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金融工程和计算——原理, 数学, 算法 (影印版)


作者:
Yuh-Dauh Lyuu 著
定价:
85.00元
ISBN:
978-7-04-023980-5
版面字数:
850.000千字
开本:
16开
全书页数:
627页
装帧形式:
平装
重点项目:
暂无
出版时间:
2008-05-30
读者对象:
学术著作
一级分类:
自然科学
二级分类:
数学与统计
三级分类:
金融数学

《金融工程和计算:原理数学算法》(影印版)全面讨论了金融工程背后的理论和数学,并强调了在当今资本市场中金融工程实际应用的计算。与大多数有关投资 学、金融工程或衍生证券的书不同的是,《金融工程和计算:原理数学算法》(影印版)从金融学的基本观念出发,逐步构建理论。在现代金融学中所需要的高级数 学概念以一种可接受的层次来阐释。这样,它就为金融方面的MBA、有志于从事金融业的理工科学生、计算金融的研究工作者、系统分析师和金融工程师在这一主 题上提供了全面的基础。

构建理论的同时,作者介绍了在定价、风险管理和证券组合管理方面的计算技巧的算法,并且对它们的效率进行了分析。对金融证券和衍生证券的定价是《金融工程 和计算:原理数学算法》(影印版)的中心论题。各种各样的金融工具都得到讨论:债券、期权、期货、远期、利率衍生品、有抵押支持的证券、嵌入期权的债券, 以及诸如此类的其他工具。为便于参考使用,每种金融工具都以简短而自成体系的一章来论述。

  • 1 Introduction
    • 1.1 Modern Finance:A Brief History
    • 1.2 Financial Engineering and Computation
    • 1.3 Financial Markets
    • 1.4 Computer Technology
  • 2 Analysis of AlgorithmS
    • 2.1 Complexity
    • 2.2 Analysis of Algorithms
    • 2.3 Description of Algorithms
    • 2.4 Software Implementation
  • 3 Basic Financial Mathematics
    • 3.1 Time Value of Money
    • 3.2 Annuities
    • 3.3 Amortization
    • 3.4 Yields
    • 3.5 Bonds
  • 4 Bond Price Volatility
    • 4.1 Price Volatility
    • 4.2 Duration
    • 4.3 Convexity
  • 5 Term Structure of Interest Rates
    • 5.1 Introduction
    • 5.2 Spot Rates
    • 5.3 Extracting Spot Rates from Yield Curves
    • 5.4 Static Spread
    • 5.5 Spot Rate Curve and Yield Curve
    • 5.6 Forward Rates
    • 5.7 Term Structure Theories
    • 5.8 Duration and Immunization Revisited
  • 6 Fundamental Statistical Concepts
    • 6.1 Basics
    • 6.2 Regression
    • 6.3 Correlation
    • 6.4 Parameter Estimation
  • 7 Option Basics
    • 7.1 Introduction
    • 7.2 Basics
    • 7.3 Exchange-Traded Options
    • 7.4 Basic Option Strategies
  • 8 Arbitrage in Option Pricing
    • 8.1 The Arbitrage Argument
    • 8.2 Relative Option Prices
    • 8.3 Put-Call Parity and Its Consequences
    • 8.4 Early Exercise of American Options
    • 8.5 Convexity of Option Prices
    • 8.6 The Option Portfolio Property
  • 9 Option Pricing Models
    • 9.1 Introduction
    • 9.2 The Binomial Option Pricing Model
    • 9.3 The Black-Scholes Formula
    • 9.4 Using the Black-Scholes Formula
    • 9.5 American Puts on a Non-Dividend-Paying Stock
    • 9.6 Options on a Stock that Pays Dividends
    • 9.7 Traversing the Tree Diagonally
  • 10 Sensitivity Analysis Options
    • 10.1 Sensitivity Measures (“The Greeks”)
    • 10.2 Numerical Techniques
  • 11 Extensions of Options Theory
    • 11.1 Corporate Securities
    • 11.2 Barrier Options
    • 11.3 Interest Rate Caps and Floors
    • 11.4 Stock Index Options
    • 11.5 Foreign Exchange Options
    • 11.6 Compound Options
    • 11.7 Path-Dependent Derivatives
  • 12 Forwards, Futures, Futures Options, Swaps
    • 12.1 Introduction
    • 12.2 Forward Contracts
    • 12.3 Futures Contracts
    • 12.4 Futures Options and Forward Options
    • 12.5 Swaps
  • 13 Stochastic Processes and Brownian Motion
    • 13.1 Stochastic Processes
    • 13.2 Martingales(“Fair Games”)
    • 13.3 Brownian Motion
    • 13.4 Brownian Bridge
  • 14 Continuous-Time Financial Mathematics
    • 14.1 Stochastic Integrals
    • 14.2 Ito Processes
    • 14.3 Applications
    • 14.4 Financial Applications
  • 15 Continuous-Time Derivatives Pricing
    • 15.1 Partial Differential Equations
    • 15.2 The Black-Scholes Differential Equation
    • 15.3 Applications
    • 15.4 General Derivatives Pricing
    • 15.5 Stochastic Volatility
  • 16 Hedging
    • 16.1 Introduction
    • 16.2 Hedging and Futures
    • 16.3 Hedging and Options
  • 17 Trees
    • 17.1 Pricing Barrier Options with Combinatorial Methods
    • 17.2 Trinomial Tree Algorithms
    • 17.3 Pricing Multivariate Contingent Claims
  • 18 Numerical Methods
    • 18.1 Finite-Difference Methods
    • 18.2 Monte Carlo Simulation
    • 18.3 Quasi-Monte Carlo Methods
  • 19 Matrix Computation
    • 19.1 Fundamental Definitions and Results
    • 19.2 Least-Squares Problems
    • 19.3 Curve Fitting with Splines
  • 20 Time Series Analysis
    • 20.1 Introduction
    • 20.2 Conditional Variance Models for Price Volatility
  • 21 lnterest Rate Derivative Securities
    • 21.1 Interest Rate Futures and Forwards
    • 21.2 Fixed-Income Options and Interest Rate Options
    • 21.3 Options on Interest Rate Futures
    • 21.4 Interest Rate Swaps
  • 22 Term Structure Fitting
    • 22.1 Introduction
    • 22.2 Linear Interpolation
    • 22.3 Ordinary Least Squares
    • 22.4 Splines
    • 22.5 The Nelson-Siegel Scheme
  • 23 Introduction to Term Structure Modeling
    • 23.1 Introduction
    • 23.2 The Binomial Interest Rate Tree
    • 23.3 Applications in Pricing and Hedging
    • 23.4 Volatility Term Structures
  • 24 Foundations of Term Structure Modeling
    • 24.1 Terminology
    • 24.2 Basic Relations
    • 24.3 Risk-Neutral Pricing
    • 24.4 The Term Structure Equation
    • 24.5 Forward-Rate Process
    • 24.6 The Binomial Model with Applications
    • 24.7 Black-Scholes Models
  • 25 Equilibrium Term Structure Models
    • 25.1 The Vasicek Model
    • 25.2 The Cox-Ingersoll-Ross Model
    • 25.3 Miscellaneous Models
    • 25.4 Model Calibration
    • 25.5 One-Factor Short Rate Models
  • 26 No-Arbitrage Term Structure Models
    • 26.1 Introduction
    • 26.2 The Ho-Lee Model
    • 26.3 The Black-Derman-Toy Model
    • 26.4 The Models According to Hull and White
    • 26.5 The Heath-Jarrow-Morton Model
    • 26.6 The Ritchken-Sankarasubramanian Model
  • 27 Fixed-Income Securities
    • 27.1 Introduction
    • 27.2 Treasury Agency, and Municipal Bonds
    • 27.3 Corporate Bonds
    • 27.4 Valuation Methodologies
    • 27.5 Key Rate Durations
  • 28 Introduction to Mortgage-Backed Securities
    • 28.1 Introduction
    • 28.2 Mortgage Banking
    • 28.3 Agencies and Securitization
    • 28.4 Mortgage-Backed Securities
    • 28.5 Federal Agency Mortgage-Backed Securities Programs
    • 28.6 Prepayments
  • 29 Analysis of MOrtgage-Backed Securities
    • 29.1 Cash Flow Analysis
    • 29.2 Collateral Prepayment Modeling
    • 29.3 Duration and Convexity
    • 29.4 Valuation Methodologies
  • 30 Collateralized Mortgage Obligations
    • 30.1 Introduction
    • 30.2 Floating-Rate Tranches
    • 30.3 PAC Bonds
    • 30.4 TAC Bonds
    • 30.5 CMO Strips
    • 30.6 Residuals
  • 31 Modern Portfolio Theory
    • 31.1 Mean-Variance Analysis of Risk and Return
    • 31.2 The Capital Asset Pricing Model
    • 31.3 Factor Models
    • 31.4 Value at Risk
  • 32 Software
    • 32.1 Web Programming
    • 32.2 Use of The Capitals Software
    • 32.3 Further Topics
  • 33 Answers to Selected Exercises
  • Bibliography
  • Glossary of Useful Notations
  • Index

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