Mathematics of derivative securities

著者

書誌事項

Mathematics of derivative securities

edited by M.A.H. Dempster and S.R. Pliska

（Publications of the Newton Institute, 15）

Cambridge University Press, 1997

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注記

Proceedings of the Mathematical Finance Programme, held at the Isaac Newton Institute for Mathematical Sciences, Cambridge, Jan. through June 1995

Includes bibliographical references and index

内容説明・目次

内容説明

During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.

目次

  • Foreword R. C. Merton
  • Part I. Introduction: 1. Editors' introduction
  • 2. Stochastic calculus and Markov methods L. C. G. Rogers
  • 3. The risk premium in trading equilibria which support Black-Scholes option pricing S. D. Hodges and M. J. P. Selby
  • 4. On the numeraire portfolio P. Artzner
  • Part II. Option Pricing and Hedging: 5. Convergence of Snell envelopes and critical prices in the American Put N. J. Cutland, P. E. Kopp, W. Willinger and M. C. Wyman
  • 6. Some combination of Asian, Parisian and Barrier options M. Yor, M. Chesnay, H. Geman and M. Jeanblanc-Pique
  • 7. Co-movement term structure and the valuation of crack energy spread options A. Mbanefo
  • 8. Pricing and hedging with Smiles B. Dupire
  • 9. Filtering derivative security valuations from market prices R. J. Elliott, C. H. Lahaie and D. B. Madan
  • 10. Option pricing in the presence of extreme fluctuations J.-P. Bouchard, D. Sornette and M. Potters
  • 11. Hedging long maturity commodity commitments with short-dated futures contracts M. J. Brennan and N. I. Crew
  • 12. Nonlinear financial markets: hedging and portfolio optimization J. Cvitanic
  • 13. Semimartingales and asset pricing under constraints M. Frittelli
  • 14. Option pricing in incomplete markets M. H. A. Davis
  • 15. Option pricing and hedging in discrete time with transaction costs F. Mercurio and T. C. F. Vorst
  • Part III. Term Structure and Interest Rate Derivatives: 16. Bond and bond option pricing based on the current term structure P. H. Dybvig
  • 17. Dynamic models for yield curve evolution B. Flesaker and L. P. Hughston
  • 18. General interest rate models and the universality of HJM M. W. Baxter
  • 19. Swap derivatives in a Gaussian HJM framework A. Brace and M. Musiela
  • 20. Modelling bonds and derivatives with default risk D. Lando
  • 21. Term structure modelling under alternative official regimes S. H. Babbs and N. J. Webber
  • 22. Interest rate distributions, yield curve modelling and monetary policy L. El-Jahel, H. Lindberg and W. Perraudin
  • Part IV. Numerical Methods: 23. Numerical option pricing using conditioned diffusions S. K. Gandhi and P. J. Hunt
  • 24. Numerical valuation of cross-currency swaps and swaptions M. A. H. Dempster and J. P. Hutton
  • 25. Numerical methods for stochastic control problems in finance H. J. Kushner
  • 26. Simulation methods for option pricing J. P. Lehoczky
  • 27. New methodologies for valuing derivatives S. H. Paskov.

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