数理金融初步（英文版·第3版） / 华章数学原版精品系列
￥49.00定价
作者： Sheldon M.Ross
出版时间：2013年8月
出版社：机械工业出版社
- 机械工业出版社
- 9787111433026
- 1
- 48650
- 平装
- 16开
- 2013年8月
- 305
内容简介
《华章数学原版精品系列：数理金融初步（英文版·第3版）》清晰简洁地阐述了数理金融学的基本问题，主要包括套利、Black-Scholes期权定价公式以及效用函数、最优资产组合原理、资本资产定价模型等知识，并将书中所讨论的问题的经济背景、解决这些问题的数学方法和基本思想系统地展示给读者。《华章数学原版精品系列：数理金融初步（英文版·第3版）》内容选择得当、结构安排合理，既适合作为高等院校学生（包括财经类专业及应用数学专业）的教材，同时也适合从事金融工作的人员阅读。
目录
Introduction and Preface
1 Probability
1.1 Probabilities and Events
1.2 Conditional Probability
1.3 Random Variables and Expected Values
1.4 Covariance and Correlation
1.5 Conditional Expectation
1.6 Exercises
2 Normal Random Variables
2.1 Continuous Random Variables
2.2 Normal Random Variables
2.3 Properties of Normal Random Variables
2.4 The Central Limit Theorem
2.5 Exercises
3 Brownian Motion and Geometric Brownian Motion
3.1 Brownian Motion
3.2 Brownian Motion as a Limit of Simpler Models
3.3 Geometric Brownian Motion
3.3.1 Geometric Brownian Motion as a Limit of Simpler Models
3.4 The Maximum Variable
3.5 The Cameron-Martin Theorem
3.6 Exercises
4 Interest Rates and Present Value Analysis
4.1 Interest Rates
4.2 Present Value Analysis
4.3 Rate of Return
4.4 Continuously Varying Interest Rates
4.5 Exercises
5 Pricing Contracts via Arbitrage
5.1 An Example in Options Pricing
5.2 Other Examples of Pricing via Arbitrage
5.3 Exercises
6 The Arbitrage Theorem
6.1 The Arbitrage Theorem
6.2 The Multiperiod Binomial Model
6.3 Proof of the Arbitrage Theorem
6.4 Exercises
7 The Black-Scboles Formula
7.1 Introduction
7.2 The Black-Scholes Formula
7.3 Properties of the Black-Scholes Option Cost
7.4 The Delta Hedging Arbitrage Strategy
7.5 Some Derivations
7.5.1 The Black-Scholes Formula
7.5.2 The Partial Derivatives
7.6 European Put Options
7.7 Exercises
8 Additional Results on Options
8.1 Introduction
8.2 Call Options on Dividend-Paying Securities
8.2.1 The Dividend for Each Share of the Security Is Paid Continuously in Time at a Rate Equal to a Fixed Fraction f of the Price of the Security
8.2.2 For Each Share Owned, a Single Payment of fS（td） IS Made at Time td
8.2.3 For Each Share Owned, a Fixed Amount D Is to Be Paid at Time td
8.3 Pricing American Put Options
8.4 Adding Jumps to Geometric Brownian Motion
8.4.1 When the Jump Distribution Is Lognormal
8.4.2 When the Jump Distribution Is General
8.5 Estimating the Volatility Parameter
8.5.1 Estimating a Population Mean and Variance
8.5.2 The Standard Estimator of Volatility
8.5.3 Using Opening and Closing Data
8.5.4 Using Opening, Closing, and High-Low Data
8.6 Some Comments
8.6.1 When the Option Cost Differs from the Black-Scholes Formula
8.6.2 When the Interest Rate Changes
8.6.3 Final Comments
8.7 Appendix
8.8 Exercises
9 Valuing by Expected Utility
10 Stochastic Order Relations
11 Optimization Models
12 Stochastic Dynamic Programming
13 Exotic Options
14 Beyond Geometric Brownian Motion Models
15 Autoregressive Models and Mean Reversion
Index
1 Probability
1.1 Probabilities and Events
1.2 Conditional Probability
1.3 Random Variables and Expected Values
1.4 Covariance and Correlation
1.5 Conditional Expectation
1.6 Exercises
2 Normal Random Variables
2.1 Continuous Random Variables
2.2 Normal Random Variables
2.3 Properties of Normal Random Variables
2.4 The Central Limit Theorem
2.5 Exercises
3 Brownian Motion and Geometric Brownian Motion
3.1 Brownian Motion
3.2 Brownian Motion as a Limit of Simpler Models
3.3 Geometric Brownian Motion
3.3.1 Geometric Brownian Motion as a Limit of Simpler Models
3.4 The Maximum Variable
3.5 The Cameron-Martin Theorem
3.6 Exercises
4 Interest Rates and Present Value Analysis
4.1 Interest Rates
4.2 Present Value Analysis
4.3 Rate of Return
4.4 Continuously Varying Interest Rates
4.5 Exercises
5 Pricing Contracts via Arbitrage
5.1 An Example in Options Pricing
5.2 Other Examples of Pricing via Arbitrage
5.3 Exercises
6 The Arbitrage Theorem
6.1 The Arbitrage Theorem
6.2 The Multiperiod Binomial Model
6.3 Proof of the Arbitrage Theorem
6.4 Exercises
7 The Black-Scboles Formula
7.1 Introduction
7.2 The Black-Scholes Formula
7.3 Properties of the Black-Scholes Option Cost
7.4 The Delta Hedging Arbitrage Strategy
7.5 Some Derivations
7.5.1 The Black-Scholes Formula
7.5.2 The Partial Derivatives
7.6 European Put Options
7.7 Exercises
8 Additional Results on Options
8.1 Introduction
8.2 Call Options on Dividend-Paying Securities
8.2.1 The Dividend for Each Share of the Security Is Paid Continuously in Time at a Rate Equal to a Fixed Fraction f of the Price of the Security
8.2.2 For Each Share Owned, a Single Payment of fS（td） IS Made at Time td
8.2.3 For Each Share Owned, a Fixed Amount D Is to Be Paid at Time td
8.3 Pricing American Put Options
8.4 Adding Jumps to Geometric Brownian Motion
8.4.1 When the Jump Distribution Is Lognormal
8.4.2 When the Jump Distribution Is General
8.5 Estimating the Volatility Parameter
8.5.1 Estimating a Population Mean and Variance
8.5.2 The Standard Estimator of Volatility
8.5.3 Using Opening and Closing Data
8.5.4 Using Opening, Closing, and High-Low Data
8.6 Some Comments
8.6.1 When the Option Cost Differs from the Black-Scholes Formula
8.6.2 When the Interest Rate Changes
8.6.3 Final Comments
8.7 Appendix
8.8 Exercises
9 Valuing by Expected Utility
10 Stochastic Order Relations
11 Optimization Models
12 Stochastic Dynamic Programming
13 Exotic Options
14 Beyond Geometric Brownian Motion Models
15 Autoregressive Models and Mean Reversion
Index
