利率衍生物定价的有效方法 9787510058394 下载 mobi epub pdf 电子书 2024

基本信息

书名:利率衍生物定价的有效方法

：35.00元

售价：26.3元,便宜8.7元,折扣75

作者:(荷)佩尔森

出版社：世界图书出版公司

出版日期：2013-03-01

ISBN：9787510058394

字数：

页码：

版次：1

装帧：平装

开本：24开

商品重量：0.241kg

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内容提要

《利率衍生物定价的有效方法(英文)》是一部全面讲述计算和管理利率衍生物模型的教程。分为两个部分：部分比较和讨论了传统模型，比如即期和远期利率模型；第二部分主要讲述*发展起来的市场模型。全书和同时期众多图书的不同之处在于，不仅专注于数学知识，并大量刻画了作者在工业应用中的实践经验。

目录

1. Introduction

2. Arbitrage, Martingales and Numerical Methods

2.1 Arbitrage and Martingales

2.1.1 Basic Setup

2.1.2 Equivalent Martingale Measure

2.1.3 Change of Numeraire Theorem

2.1.4 Girsanov's Theorem and It6's Lemma

2.1.5 Application: Black-Scholes Model

2.1.6 Application: Foreign-Exchange Options

2.2 Numerical Methods

2.2.1 Derivation of Black-Scholes Partial DifferentialEquation

2.2.2 Feynman-Kac Formula

2.2.3 Numerical Solution of PDE's

2.2.4 Monte Carlo Simulation

2.2.5 Numerical Integration

Part Ⅰ. Spot and Forward Rate Models

3. Spot and Forward Rate Models

3.1 Vasicek Methodology

3.1.1 Spot Interest Rate

3.1.2 Partial Differential Equation

3.1.3 Calculating Prices

3.1.4 Example: Ho-Lee Model

3.2 Heath-Jarrow-Morton Methodology

3.2.1 Forward Rates

3.2.2 Equivalent Martingale Measure

3.2.3 Calculating Prices

3.2.4 Example: Ho-Lee Model

3.3 Equivalence of the Methodologies

4. Fundamental Solutions and the Forward-Risk-AdjustedMeasure

4.1 Forward-Risk-Adjusted Measure

4.2 Fundamental Solutions

4.3 Obtaining Fundamental Solutions

4.4 Example: Ho-Lee Model

4.4.1 Radon-Nikodym Derivative

4.4.2 Fundamental Solutions

4.5 Fundamental Solutions for Normal Models

5. The Hull-White Model

5.1 Spot Rate Process

5.1.1 Partial Differential Equation

5.1.2 Transformation of Variables

5.2 Analytical Formulae

5.2.1 Fundamental Solutions

5.2.2 Option Prices

5.2.3 Prices for Other Instruments

5.3 Implementation of the Model

5.3.1 Fitting the Model to the Initial Term-Structure

5.3.2 Transformation of Variables

5.3.3 Trinomial Tree

5.4 Performance of the Algorithm

5.5 Appendix

……

Part Ⅱ. Market Rate Models

References

Index

作者介绍

文摘

序言