The concepts and practice of mathematical finance
著者
書誌事項
The concepts and practice of mathematical finance
（Mathematics, finance, and risk / editorial board, Mark Broadie ... [et al.]）
Cambridge University Press, 2003
- : hardback
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注記
Includes bibliographical references (p. 462-467) and index
内容説明・目次
内容説明
For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems. The author brings to this book a blend of practical experience and rigorous mathematical background, and supplies here the working knowledge needed to become a good quantitative analyst.
目次
- Preface
- 1. Risk
- 2. Pricing methodologies and arbitrage
- 3. Trees and option pricing
- 4. Practicalities
- 5. The Ito calculus
- 6. Risk neutrality and martingale measures
- 7. The practical pricing of a European option
- 8. Continuous barrier options
- 9. Multi-look exotic options
- 10. Static replication
- 11. Multiple sources of risk
- 12. Options with early exercise features
- 13. Interest rate derivatives
- 14. The pricing of exotic interest rate derivatives
- 15. Incomplete markets and jump-diffusion processes
- 16. Stochastic volatility
- 17. Variance gamma models
- 18. Smile dynamics and the pricing of exotic options
- Appendix A. Financial and mathematical jargon
- Appendix B. Computer projects
- Appendix C. Elements of probability theory
- Appendix D. Hints and answers to questions
- Bibliography
- Index.
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