金融数学（英文版）|经典原版书库|（美）Joseph Stampfli,Victor Goodmamn|机械工业出版社

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金融数学（英文版）

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原书名：The Mathematics of Finance:Modeling and Hedging	原出版社：Thomson
作者：（美）Joseph Stampfli,Victor Goodmamn	出版社：机械工业出版社
译者：	丛书名：经典原版书库
出版日期：2003-4-1	上架日期：2005-10-8
ISBN：7111119126	页数：版次：1-5
开本：16开	装帧：
读者对象：本科生、研究生

市场价：~~￥35.00~~

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| 大封面 | 封底 | 前言 | 内容简介 | 序言 | 目录 | 作者简介 | 译者简介 | 作者序 | 译者序 |

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内容简介
金融投资是现代社会最活跃的经济活动之一。自1973年出现Black-Scholes公式以来，金融界以前所未有的速度接受数学模型和数学工具，于是出现了数学、金融、计算机和全球经济的融合。在金融数学自身的吸引力和众多使用者需求的双重影响下，美国各大学纷纷开设了相应的课程，本书正是顺应这种趋势编写的。本书主要讲解建模和对冲中使用的金融概念和数学模型。从金融方面的相关概念、术语和策略开始，逐步讨论了其中的离散模型和计算方法、以Black-Scholes公式为中心的边疆模型和解析方法，以及金融市场的风险分析及对冲策略等方面的内容。本书作为金融数学的基础教材，适用于相关专业的本科生和研究生课程。

目录
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1 Financial Markets
l.l Markets and Math
l.2 Stocks and Their Derivatives
l.2.l Forward Stock Contracts
l.2.2 Call Options
l.2.3 Put Options
l.2.4 Short Selling
l.3 Pricing Futures Contracts
1.4 Bond Markets
l.4.l Rates of Return
l.4.2 The U.S. Bond Market
l.4.3 Interest Rates and Forward Interest Rates
l.4.4 Yield Curves
l.5 Interest Rate Futures
l.5.l Determining the Futures Price
l.5.2 Treasury Bill Futures
l.6 Foreign Exchange
l.6.l Currency Hedging
l.6.2 Computing Currency Futures
2 Binomial Trees, Replicating Portfolios,and Arbitrage
2.l Three Ways to Price a Derivative
2.2 The Game Theory Method
2.2.l Eliminating Uncertainty
2.2.2 Valuing the Option
2.2.3 Arbitrage
2.2.4 The Game Theory Method--A General Formula
2.3 Replicating Portfolios
2.3.l The Context
2.3.2 A Portfolio Match
2.3.3 Expected Value Pricing Approach
2.3.4 How to Remember the Pricing Probability
2.4 The Probabilistic Approach
2.5 Risk
2.6 Repeated Binomial Trees and Arbitrage
2.7 Appendix: Limits of the Arbitrage Method
3 Tree Models for Stocks and Options
3.l A Stock Model
3.l.l Recombining Trees
3.l.2 Chaining and Expected Values
3.2 Pricing a Call Option with the Tree Model
3.3 Pricing an American Option
3.4 Pricing an Exotic Option--Knockout Options
3.5 Pricing an Exotic Option--Lookback Options
3.6 Adjusting the Binomial Tree Model
to Real-World Data
3.7 Hedging and Pricing the N-Period Binomial Model
4 Using Spreadsheets to Compute Stock
and Option Trees
4.l Some Spreadsheet Basics
4.2 Computing European Option Trees
4.3 Computing American Option Trees
4.4 Computing a Baeder Option Tree
4.5 Computing N-Step Trees
5 Continuous Models and the Black-Scholes Formula
5.l A Continuous-Time Stock Model
5.2 The Discrete Model
5.3 An Analysis of the Continuous Model
5.4 The Black-Scholes Formula
5.5 Derivation of the Black-Scholes Formula
5.5.l The Related Model
5.5.2 The Expected Value
5.5.3 Two Integrals
5.5.4 Putting the Pieces Together
5.6 Put--Call Parity
5.7 Trees and Continuous Models
5.7.l Binomial Probabilities
5.7.2 Approximation with Large Trees
5.7.3 Scaling a Tree to Match a GBM Model
5.8 The GBM Stock Price Model--A Cautionary Tale
5.9 Appendix: Construction of a Brownian Path
6 The Analytic Approach to Black-Scholes
6.l Strategy for Obtaining the Differential Equation
6.2 Expanding V(S,t)
6.3 Expanding and Simplifying V(St, t)
6.4 Finding a Portfolio
6.5 Solving the Black-Scholes Differential Equation
6.5.l Cash or Nothing Option
6.5.2 Stock--or-Nothing Option
6.5.3 European Call
6.6 Options on Futures
6.6.l Call on a Futures Contract
6.6.2 A PDE for Options on Futures
6.7 Appendix: Portfolio Differentials
7 Hedging
7.l Delta Hedging
7.l.l Hedging, Dynamic Programming, and a Proof that
Black--Scholes Really Works in an Idealized World
7.l.2 Why the Foregoing Argument Does Not Hold in the Real World
7.l.3 Earlier A Hedges
7.2 Methods for Hedging a Stock or Portfolio
7.2.l Hedging with Puts
7.2.2 Hedging with Collars
7.2.3 Hedging with Paired Trades
7.2.4 Correlation-Based Hedges
7.2.5 Hedging in the Real World
7.3 Implied VOlatiIity
7.3.l Computing  with Maple
7.3.2 The Volatility Smile
7.4 The Parameters A, r, and O
7.4.l The Ro1e of r
7.4.2 A Further Role for A, r, O
7.5 Derivation of the Delta Hedging Rule
7.6 DeIta Hedging a Stock PUrchase
8 Bond Models and Interest Rate Options
8.l Interest Rates and Forward Rates
8.l.1 Size
8.l.2 The Yield Curve
8.l.3 How Is the vield Curve Determined?
8.l.4 Forward Rates
8.2 Zero-Coupon Bonds
8.2.l Forward Rates and ZCBs
8.2.2 Computations Based on Y(t) or P(t)
8.3 Swaps
8.3.l Another Variation on Payments
8.3.2 A More Realistic Scenario
8.3.3 Models for Bond Prices
8.3.4 Arbitrage
8.4 Pricing and Hedging a Swap
8.4.l Arithmetic Interest Rates
8.4.2 Geometric Interest Rates
8.5 Interest Rate Models
8.5.l Discrete Interest Rate Models
8.5.2 Pricing ZCBs from the Interest Rate Model
8.5.3 The Bond Price Paradox
8.5.4 Can the Expected Value Pricing Method Be Hrbitraged?
8.5.5 Continuous Models
8.5.6 A Bond Price Model
8.5.7 A Simple Example
8.5.8 The Vasicek Model
8.6 Bond Price Dynamics
8.7 A Bond Price Formula
8.8 Bond Prices, Spot Rates, and HJM
8.8.1 Example: The Hall-White Model
8.9 The Derivative Approach to HJM: The HJM Miracle
8.lO Appendix: Forward Rate Drift
9 Computational Methods for Bonds
9.l Tree Models for Bond Prices
9.l.1 Fair and Unfair Games
9.l.2 The Ho-Lee Model
9.2 A Binomial Vasicek Model: A Mean Reversion Model
9.2.l The Base Case
9.2.2 The General Induction Step
10 Currency Markets and Foreign Exchange Risks
1O.l The Mechanics of Trading
lO.2 Currency Forwards: Interest Rate Parity
1O.3 Foreign Currency Options
lO.3.l The Garrnan-Kohlhagen Formula
lO.3.2 Put--Call Parity for Currency Options
lO.4 Guaranteed Exchange Rates and Quantos
lO.4.l The Bond Hedge
lO.4.2 Pricing the GER Forward on a Stock
lO.4.3 Pricing the GER Put or Call Option
1O.5 To Hedge or Not to Hedgeand How Much
11 International Political Risk Analysis
ll.1 Introduction
ll.2 Types of International Risks
ll.2.l Political Risk
ll.2.2 Managing International Risk
1l.2.3 Diversification
ll.2.4 Political Risk and Export Credit Insurance
ll.3 Credit Derivatives and the Management of Political Risk
ll.3.l Foreign Currency and Derivatives
ll.3.2 Credit Default Risk and Derivatives
1l.4 Pricing International Political Risk
l1.4.l The Credit Spread or Risk Premium on Bonds
ll.5 Two Models for Determining the Risk Premium
ll.5.1 The Black--Scholes Approach to Pricing Risky Debt
ll.5.2 An Alternative Approach to Pricing Risky Debt
ll.6 A Hypothetical Example of the JLT Model
Answers to Selected Exercises
Index

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金融投资是现代社会最活跃的经济活动之一。自1973年出现Black-Scholes公式以来，金融界以前所未有的速度接受数学模型和数学工具，于是出现了数学、金融、计算机和全球经济的融合。在金融数学自身吸引力和众多使用者需求的双重影响下，美国各大学纷纷开设了相应的课程，本书正是顺应这种趋势编写的。

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