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金融市场数学 第2版 英文PDF|Epub|txt|kindle电子书版本网盘下载
- （加）Robert J. Elliott，（加）Ekkehard kopp著 著
- 出版社： 北京：世界图书出版公司北京公司
- ISBN：9787510005671
- 出版时间：2010
- 标注页数：352页
- 文件大小：12MB
- 文件页数：363页
- 主题词：金融市场－经济数学－英文
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图书目录
1 Pricing by Arbitrage1
1.1 Introduction:Pricing and Hedging1
1.2 Single-Period Option Pricing Models10
1.3 A General Single-Period Model12
1.4 A Single-Period Binomial Model14
1.5 Multi-period Binomial Models20
1.6 Bounds on Option Prices24
2 Martingale Measures27
2.1 A General Discrete-Time Market Model27
2.2 Trading Strategies29
2.3 Martingales and Risk-Neutral Pricing35
2.4 Arbitrage Pricing:Martingale Measures38
2.5 Strategies Using Contingent Claims43
2.6 Example:The Binomial Model48
2.7 From CRR to Black-Scholes50
3 The First Fundamental Theorem57
3.1 The Separating Hyperplane Theorem in Rn57
3.2 Construction of Martingale Measures59
3.3 Pathwise Description61
3.4 Examples69
3.5 General Discrete Models71
4 Complete Markets 87
4.1 Completeness and Martingale Representation88
4.2 Completeness for Finite Market Models89
4.3 The CRR Model91
4.4 The Splitting Index and Completeness94
4.5 Incomplete Models:The Arbitrage Interval97
4.6 Characterisation of Complete Models101
5 Discrete-time American Options105
5.1 Hedging American Claims105
5.2 Stopping Times and Stopped Processes107
5.3 Uniformly Integrable Martingales110
5.4 Optimal Stopping:The Snell Envelope116
5.5 Pricing and Hedging American Options124
5.6 Consumption-Investment Strategies126
6 Continuous-Time Stochastic Calculus131
6.1 Continuous-Time Processes131
6.2 Martingales135
6.3 Stochastic Integrals141
6.4 The It？ Calculus149
6.5 Stochastic Differential Equations158
6.6 Markov Property of Solutions of SDEs162
7 Continuous-Time European Options167
7.1 Dynamics167
7.2 Girsanov's Theorem168
7.3 Martingale Representation174
7.4 Self-Financing Strategies183
7.5 An Equivalent Martingale Measure185
7.6 Black-Scholes Prices193
7.7 Pricing in a Multifactor Model198
7.8 Barrier Options204
7.9 The Black-Scholes Equation214
7.10 The Greeks217
8 The American Put Option223
8.1 Extended Trading Strategies223
8.2 Analysis of American Put Options226
8.3 The Perpetual Put Option231
8.4 Early Exercise Premium234
8.5 Relation to Free Boundary Problems238
8.6 An Approximate Solution243
9 Bonds and Term Structure247
9.1 Market Dynamics247
9.2 Future Price and Futures Contracts252
9.3 Changing Numéraire255
9.4 A General Option Pricing Formula258
9.5 Term Structure Models262
9.6 Short-rate Diffusion Models264
9.7 The Heath-Jarrow-Morton Model277
9.8 A Markov Chain Model282
10 Consumption-Investment Strategies285
10.1 Utility Functions285
10.2 Admissible Strategies287
10.3 Maximising Utility of Consumption291
10.4 Maximisation of Terminal Utility296
10.5 Consumption and Terminal Wealth299
11 Measures of Risk303
11.1 Value at Risk304
11.2 Coherent Risk Measures308
11.3 Deviation Measures316
11.4 Hedging Strategies with Shortfall Risk320
Bibliography329
Index349