出版社:世界图书出版公司北京公司
年代:2012
定价:59.0
本书旨在介绍解决金融衍生证券定价模型的偏微分方程有限差分数值方法,是一部很好的数学金融专业的研究生学习用书,其中包括Black-Scholes动态对冲方法论定价金融衍生物。
Part ⅠPartial Differential Equations in Finance
1 Introduction
1.1 Assets
1.2 Derivative Securities
1.2.1 Forward and Futures Contracts
1.2.2 Options
1.2.3 Interest Rate Derivatives
1.2.4 Factors Affecting Derivative Prices
1.2.5 Functions of Derivative Securities
Problems
2 Basic Options
2.1 Asset Price Model and Ito's Lemma
2.1.1 A Model for Asset Prices
2.1.2 Ito's Lemma
2.1.3 Expectation and Variance of Lognormal Random Variables
2.2 Derivation of the Black-Scholes Equation
2.2.1 Arbitrage Arguments
2.2.2 The Black-Scholes Equation
2.2.3 Final Conditions for the Black-Scholes Equation
2.2.4 Hedging and Greeks
2.3 Two Transformations on the Black-Scholes Equation
2.3.1 Converting the Black-Scholes Equation into a Heat Equation
2.3.2 Transforming the Black-Scholes Equation into and Equation Defined on a Finite Domain
2.4 Solutions of European Options
2.4.1 The Solutions of Parabolic Equations
2.4.2 Solutions of the Black-Scholes Equation
2.4.3 Prices of Forward Contracts and Delivery Prices
2.4.4 Derivation of the Black-Scholes Formulae
2.4.5 Put-Call Parity Relation
2.4.6 An Explanation in Terms of Probability
2.5 American Option Problems as Linear Complementarity
Problems
2.5.1 Constraints on American Options
2.5.2 Formulation of the Linear Complementarity Problem in Plane
2.5.3 Formulation of the Linear Complementarity Problem in Plane
2.5.4 Formulation of the Linear Complementarity Problem on a Fuute Domain
2.5.5 More General Form of the Linear Complementarity
Problems
2.6 American Option Problems as Free-Boundary Problems
2.6.1 Free Boundaries
2.6.2 Free-Boundary Problems
2.6.3 Put-Call Symmetry Relations
2.7 Equations for Some Greeks
2.8 Perpetual Options
2.9 General Equations for Derivatives
2.9.1 Models for Random Variables
2.9.2 Generalization of Ito's Lemma
2.9.3 Derivation of Equations for Financial Derivatives
2.9.4 Three Types of State Variable8
2.9.5 Uniqueness of Solutions
2.10 Jump Conditions
2.10.1 Hyperbolic Equations with a Dirac Delta Function
2.10.2 Jump Conditions for Options with Discrete Dividends and Discrete Sampling
2.11 More Arbitrage Theory
2.11.1 Three Conclusions and Some Portfolios
2.11.2 Bounds of Option Prices
2.11.3 Relations Between Call and Put Prices
Problems
3 Exotic Options
3.1 Introduction
3.2 Barrier Options
3.2.1 Knock-Out and Knock-In Options
3.2.2 Closed-Form Solutions of Some European Barrier Options
3.2.3 Formulation of American Barrier Options
3.2.4 Parisian Options
……
Part Ⅱ Numerical Methods for Derivative Securities
References
Index
《衍生证券与差分法(英文版)》旨在为读者提供运用偏微分方程为金融衍生品定价的方法。在第一部分书中描述了所涉及问题的公式;第二部分讲述如何有效地获得欧式和美式衍生物以及股票期权和利率衍生物的数值解。书中所用到的数值方法讨论的都是有限差分方法。书中也讨论了如何确定这些在偏微分方程中的关系。《衍生证券与差分法(英文版)》另一个目的是为有工程计算经验的编程人员提供有效的衍生物定价编码技巧。全书通篇包括练习,可以吸引大量的计量金融中的学生和科研人员,以及金融工业和编码方面的工作者。
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出版地 | 北京 | 出版单位 | 世界图书出版公司北京公司 |
版次 | 影印本 | 印次 | 1 |
定价(元) | 59.0 | 语种 | 英文 |
尺寸 | 21 × 17 | 装帧 | 平装 |
页数 | 540 | 印数 |
衍生证券与差分法是世界图书出版公司北京公司于2012.3出版的中图分类号为 F830 ,O241.3 的主题关于 金融-经济数学-差分法-英文 的书籍。
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