Rubinstein on derivatives
著者
書誌事項
Rubinstein on derivatives
Risk Books, c1999
- タイトル別名
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Rubinstein on derivatives : futures, options and dynamic strategies
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注記
Bibliography: p. 427-459
Includes index
内容説明・目次
内容説明
An introduction to modern derivatives pricing and hedging theory and practice. It includes discussion of binomial option pricing, futures and bonds, volatility, quantitative analysis, exotic options, corporate securities, empirical tests, portfolio optimization and performance measurement.
目次
Preface Assets, Derivatives and Markets Basic concepts Underlying assets Classes of derivatives Examples of derivatives Markets Forwards and Futures Asset and Cash Valuation and replication Examples of forwards and futures Hedging with futures Swaps Introduction to Options Basic positions Combined positions Valuation Replication The Binomial Option Pricing Model Single-period model Multiperiod model Hedging with options Extensions Options on bonds The Black-Scholes Formula Derivation Hedging parameters Extensions Volatility Realised volatility Implied volatility Dynamic Strategies Dynamic asset allocation Portfolio insurance Simulation Glossary Bibliography Index
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