金融模型中的鞅方法
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《金融模型中的鞅方法》，作 者慕斯勒 (Marek Musiela) Marek Rutkowski，出版社世界图书出版社，出版时间2013年10月1日，页 数715 页，开 本16 开，ISBN9787510061394, 7510061393，外文名Martingale Methods in Financial Modelling Second Edition，类 型英语与其他外语，语 种简体中文, 英语。
图书是以传播文化[1]为目的，用文字或其它信息符号记录于一定形式的材料之上的著作物，图书是人类思想的产物，是一种特定的不断发展着的知识传播工具[2]。
内容简介
《金融模型中的鞅方法(第2版)》全面讲述了期权定价最新最完整体系。从金融市场的离散时间模型开始，涉及cox—ross—rubinstein二项模型。在black—scholes模型背景下，假定熟悉随机微积分的基本观点，从离散时间模型讲到连续时间模型，并在附录中包含了所有的必需结果。这种模型背景后来一般化到包括集中资产和货币的标准和奇异期权中。概述了套利定价理论。第二部分致力于术语结构模型和利率衍生定价模型。重在强调可以和市场定价相一致的模型。这是第二版，将第一版中第一部分做了比较大的调整，更加易于阅读，新增加了全新的一章讲述波动风险。
目录
PrefacetotheSecondEdition
NoteontheSecondPrinting
PrefacetotheFirstEdition
PartⅠSpotandFuturesMarkets
1AnIntroductiontoFinancialDerivatives
1.1Options
1.2FuturesContractsandOptions
1.3ForwardContracts
1.4CallandPutSpotOptions
1.4.1One-periodSpotMarket
1.4.2ReplicatingPortfolios
1.4.3MartingaleMeasureforaSpotMarket
1.4.4AbsenceofArbitrage
1.4.5OptimalityofReplication
1.4.6ChangeofaNumeraire
1.4.7PutOption
1.5ForwardContracts
1.5.1ForwardPrice
1.6FuturesCallandPutOptions
1.6.1FuturesContractsandFuturesPrices
1.6.2One-periodFuturesMarket
1.6.3MartingaleMeasureforaFuturesMarket
1.6.4AbsenceofArbitrage
1.6.5One-periodSpoUFuturesMarket
1.7OptionsofAmericanStyle
1.8UniversalNo-arbitrageInequalities
2Discrete-timeSecurityMarkets
2.1TheCox-Ross-RubinsteinModel
2.1.1BinomialLatticefortheStockPrice
2.1.2RecursivePricingProcedure
2.1.3CRROptionPricingFormula
2.2MartingalePtopertiesoftheCRRModel
2.2.1MartingaleMeasures
2.2.2Risk-neutralValuationFormula
2.2.3ChangeofaNumeraire
2.3TheBlack-ScholesOptionPricingFormula
2.4ValuationofAmericanOptions
2.4.1AmericanCallOptions
2.4.2AmericanPutOptions
2.4.3AmericanClaims
2.5OptionsonaDividend-payingStock
2.6SecurityMarketsinDiscreteTime
2.6.1FiniteSpotMarkets
2.6,2Self-financingTradingStrategies
2.6.3ReplicationandArbitrageOpportunities
2.6.4ArbitragePrice
2.6.5Risk-neutralValuationFormula
2.6.6ExistenceofaMartingaleMeasure
2.6.7CompletenessofaFiniteMarket
2.6.8SeparatingHyperplaneTheorem
2.6.9ChangeofaNumeraire
2.6.10Discrete-timeModelswithInfiniteStateSpace
2.7FiniteFuturesMarkets
2.7.1Self-financingFuturesStrategies
2.7.2MartingaleMeasuresforaFuturesMarket
2.7.3Risk-neutralValuationFormula
2.7.4FuturesPricesVersusForwardPrices
2.8AmericanContingentClaims
2.8.1OptimalStoppingProblems
2.8.2ValuationandHedgingofAmericanClaims
2.8.3AmericanCallandPut
2.9GameContingentClaims
2.9.1DynkinGames
2.9.2ValuationandHedgingofGameContingentClaims
3BenchmarkModelsinContinuousTime
3.1TheBlack-ScholesModel
3.1.1Risk-freeBond
3.1.2StockPrice
3,1.3Self-financingTradingStrategies
3.1.4MartingaleMeasurefortheBlack-ScholesModel
3.1.5Black-ScholesOptionPricingFormula
3.1.6CaseofTime-dependentCoefficients
3.1.7Merton'sModel
3.1.8Put-CallParityforSpotOptions
3.1.9Black-ScholesPDE
3.1.10ARisklessPortfolioMethod
3.1.1IBlack-ScholesSensitivities
3.1.12MarketImperfections
3.1.13NumericalMethods
3.2ADividend-payingStock
3.2.1CaseofaConstantDividendYield
3.2.2CaseofKnownDividends
3.3BachelierModel
3.3.1BachelierOptionPricingFormula
3.3.2Bachelier'sPDE
3.3.3BachelierSensitivities
3.4BlackModel
3.4.1Self-financingFuturesStrategies
3,4.2MartingaleMeasurefortheFuturesMarket
3.4.3Black'sFuturesOptionFormula
3.4.4OptionsonForwardContracts
3.4.5ForwardandFuturesPrices
3.5RobustnessoftheBlack-ScholesApproach
3.5.1UncertainVolatility
3.5.2EuropeanCallandPutOptions
3.5.3ConvexPath-independentEuropeanClaims
3.5.4GeneralPath-independentEuropeanClaims
ForeignMarketDerivatives
4,1Cross-currencyMarketModel
4.1.1DomesticMartingaleMeasure
4.1.2ForeignMartingaleMeasure
4.1.3ForeignStockPriceDynanucs
4.2CurrencyForwardContractsandOptions
4.2.1ForwardExchangeRate
4.2.2CurrencyOptionValuationFormula
4.3ForeignEquityForwardContracts
4.3.1ForwardPriceofaForeignStock
4.3.2QuantoForwardContracts
4.4ForeignMarketFuturesContracts
4.5ForeignEquityOptions
4.5.1OptionsStruckinaForeignCurrency
4.5.2OptionsStruckinDomesticCurrency
4.5.3QuantoOptions
4.5.4Equity-linkedForeignExchangeOptions
5AmericanOptions
5.1ValuationofAmericanClaims
5.2AmericanCallandPutOptions
5.3EarlyExerciseRepresentationofanAmericanPut
5.4AnalyticalApproach
5.5ApproximationsoftheAmericanPutPrice
5.6OptiononaDividend-payingStock
5.7GameContingentClaims
6ExoticOptions
6.1Packages
6.2Forward-startOptions
6.3ChooserOptions
6.4CompoundOptions
6.5DigitalOptions
6.6BarrierOptions
6.7LookbackOptions
6.8AsianOptions
6.9BasketOptions
6.10QuantileOptions
6.11OtherExoticOptions
7VolatilityRisk
7.1ImpliedVolatilitiesofTradedOptions
7.1.1HistoricalVolatility
7.1.2ImpliedVolatility
7.1.3ImpliedVolatilityVersusHistoricalVolatility
7.1.4ApproximateFormulas
7.1.5ImpliedVolatilitySurface
7.1.6AsymptoticBehavioroftheImpliedVolatility
7.1.7Marked-to-MarketModels
7.1.8VegaHedging
7.1.9CorrelatedBrownianMotions
7.1.10Forward-startOptions
7.2ExtensionsoftheBlack-ScholesModel
7.2.1CEVModel
7.2.2ShiftedLognormalModels
7.3LocalVolatilityModels
7.3.1ImpliedRisk-NeutralProbabilityLaw
7.3.2LocalVolatility
7.3.3MixtureModels
7.3.4AdvantagesandDrawbacksofLVModels
7.4StochasticVolatilityModels
7.4.1PDEApproach
7.4.2ExamplesofSVModels
7.4.3HullandWhiteModel
7.4.4Heston'sModel
7.4.5SABRModel
7.5DynamicalModelsofVolatilitySurfaces
7.5.1DynamicsoftheLocalVolatilitySurface
7.5.2DynamicsoftheImpliedVolatilitySurface
7.6AlternativeApproaches
7.6.1ModellingofAssetReturns
7.6.2ModellingofVolatilityandRealizedVariance
8Continuous-timeSecurityMarkets
8.1StandardMarketModels
8.1.1StandardSpotMarket
8.1.2FuturesMarket
8.1.3ChoiceofaNumeraire
8.1.4ExistenceofaMartingaleMeasure
8.1.5FundamentalTheoremofAssetPricing
8.2MultidimensionalBlack-ScholesModel
8.2.1MarketCompleteness
8.2.2Variance-minimizingHedging
8.2.3Risk-minimizingHedging
8.2.4MarketImperfections
……
PartⅡFixed-incomeMarkets
PartⅢAPPENDIX