| 词条 | 金融工程和计算：原理数学算法 |
| 释义 | 图书信息出版社: 高等教育出版社; 第1版 (2008年5月1日) 外文书名: Financial Engineering and Computation 丛书名: 金融数学丛书 平装: 627页 正文语种: 英语 开本: 16 ISBN: 9787040239805 条形码: 9787040239805 尺寸: 25.2 x 17.6 x 3 cm 重量: 1 Kg 作者简介吕育道(Yuh—Dauh Lyuu)教授在哈佛大学获得计算机科学专业的博土学位。他过去的职位包括贝尔实验室的技术人员、NEC研究所(普林斯顿)的研究员以及花旗证券(纽约)的助理副总裁。他目前是台湾大学的计算机科学与信息工程学教授和金融学教授。他的前一本著作是《信息散布和并行计算》(Information Dispersal and Parallel Computation)。 吕教授在计算机科学和金融两方面都出版过著作，他也持有美国专利，并曾因指导优秀研究生论文多次获奖。 内容简介《金融工程和计算:原理数学算法(影印版)》全面讨论了金融工程背后的理论和数学，并强调了在当今资本市场中金融工程实际应用的计算。与大多数有关投资学、金融工程或衍生证券的书不同的是，《金融工程和计算:原理数学算法(影印版)》从金融学的基本观念出发，逐步构建理论。在现代金融学中所需要的高级数学概念以一种可接受的层次来阐释。这样，它就为金融方面的MBA、有志于从事金融业的理工科学生、计算金融的研究工作者、系统分析师和金融工程师在这一主题上提供了全面的基础。 构建理论的同时，作者介绍了在定价、风险管理和证券组合管理方面的计算技巧的算法，并且对它们的效率进行了分析。对金融证券和衍生证券的定价是《金融工程和计算:原理数学算法(影印版)》的中心论题。各种各样的金融工具都得到讨论：债券、期权、期货、远期、利率衍生品、有抵押支持的证券、嵌入期权的债券，以及诸如此类的其他工具。为便于参考使用，每种金融工具都以简短而自成体系的一章来论述。 目录Preface Useful Abbreviations 1 Introduction 1.1 Modern Finance: A Brief History 1.2 Financial Engineering and Computation 1.3 Financial Markets 1.4 Computer Technology 2 Analysis of Algorithms 2.1 Complexity 2.2 Analysis of Algorithms 2.3 Description of Algorithms 2.4 Software Implementation 3 Basic Financial Mathematics 3.1 Time Value of Money 3.2 Annuities 3.3 Amortization 3.4 Yields 3.5 Bonds 4 Bond Price Volatility 4.1 Price Volatility 4.2 Duration 4.3 Convexity 5 Term Structure of Interest Rates 5.1 Introduction 5.2 Spot Rates 5.3 Extracting Spot Rates from Yield Curves 5.4 Static Spread 5.5 Spot Rate Curve and Yield Curve 5.6 Forward Rates 5.7 Term Structure Theories 5.8 Duration and Immunization Revisited 6 Fundamental Statistical Concepts 6.1 Basics 6.2 Regression 6.3 Correlation 6.4 Parameter Estimation 7 Option Basics 7.1 Introduction 7.2 Basics 7.3 Exchange-Traded Options 7.4 Basic Option Strategies 8 Arbitrage in Option Pricing 8.1 The Arbitrage Argument 8.2 Relative Option Prices 8.3 Put-Call Parity and Its Consequences 8.4 Early Exercise of American Options 8.5 Convexity of Option Prices 8.6 The Option Portfolio Property 9 Option Pricing Models 9.1 Introduction 9.2 The Binomial Option Pricing Model 9.3 The Black-Scholes Formula 9.4 Using the Black-Scholes Formula 9.5 American Puts on a Non-Dividend-Paying Stock 9.6 Options on a Stock that Pays Dividends 9.7 Traversing the Tree Diagonally 10 Sensitivity Analysis of Options 10.1 Sensitivity Measures ("The Greeks") 10.2 Numerical Techniques 11 Extensions of Options Theory 11.1 Corporate Securities 11.2 Barrier Options 11.3 Interest Rate Caps and Floors 11.4 Stock Index Options 11.5 Foreign Exchange Options 11.6 Compound Options 11.7 Path-Dependent Derivatives 12 Forwards, Futures, Futures Options, Swaps 12.1 Introduction 12.2 Forward Contracts 12.3 Futures Contracts 12.4 Futures Options and Forward Options 12.5 Swaps 13 Stochastic Processes and Brownian Motion 13.1 Stochastic Processes 13.2 Martingales ("Fair Games") 13.3 Brownian Motion 13,4 Brownian Bridge 14 Continuous-Time Financial Mathematics 14.1 Stochastic Integrals 14.2 Ito Processes 14.3 Applications 14.4 Financial Applications 15 Continuous-Time Derivatives Pricing 15.1 Partial Differential Equations 15.2 The Black-Schotes Differential Equation 15.3 Applications 15.4 General Derivatives Pricing 15.5 Stochastic Volatility 16 Hedging 16.1 Introduction 16.2 Hedging and Futures 16.3 Hedging and Options 17 Trees 17.1 Pricing Barrier Options with Combinatorial Methods 17.2 Trinomial Tree Algorithms 17.3 Pricing Multivariate Contingent Claims 18 Numerical Methods 18.1 Finite-Difference Methods 18.2 Monte Carlo Simulation 18.3 Quasi-Monte Carlo Methods 19 Matrix Computation 19.1 Fundamental Definitions and Results 19.2 Least-Squares Problems 19.3 Curve Fitting with Splines 20 Time Series Analysis 20.1 Introduction 20.2 Conditional Variance Models for Price Volatility 21 Interest Rate Derivative Securities 21.1 Interest Rate Futures and Forwards 21.2 Fixed-Income Options and Interest Rate Options 21.3 Options on Interest Rate Futures 21.4 Interest Rate Swaps 22 Term Structure Fitting 22.1 Introduction 22.2 Linear Interpolation 22.3 Ordinary Least Squares 22.4 Splines 22.5 The Nelson-Siegel Scheme 23 Introduction to Term Structure Modeling 23.1 Introduction 23.2 The Binomial Interest Rate Tree 23.3 Applications in Pricing and Hedging 23.4 Volatility Term Structures 24 Foundations of Term Structure Modeling 24.1 Terminology 24.2 Basic Relations 24.3 Risk-Neutral Pricing 24.4 The Term Structure Equation 24.5 Forward-Rate Process 24.6 The Binomial Model with Applications 24.7 Black-Scholes Models 25 Equilibrium Term Structure Models 25.1 The Vasicek Model 25.2 The Cox-Ingersoll-Ross Model 25.3 Miscellaneous Models 25.4 Model Calibration 25.5 One-Factor Short Rate Models 26 No-Arbitrage Term Structure Models 26.1 Introduction 26.2 The Ho-Lee Model 26.3 The Black-Derman-Toy Model 26.4 The Models According to Hull and White 26.5 The Heath-Jarrow-Morton Model 26.6 The Ritchken-Sankarasubramanian Model 27 Fixed-Income Securities 27.1 Introduction 27.2 Treasury, Agency, and Municipal Bonds 27.3 Corporate Bonds 27.4 Valuation Methodologies 27.5 Key Rate Durations 28 Introduction to Mortgage-Backed Securities 28.1 Introduction 28.2 Mortgage Banking 28.3 Agencies and Securitization 28.4 Mortgage-Backed Securities 28.5 Federal Agency Mortgage-Backed Securities Programs 28.6 Prepayments 29 Analysis of Mortgage-Backed Securities 29.1 Cash Flow Analysis 29.2 Collateral Prepayment Modeling 29.3 Duration and Convexity 29.4 Valuation Methodologies 30 Collateralized Mortgage Obligations 30.1 Introduction 30.2 Floating-Rate Tranches 30.3 PAC Bonds 30.4 TAC Bonds 30.5 CMO Strips 30.6 Residuals 31 Modern Portfolio Theory 31.1 Mean-Variance Analysis of Risk and Return 31.2 The Capital Asset Pricing Model 31.3 Factor Models 31.4 Value at Risk 32 Software 32.1 Web Programming 32.2 Use of The Capitals Software 32.3 Further Topics 33 Answers to Selected Exercises Bibliography Glossary of Useful Notations Index |
| 随便看 |
百科全书收录4421916条中文百科知识，基本涵盖了大多数领域的百科知识，是一部内容开放、自由的电子版百科全书。