利率衍生物定價的有效方法 9787510058394 下載 mobi epub pdf 電子書 2024

基本信息

書名:利率衍生物定價的有效方法

：35.00元

售價：26.3元,便宜8.7元,摺扣75

作者:(荷)佩爾森

齣版社：世界圖書齣版公司

齣版日期：2013-03-01

ISBN：9787510058394

字數：

頁碼：

版次：1

裝幀：平裝

開本：24開

商品重量：0.241kg

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內容提要

《利率衍生物定價的有效方法(英文)》是一部全麵講述計算和管理利率衍生物模型的教程。分為兩個部分：部分比較和討論瞭傳統模型，比如即期和遠期利率模型；第二部分主要講述*發展起來的市場模型。全書和同時期眾多圖書的不同之處在於，不僅專注於數學知識，並大量刻畫瞭作者在工業應用中的實踐經驗。

目錄

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

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