图书介绍
金融衍生工具PDF|Epub|txt|kindle电子书版本网盘下载
- （美）巴兹（Baz，J.）著 著
- 出版社： 北京：北京大学出版社
- ISBN：7301096801
- 出版时间：2005
- 标注页数：338页
- 文件大小：10MB
- 文件页数：350页
- 主题词：金融体系－英文
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图书目录
Contents1
Introduction1
1 Preliminary Mathematics5
1.1 Random Walk5
1.2 Another Take on Volatility and Time8
1.3 A First Glance at It？'s Lemma9
1.4 Continuous Time:Brownian Motion;More on It？'s Lemma11
1.5 Two-Dimensional Brownian Motion14
1.6 Bivariate It？'s Lemma15
1.7 Three Paradoxes of Finance16
1.7.1 Paradox 1:Siegel's Paradox16
1.7.2 Paradox 2:The Stock,Free-Lunch Paradox18
1.7.3 Paradox 3:The Skill Versus Luck Paradox19
2 Principles of Financial Valuation22
2.1 Uncertainty,Utility Theory,and Risk22
2.2 Risk and the Equilibrium Pricing of Securities28
2.3 The Binomial Option-Pricing Model41
2.4 Limiting Option-Pricing Formula46
2.5 Continuous-Time Models47
2.5.1 The Black-Scholes/Merton Model-Pricing Kernel Approach48
2.5.2 The Black-Scholes/Merton Model-Probabilistic Approach57
2.5.3 The Black-Scholes/Merton Model-Hedging Approach61
2.6 Exotic Options63
2.6.1 Digital Options64
2.6.2 Power Options65
2.6.3 Asian Options67
2.6.4 Barrier Options71
3 Interest Rate Models78
3.1 Interest Rate Derivatives:Not So Simple78
3.2 Bonds and Yields80
3.2.1 Prices and Yields to Maturity80
3.2.2 Discount Factors,Zero-Coupon Rates, and Coupon Bias82
3.2.3 Forward Rates85
3.3 Naive Models of Interest Rate Risk88
3.3.1 Duration88
3.3.2 Convexity99
3.3.3 The Free Lunch in the Duration Model104
3.4 An Overview of Interest Rate Derivatives108
3.4.1 Bonds with Embedded Options109
3.4.2 Forward Rate Agreements110
3.4.3 Eurostrip Futures112
3.4.4 The Convexity Adjustment113
3.4.5 Swaps118
3.4.6 Caps and Floors120
3.4.7 Swaptions121
3.5 Yield Curve Swaps122
3.5.1 The CMS Swap122
3.5.2 The Quanto Swap127
3.6 Factor Models131
3.6.1 A General Single-Factor Model131
3.6.2 The Merton Model135
3.6.3 The Vasicek Model139
3.6.4 The Cox-Ingersoll-Ross Model142
3.6.5 Risk-Neutral Valuation144
3.7 Term-Structure-Consistent Models147
3.7.1 "Equilibrium"Versus"Fitting"147
3.7.2 The Ho-Lee Model153
3.7.3 The Ho-Lee Model with Time-Varying Volatility157
3.7.4 The Black-Derman-Toy Model162
3.8 Risky Bonds and Their Derivatives166
3.8.1 The Merton Model167
3.8.2 The Jarrow-Turnbull Model168
3.9 The Heath,Jarrow,and Morton Approach172
3.10 Interest Rates as Options180
4 Mathematics of Asset Pricing184
4.1 Random Walks184
4.1.1 Description184
4.1.2 Gambling Recreations186
4.2 Arithmetic Brownian Motion192
4.2.1 Arithmetic Brownian Motion as a Limit of a Simple Random Walk192
4.2.2 Moments of an Arithmetic Brownian Motion196
4.2.3 Why Sample Paths Are Not Differentiable198
4.2.4 Why Sample Paths Are Continuous198
4.2.5 Extreme Values and Hitting Times199
4.2.6 The Arcsine Law Revisited203
4.3 Geometric Brownian Motion204
4.3.1 Description204
4.3.2 Moments of a Geometric Brownian Motion207
4.4 It？ Calculus209
4.4.1 Riemann-Stieljes,Stratonovitch,and It？ Integrals209
4.4.2 It？'s Lemma214
4.4.3 Multidimensional It？'s Lemma222
4.5 Mean-Reverting Processes225
4.5.1 Introduction225
4.5.2 The Ornstein-Uhlenbeck Process225
4.5.3 Calculations of Moments with the Dynkin Operator226
4.5.4 The Square-Root Process228
4.6 Jump Process229
4.6.1 Pure Jumps229
4.6.2 Time Between Two Jumps231
4.6.3 Jump Diffusions232
4.6.4 It？'s Lemma for Jump Diffusions233
4.7 Kolmogorov Equations234
4.7.1 The Kolmogorov Forward Equation234
4.7.2 The Dirac Delta Function236
4.7.3 The Kolmogorov Backward Equation236
4.8 Martingales239
4.8.1 Definitions and Examples239
4.8.2 Some Useful Facts About Martingales241
4.8.3 Martingales and Brownian Motion242
4.9 Dynamic Programming245
4.9.1 The Traveling Salesman245
4.9.2 Optimal Control of It？ Processes:Finite Horizon247
4.9.3 Optimal Control of It？ Processes:Infinite Horizon248
4.10 Partial Differential Equations253
4.10.1 The Kolmogorov Forward Equation Revisited253
4.10.2 Risk-Neutral Pricing Equation256
4.10.3 The Laplace Transform257
4.10.4 Resolution of the Kolmogorov Forward Equation262
4.10.5 Resolution of the Risk-Neutral Pricing Equation265
Bibliography269
Index327