图书信息

作者简介

内容简介

目录

图书信息

出版社: 世界图书出版公司; 第1版 (2011年1月1日)

外文书名: Risk-Neutral Valuation:Pricing and Hedging of Financial Derivatives(Second Edition)

平装: 437页

正文语种: 英语

开本: 24

ISBN: 9787510029707, 7510029708

条形码: 9787510029707

尺寸: 22.2 x 14.6 x 2 cm

重量: 680 g

作者简介

作者：（英国）宾汉姆（N.H.Bingham）

内容简介

《风险中性定价(第2版)(英文版)》内容简介：Books are written for use, and the best compliment that the community in the field could have paid to the first edition of 1998 was to buy out the printrun, and that of the corrected printing, as happened. Meanwhile, the fast-developing field of mathematical finance had moved on, as had our thinking, and it seemed better to recognize this and undertake a thorough-going re-write for the second edition than to tinker with the existing text.

目录

Preface to the Second Edition

Preface to the First Edition

Derivative Background

1.1 Financial Markets and Instruments

1.1.1 Derivative Instruments

1.1.2 Underlying Securities

1.1.3 Markets

1.1.4 Types of Traders

1.1.5 Modeling Assumptions

1.2 Arbitrage

1.3 Arbitrage Relationships

1.3.1 Fundamental Determinants of Option Values

1.3.2 Arbitrage Bounds

1.4 Single-period Market Models

1.4.1 A Fundamental Example

1.4.2 A Single-period Model

1.4.3 A Few Financial-economic Considerations

Exercises

Probability Background

2.1 Measure

2.2 Integral

2.3 Probability

2.4 Equivalent Measures and Radon-Nikod~m Derivatives

2.5 Conditional Expectation

2.6 Modes of Convergence

2.7 Convolution and Characteristic Functions

2.8 The Central Limit Theorem

2.9 Asset Return Distributions

2.10 Infinite Divisibility and the L~vy-Khintchine Formula

2.11 Elliptically Contoured Distributions

2.12 Hyberbolic Distributions

Exercises

3. Stochastic Processes in Discrete Time

3.1 Information and Filtrations

3.2 Discrete-parameter Stochastic Processes

3.3 Definition and Basic Properties of Martingales

3.4 Martingale Transforms

3.5 Stopping Times and Optional Stopping

3.6 The Snell Envelope and Optimal Stopping

3.7 Spaces of Martingales

3.8 Markov Chains

Exercises

4. Mathematical Finance in Discrete Time

4.1 The Model

4.2 Existence of Equivalent Martingale Measures

4.2.1 The No-arbitrage Condition

4.2.2 Risk-Neutral Pricing

4.3 Complete Markets: Uniqueness of EMMs

4.4 The Fundamental Theorem of Asset Pricing: Risk-Neutral

Valuation

4.5 The Cox-Ross-Rubinstein Model

4.5.1 Model Structure

4.5.2 Risk-neutral Pricing

4.5.3 Hedging

4.6 Binomial Approximations

4.6.1 Model Structure

4.6.2 The Black-Scholes Option Pricing Formula

4.6.3 Further Limiting Models

4.7 American Options

4.7.1 Theory

4.7.2 American Options in the CRR Model

4.8 Further Contingent Claim Valuation in Discrete Time

4.8.1 Barrier Options

4.8.2 Lookback Options

4.8.3 A Three-period Example

4.9 Multifactor Models

4.9.1 Extended Binomial Model

4.9.2 Multinomial Models

Exercises

……