金融数学：衍生产品定价引论 英文版PDF电子书下载

The parable of the bookmaker 1

Chapter 1 Introduction 3

1.1 Expectation pricing 4

1.2 Arbitrage pricing 7

1.3 Expectation vs arbitrage 9

Chapter 2 Discrete processes 10

2.1 The binomial branch model 10

2.2 The binomial tree model 17

2.3 Binomial representation theorem 28

2.4 Overture to continuous models 41

Chapter 3 Continuous processes 44

3.1 Continuous processes 45

3.2 Stochastic calculus 51

3.3 It？ calculus 57

3.4 Change ofmeasure-the C-M-G theorem 63

3.5 Martingale representation theorem 76

3.6 Construction strategies 80

3.7 Black-Scholes model 83

3.8 Black-Scholes in action 92

Chapter 4 Pricing market securities 99

4.1 Foreign exchange 99

4.2 Equities and dividends 106

4.3 Bonds 112

4.4 Market price of risk 116

4.5 Quantos 122

Chapter 5 Interest rates 128

5.1 The interest rate market 129

5.2 A simple model 135

5.3 Single-factor HJM 142

5.4 Short-rate models 149

5.5 Multi-factor HJM 158

5.6 Interest rate products 163

5.7 Multi-factor models 172

Chapter 6 Bigger models 178

6.1 General stock model 178

6.2 Log-normal models 181

6.3 Multiple stock models 183

6.4 Numeraires 189

6.5 Foreign currency interest-rate models 193

6.6 Arbitrage-free complete models 196

Appendices A1 Further reading 201

A2 Notation 205

A3 Answers to exercises 209

A4 Glossary of technical terms 216

Index 228