises 134
6 Oifferent payoffs 139
Summary 139
6.1 European options with discontinuous payoffs 139
6.2 Multistage options 141
6.3 Lookbacks and barriers 144
6.4 Asian options 149
6.5 American options 150
Exercises 154
7 Bigger models 159
Summary 159
7.1 General stock model 160
7.2 Multiple stock models 163
7.3 Asset prices with jumps 175
7.4 Model error 181
Exercises 185
Bibliography 189
Notation 191
Index 193
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