金融模型中的鞅方法檢視原始碼討論檢視歷史
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《金融模型中的鞅方法》，作 者慕斯勒 (Marek Musiela) Marek Rutkowski，出版社世界圖書出版社，出版時間2013年10月1日，頁 數715 頁，開 本16 開，ISBN9787510061394, 7510061393，外文名Martingale Methods in Financial Modelling Second Edition，類 型英語與其他外語，語 種簡體中文, 英語。
圖書是以傳播文化[1]為目的，用文字或其它信息符號記錄於一定形式的材料之上的著作物，圖書是人類思想的產物，是一種特定的不斷發展着的知識傳播工具[2]。
內容簡介
《金融模型中的鞅方法(第2版)》全面講述了期權定價最新最完整體系。從金融市場的離散時間模型開始，涉及cox—ross—rubinstein二項模型。在black—scholes模型背景下，假定熟悉隨機微積分的基本觀點，從離散時間模型講到連續時間模型，並在附錄中包含了所有的必需結果。這種模型背景後來一般化到包括集中資產和貨幣的標準和奇異期權中。概述了套利定價理論。第二部分致力於術語結構模型和利率衍生定價模型。重在強調可以和市場定價相一致的模型。這是第二版，將第一版中第一部分做了比較大的調整，更加易於閱讀，新增加了全新的一章講述波動風險。
目錄
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