衍生证券教程
2010-9
世界图书出版公司
贝克
355
无
This book is an outgrowth of notes compiled by the author while teaching courses for undergraduate and masters/MBA finance students at Washing-ton University in St. Louis and the Institut ffir HShere Studien in Vienna. At one time, a course in Options and Futures was considered an advanced finance elective, but now such a course is nearly mandatory for any finance major and is an elective chosen by many non-finance majors as well. Moreover, students are exposed to derivative securities in courses on Investments, International Finance, Risk Management, Investment Banking, Fixed Income, etc. This ex-pansion of education in derivative securities mirrors the increased importance of derivative securities in corporate finance and investment management.
part i introduction to option pricing 1 asset pricing basics 1.1 fundamental concepts 1.2 state prices in a one-period binomial model 1.3 probabilities and numeraires 1.4 asset pricing with a continuum of states 1.5 introduction to option pricing 1.6 an incomplete markets example problems 2 continuous-time models 2.1 simulating a brownian motion 2.2 quadratic variation 2.3 it6 processes 2.4 it6's formula 2.5 multiple it5 processes 2.6 examples of it6's formula 2.7 reinvesting dividends 2.8 geometric brownian motion 2.9 numeraires and probabilities 2.10 tail probabilities of geometric brownian motions 2.11 volatilities problems 3 black-scholes 3.1 digital options 3.2 share digitals 3.3 puts and calls 3.4 greeks 3.5 delta hedging 3.6 gamma hedging 3.7 implied volatilities 3.8 term structure of volatility 3.9 smiles and smirks 3.10 calculations in vba problems 4 estimating and modelling volatility 4.1 statistics review 4.2 estimating a constant volatility and mean 4.3 estimating a changing volatility 4.4 garch models 4.5 stochastic volatility models 4.6 smiles and smirks again 4.7 hedging and market completeness problems 5 introduction to monte carlo and binomial models 5.1 introduction to monte carlo 5.2 introduction to binomial models 5.3 binomial models for american options 5.4 binomial parameters 5.5 binomial greeks 5.6 monte carlo greeks i: difference ratios 5.7 monte carlo greeks ii: pathwise estimates 5.8 calculations in vba problems part ii advanced option pricing 6 foreign exchange 6.1 currency options 6.2 options on foreign assets struck in foreign currency 6.3 options on foreign assets struck in domestic currency 6.4 currency forwards and futures 6.5 quantos 6.6 replicating quantos 6.7 quanto forwards 6.8 quanto options 6.9 return swaps 6.10 uncovered interest parity problems 7 forward, futures, and exchange options 7.1 margrabe's formula 7.2 black's formula 7.3 merton's formula 7.4 deferred exchange options 7.5 calculations in vba 7.6 greeks and hedging 7.7 the relation of futures prices to forward prices 7.8 futures options 7.9 time-varying volatility 7.10 hedging with forwards and futures 7.11 market completeness problems 8 exotic options 8.1 forward-start options 8.2 compound options 8.3 american calls with discrete dividends 8.4 choosers 8.5 options on the max or min 8.6 barrier options 8.7 lookbacks 8.8 basket and spread options 8.9 asian options 8.10 calculations in vba problems 9 more on monte carlo and binomial valuation 9.1 monte carlo models for path-dependent options 9.2 binomial valuation of basket and spread options 9.3 monte carlo valuation of basket and spread options 9.4 antithetic variates in monte carlo 9.5 control variates in monte carlo 9.6 accelerating binomial convergence 9.7 calculations in vba problems 10 finite difference methods 10.1 fundamental pde 10.2 discretizing the pde 10.3 explicit and implicit methods 10.4 crank-nicolson 10.5 european options 10.6 american options 10.7 barrier options 10.8 calculations in vba problems part iii fixed income 11 fixed income concepts 11.1 the yield curve 11.2 libor 11.3 swaps 11.4 yield to maturity, duration, and convexity 11.5 principal components 11.6 hedging principal components problems 12 introduction to fixed income derivatives 12.1 caps and floors 12.2 forward rates 12.3 portfolios that pay spot rates 12.4 the market model for caps and floors 12.5 the market model for european swaptions 12.6 a comment on consistency 12.7 caplets as puts on discount bonds 12.8 swaptions as options on coupon bonds 12.9 calculations in vba problems 13 valuing derivatives in the extended vasicek model 13.1 the short rate and discount bond prices 13.2 the vasicek mode] 13.3 estimating the vasicek model 13.4 hedging in the vasicek model 13.5 extensions of the vasicek model 13.6 fitting discount bond prices and forward rates 13.7 discount bond options, caps and floors 13.8 coupon bond options and swaptions 13.9 captions and floortions 13.10 yields and yield volatilities 13.11 the general hull-white model 13.12 calculations in vba problems 14 a brief survey of term structure models 14.1 ho-lee 14.2 black-derman-toy 14.3 black-karasinski 14.4 cox-ingersoll-ross 14.5 longstaff-schwartz 14.6 heath-jarrow-morton 14.7 market models again problems ppendices a programming in vba a.1 vba editor and modules a.2 subroutines and functions a.a message box and input box a.4 writing to and reading from ceils a.5 variables and assignments a.6 mathematical operations a.7 random numbers a.8 for loops a.9 while loops and logical expressions a.10 if, else, and elseif statements a.11 variable declarations a.12 variable passing a.13 arrays a.14 debugging b miscellaneous facts about continuous-time models b.1 girsanov's theorem b.2 the minimum of a geometric brownian motion b.3 bessel squared processes and the cir model list of programs list of symbols references index
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影印版，印刷质量一般，不过内容方面还不错，具体评论需要阅读之后才知道