金融衍生品数学模型（第2版） [Mathematical Models of Financial Derivatives Second Edition] 下载 mobi epub pdf 电子书 2024

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内容简介

《金融衍生品数学模型(第2版)》旨在运用金融工程方法讲述模型衍生品背后的理论，作为重点介绍了对大多数衍生证券很常用的鞅定价原理。书中还分析了固定收入市场中的大量金融衍生品，强调了定价、对冲及其风险策略。《金融衍生品数学模型(第2版)》从著名的期权定价模型的Black-Scholes-Merton公式开始，讲述衍生品定价模型和利率模型中的最新进展，解决各种形式衍生品定价问题的解析技巧和数值方法。目次：衍生品工具介绍；金融经济和随机计算；期权定价模型；路径依赖期权；美国期权；定价期权的数值方案；利率模型和债券计价；利率衍生品：债券期权、LIBOR和交换产品。

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目录

Preface
1 Introduction to Derivative Instruments
1.1 Financial Options and Their Trading Strategies
1.1.1 Trading Strategies Involving Options
1.2 Rational Boundaries for Option Values
1.2.1 Effects of Dividend Payments
1.2.2 Put-Call Parity Relations
1.2.3 Foreign Currency Options
1.3 Forward and Futures Contracts
1.3.1 Values and Prices of Forward Contracts
1.3.2 Relation between Forward and Futures Prices
1.4 Swap Contracts
1.4.1 Interest Rate Swaps
1.4.2 Currency Swaps
1.5 Problems

2 Financial Economics and Stochastic Calculus
2.1 Single Period Securities Models
2.1.1 Dominant Trading Strategies and Linear Pricing Measures
2.1.2 Arbitrage Opportunities and Risk Neutral Probability Measures
2.1.3 Valuation of Contingent Claims
2.1.4 Principles of Binomial Option Pricing Model
2.2 Filtrations， Martingales and Multiperiod Models
2.2.1 Information Structures and Filtrations
2.2.2 Conditional Expectations and Martingales
2.2.3 Stopping Times and Stopped Processes
2.2.4 Multiperiod Securities Models
2.2.5 Multiperiod Binomial Models
2.3 Asset Price Dynamics and Stochastic Processes
2.3.1 Random Walk Models
2.3.2 Brownian Processes
2.4 Stochastic Calculus： Itos Lemma and Girsanovs Theorem
2.4.1 Stochastic Integrals
2.4.2 Itos Lemma and Stochastic Differentials
2.4.3 Itos Processes and Feynman-Kac Representation Formula
2.4.4 Change of Measure： Radon-Nikodym Derivative and Girsanovs Theorem.
2.5 Problems

3 Option Pricing Models： Blaek-Scholes-Merton Formulation
3.1 Black-Scholes-Merton Formulation
3.1.1 Riskless Hedging Principle
3.1.2 Dynamic Replication Strategy
3.1.3 Risk Neutrality Argument
3.2 Martingale Pricing Theory
3.2.1 Equivalent Martingale Measure and Risk Neutral Valuation
3.2.2 Black-Scholes Model Revisited
3.3 Black-Scholes Pricing Formulas and Their Properties
3.3.1 Pricing Formulas for European Options
3.3.2 Comparative Statics
3.4 Extended Option Pricing Models
3.4.1 Options on a Dividend-Paying Asset
3.4.2 Futures Options
3.4.3 Chooser Options
3.4.4 Compound Options
3.4.5 Mertons Model of Risky Debts
3.4.6 Exchange Options
3.4.7 Equity Options with Exchange Rate Risk Exposure
3.5 Beyond the Black-Scholes Pricing Framework
3.5.1 Transaction Costs Models
3.5.2 Jump-Diffusion Models
3.5.3 Implied and Local Volatilities
3.5.4 Stochastic Volatility Models
3.6 Problems

4 Path Dependent Options
4.1 Barrier Options
4.1.1 European Down-and-Out Call Options
4.1.2 Transition Density Function and First Passage Time Density
4.1.3 Options with Double Barriers
4.1.4 Discretely Monitored Barrier Options
4.2 Lookback Options
4.2.1 European Fixed Strike Lookback Options
4.2.2 European Floating Strike Lookback Options
4.2.3 More Exotic Forms of European Lookback Options
4.2.4 Differential Equation Formulation
4.2.5 Discretely Monitored Lookback Options
4.3 Asian Options.
4.3.1 Partial Differential Equation Formulation
4.3.2 Continuously Monitored Geometric Averaging Options
4.3.3 Continuously Monitored Arithmetic Averaging Options
4.3.4 Put-Call Parity and Fixed-Floating Symmetry Relations
4.3.5 Fixed Strike Options with Discrete Geometric Averaging
4.3.6 Fixed Strike Options with Discrete Arithmetic Averaging
4.4 Problems

5 American Options
5.1 Characterization of the Optimal Exercise Boundaries
5.1.1 American Options on an Asset Paying Dividend Yield
5.1.2 Smooth Pasting Condition.
5.1.3 Optimal Exercise Boundary for an American Call
5.1.4 Put-Call Symmetry Relations.
5.1.5 American Call Options on an Asset Paying Single Dividend
5.1.6 One-Dividend and Multidividend American Put Options
5.2 Pricing Formulations of American Option Pricing Models
5.2.1 Linear Complementarity Formulation
5.2.2 Optimal Stopping Problem
5.2.3 Integral Representation of the Early Exercise Premium
5.2.4 American Barrier Options
5.2.5 American Lookback Options
5.3 Analytic Approximation Methods
5.3.1 Compound Option Approximation Method
5.3.2 Numerical Solution of the Integral Equation
5.3.3 Quadratic Approximation Method
5.4 Options with Voluntary Reset Rights
5.4.1 Valuation of the Shout Floor
5.4.2 Reset-Strike Put Options
5.5 Problems

6 Numerical Schemes for Pricing Options
6.1 Lattice Tree Methods
6.1.1 Binomial Model Revisited
6.1.2 Continuous Limits of the Binomial Model
6.1.3 Discrete Dividend Models
6.1.4 Early Exercise Feature and Callable Feature
6.1.5 Trinomial Schemes
6.1.6 Forward Shooting Grid Methods
6.2 Finite Difference Algorithms
6.2.1 Construction of Explicit Schemes
6.2.2 Implicit Schemes and Their Implementation Issues
6.2.3 Front Fixing Method and Point Relaxation Technique
6.2.4 Truncation Errors and Order of Convergence
6.2.5 Numerical Stability and Oscillation Phenomena
6.2.6 Numerical Approximation of Auxiliary Conditions
6.3 Monte Carlo Simulation
6.3.1 Variance Reduction Techniques
6.3.2 Low Discrepancy Sequences
6.3.3 Valuation of American Options
6.4 Problems

7 Interest Rate Models and Bond Pricing
7.1 Bond Prices and Interest Rates
7.1.1 Bond Prices and Yield Curves
7.1.2 Forward Rate Agreement， Bond Forward and Vanilla Swap
7.1.3 Forward Rates and Short Rates
7.1.4 Bond Prices under Deterministic Interest Rates
7.2 One-Factor Short Rate Models
7.2.1 Short Rate Models and Bond Prices
7.2.2 Vasicek Mean Reversion Model
7.2.3 Cox-Ingersoll-Ross Square Root Diffusion Model
7.2.4 Generalized One-Factor Short Rate Models
7.2.5 Calibration to Current Term Structures of Bond Prices
7.3 Multifactor Interest Rate Models
7.3.1 Short Rate/Long Rate Models
7.3.2 Stochastic Volatility Models
7.3.3 Affine Term Structure Models
7.4 Heath-Jarrow-Morton Framework
7.4.1 Forward Rate Drift Condition
7.4.2 Short Rate Processes and Theft Markovian Characterization
7.4.3 Forward LIBOR Processes under Ganssian HIM Framework
7.5 Problems

8 Interest Rate Derivatives： Bond Options， LIBOR and Swap Products
8.1 Forward Measure and Dynamics of Forward Prices
8.1.1 Forward Measure
8.1.2 Pricing of Equity Options under Stochastic Interest Rates
8.1.3 Futures Process and Futures-Forward Price Spreadi
8.2 Bond Options and Range Notes
8.2.1 Options on Discount Bonds and Coupon-Bearing Bonds
8.2.2 Range Notes
8.3 Caps and LIBOR Market Models
8.3.1 Pricing of Caps under Gaussian HJM Framework
8.3.2 Black Formulas and LIBOR Market Models
8.4 Swap Products and Swaptions
8.4.1Forward Swap Rates and Swap Measure
8.4.2 Approximate Pricing of Swaption under Lognormal LIBOR Market Model
8.4.3 Cross-Currency Swaps
8.5 Problems
References
Author Index
Subject Index

前言/序言

　　In the past three decades， we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets around the globe and the surge in research on derivative pricing theory，cading financial institutions are hiring graduates with a science background who can use advanced analyrical and numerical techniques to price financial derivatives and manage portfolio risks， a phenomenon coined as Rocket Science on Wall Street. There are now more than a hundred Master level degreed programs in Financial Engineering/Quantitative Finance/Computational Finance in different continents. This book is written as an introductory textbook on derivative pricing theory for students enrolled in these degree programs. Another audience of the book may include practitioners in quantitative teams in financial institutions who would like to acquire the knowledge of option pricing techniques and explore the new development in pricing models of exotic structured derivatives. The level of mathematics in this book is tailored to readers with preparation at the advanced undergraduate level of science and engineering majors， in particular， basic proficiencies in probability and statistics， differential equations， numerical methods， and mathematical analysis. Advance knowledge in stochastic processes that are relevant to the martingale pricing theory， like stochastic differential calculus and theory of martingale， are 金融衍生品数学模型（第2版） [Mathematical Models of Financial Derivatives Second Edition] 下载 mobi epub pdf txt 电子书 格式

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非常好的书，买回来学习用。微观经济（Microeconomics）(“微观”是希腊文“ μικρο ”的意译，原意是“小")又称个体经济学，小经济学，是现代经济学的一个分支，主要以单个经济单位（单个生产者、单个消费者、单个市场经济活动）作为研究对象分析的一门学科。 微观经济学是研究社会中单个经济单位的经济行为，以及相应的经济变量的单项数值如何决定的经济学说。亦称市场经济学或价格理论。微观经济学（Microeconomics）又称个体经济学，小经济学，是现代经济学的一个分支，主要以单个经济单位（单个生产者、单个消费者、单个市场经济活动）作为研究对象，分析单个生产者如何将有限资源分配在各种商品的生产上以取得最大利润；单个消费者如何将有限收入分配在各种商品消费上以获得最大满足；单个生产者的产量、成本、使用的生产要素数量和利润如何确定；生产要素供应者的收入如何决定；单个商品的效用、供给量、需求量和价格如何确定等等。微观经济学是研究社会中单个经济单位的经济行为，以及相应的经济变量的单项数值如何决定的经济学说；分析个体经济单位的经济行为，在此基础上，研究现代西方经济社会的市场机制运行及其在经济资源配置中的作用，并提出微观经济政策以纠正市场失灵；关心社会中的个人和各组织之间的交换过程，它研究的基本问题是资源配置的决定，其基本理论就是通过供求来决定相对价格的理论。所以微观经济学的主要范围包括消费者选择，厂商供给和收入分配。亦称市场经济学或价格理论。微观经济学的中心理论是价格理论。中心思想是，自由交换往往使资源得到最充分的利用，在这种情况下，资源配置被认为是帕累托有效的。微观经济学包括的内容相当广泛，其中主要有：均衡价格理论、消费者行为理论、生产者行为理论（包括生产理论、成本理论和市场均衡理论）、分配理论、一般均衡理论与福利经济学、市场失灵与微观经济政策。微观经济学的研究方向微观经济学研究市场中个体的经济行为，亦即单个家庭、单个厂商和单个市场的经济行为以及相应的经济变量。它从资源稀缺这个基本概念出发，认为所有个体的行为准则在此设法利用有限资源取得最大收获，并由此来考察个体取得最大收获的条件。在商品与劳务市场上，作为消费者的家庭根据各种商品的不同价格进行选择，设法用有限的收入从所购买的各种商品量中获得最大的效用或满足。家庭选择商品的行动必然会影响商品的价格，市场价格的变动又是厂商确定生产何种商品的信号。厂商是各种商品及劳务的供给者，厂商的目的则在于如何用最小的生产成本，生产出最大的产品量，获得取最大限度的利润。厂商的抉择又将影响到生产要素市场上的各项价格，从而影响到家庭的收入。家庭和厂商的抉择均通过市场上的 供求关系表现出来，通过价格变动进行协调。因此，微观经济学的任务就是研究市场机制及其作用，均衡价格的决定，考察市场机制如何 通过调节个体行为取得资源最优配置的条件与途径。微观经济学也就是关于市场机制的经济学，它以价格为分析的中心，因此也称作价格理论。微观经济学还考察了市场机制失灵时，政府如何采取干预行为与措施的理论基础。微观经济学是马歇尔的均衡价格理论基础上，吸收美国经济学家张伯仑和英国经济学家罗宾逊的垄断竞争理论以及其他理论后逐步建立起来的。凯恩斯主义的宏观经济学盛 行之后，这种着重研究个体经济行为的传统理论，就被称为微观经济学。微观经济学与宏观经济学只是研究 对象有所分工，两者的立场、观点和方法并无根本分 歧。两者均使用均衡分析与边际分析，在理论体系上，它们相互补充和相互 依存，共同构成现代西方经济学的理论体系。微观经济学的基本假设：市场出清，即资源流动没有任何障碍；完全理性，即消费者与厂商都是以利己为目的的经济人，他们自觉的按利益最大化的原则行事，既能把最大化作为目标，又知道如何实现最大化；完全信息，是指消费者和厂商可以免费而迅速的获得各种市场信息。

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（1）根据产品形态，可以分为远期、期货、期权和互换四大类。

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太给力了 梦寐以求的一本书 终于得偿所愿

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书很棒、赞赞赞赞赞

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非常好!买就买经典!只是有的没购物清单，有麻烦!

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与描述相符，挺好的。

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金融衍生品数学模型（第2版）金融衍生品数学模型（第2版）金融衍生品数学模型（第2版）金融衍生品数学模型（第2版）金融衍生品数学模型（第2版）金融衍生品数学模型（第2版）金融衍生品数学模型（第2版）金融衍生品数学模型（第2版）

评分☆☆☆☆☆

这是一本金融衍生产品定价的经典教材，我很喜欢，买一本来收藏。当然，需要一定的数学功底，比如概率论、随机过程，多少你需要懂一点，不然真的就困难了。

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想入门量化的可以考虑，里面都是很棒的模型。

类似图书 点击查看全场最低价