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金融模型中的鞅方法：第2版（簡體書）
商品資訊
ISBN13：9787510061394
出版社：世界圖書(北京)出版公司
作者：(英)慕斯勒
出版日：2022/01/20
裝訂／頁數：平裝／715頁
規格：20.8cm*14.6cm (高/寬)
版次：1
商品簡介
目次
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商品簡介
本書全面講述了期權定價最新最完整體系。從金融市場的離散時間模型開始，涉及Cox-Ross-Rubinstein二項模型。在Black-Scholes模型背景下，假定熟悉隨機微積分的基本觀點，從離散時間模型講到連續時間模型，並在附錄中包含了所有的必需結果。這種模型背景後來一般化到包括集中資產和貨幣的標準和奇異期權中。概述了套利定價理論。第二部分致力於術語結構模型和利率衍生定價模型。重在強調可以和市場定價相一致的模型。這是第二版，將第一版中第一部分做了比較大的調整，更加易於閱讀，新增加了全新的一章講述波動風險。目次：（一）現貨和期貨市場：金融市場導論；離散時間證券市場；連續時間中的基準模型；外國市場衍生物；美國期貨；奇異期權；波動風險；連續時間證券市場；（二）固定收入市場：利率和相關合同；短期利率模型；瞬時遠期利率模型；勞動力市場模型；替代市場模型；交叉貨幣衍生物；（三）附錄：ItO隨機微積分簡述。讀者對象：數學，金融經濟以及相關的從業人員。
目次
Preface to the Second Edition
Note on the Second Printing
Preface to the First Edition
Part 1 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 CallandPutSpotOptions
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 Arbitfage 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 Contingent Claims
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-Scholes Model
……
Part II Fixed-income Markets
Part III APPENDIX
References
Index
Note on the Second Printing
Preface to the First Edition
Part 1 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 CallandPutSpotOptions
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 Arbitfage 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 Contingent Claims
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-Scholes Model
……
Part II Fixed-income Markets
Part III APPENDIX
References
Index
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