求金融数学The mathematics of Finance:Modeling and Hedging.Joseph Stampfli,Victor Goodman这本书

1 Financial Marketsl.l Markets and Mathl.2 Stocks and Their Derivativesl.2.l Forward Stock Contractsl.2.2 Call Optionsl.2.3 Put Optionsl.2.4 Short Sellingl.3 Pricing Futures Contracts1.4 Bond Marketsl.4.l Rates of Returnl.4.2 The U.S. Bond Marketl.4.3 Interest Rates and Forward Interest Ratesl.4.4 Yield Curvesl.5 Interest Rate Futuresl.5.l Determining the Futures Pricel.5.2 Treasury Bill Futuresl.6 Foreign Exchangel.6.l Currency Hedgingl.6.2 Computing Currency Futures2 Binomial Trees, Replicating Portfolios,and Arbitrage2.l Three Ways to Price a Derivative2.2 The Game Theory Method2.2.l Eliminating Uncertainty2.2.2 Valuing the Option2.2.3 Arbitrage2.2.4 The Game Theory Method--A General Formula2.3 Replicating Portfolios2.3.l The Context2.3.2 A Portfolio Match2.3.3 Expected Value Pricing Approach2.3.4 How to Remember the Pricing Probability2.4 The Probabilistic Approach2.5 Risk2.6 Repeated Binomial Trees and Arbitrage2.7 Appendix: Limits of the Arbitrage Method3 Tree Models for Stocks and Options3.l A Stock Model3.l.l Recombining Trees3.l.2 Chaining and Expected Values3.2 Pricing a Call Option with the Tree Model3.3 Pricing an American Option3.4 Pricing an Exotic Option--Knockout Options3.5 Pricing an Exotic Option--Lookback Options3.6 Adjusting the Binomial Tree Modelto Real-World Data3.7 Hedging and Pricing the N-Period Binomial Model4 Using Spreadsheets to Compute Stockand Option Trees4.l Some Spreadsheet Basics4.2 Computing European Option Trees4.3 Computing American Option Trees4.4 Computing a Baeder Option Tree4.5 Computing N-Step Trees5 Continuous Models and the Black-Scholes Formula5.l A Continuous-Time Stock Model5.2 The Discrete Model5.3 An Analysis of the Continuous Model5.4 The Black-Scholes Formula5.5 Derivation of the Black-Scholes Formula5.5.l The Related Model5.5.2 The Expected Value5.5.3 Two Integrals5.5.4 Putting the Pieces Together5.6 Put--Call Parity5.7 Trees and Continuous Models5.7.l Binomial Probabilities5.7.2 Approximation with Large Trees5.7.3 Scaling a Tree to Match a GBM Model5.8 The GBM Stock Price Model--A Cautionary Tale5.9 Appendix: Construction of a Brownian Path6 The Analytic Approach to Black-Scholes6.l Strategy for Obtaining the Differential Equation6.2 Expanding V(S,t)6.3 Expanding and Simplifying V(St, t)6.4 Finding a Portfolio6.5 Solving the Black-Scholes Differential Equation6.5.l Cash or Nothing Option6.5.2 Stock--or-Nothing Option6.5.3 European Call6.6 Options on Futures6.6.l Call on a Futures Contract6.6.2 A PDE for Options on Futures6.7 Appendix: Portfolio Differentials7 Hedging7.l Delta Hedging7.l.l Hedging, Dynamic Programming, and a Proof thatBlack--Scholes Really Works in an Idealized World7.l.2 Why the Foregoing Argument Does Not Hold in the Real World7.l.3 Earlier A Hedges7.2 Methods for Hedging a Stock or Portfolio7.2.l Hedging with Puts7.2.2 Hedging with Collars7.2.3 Hedging with Paired Trades7.2.4 Correlation-Based Hedges7.2.5 Hedging in the Real World7.3 Implied VOlatiIity7.3.l Computing with Maple7.3.2 The Volatility Smile7.4 The Parameters A, r, and O7.4.l The Ro1e of r7.4.2 A Further Role for A, r, O7.5 Derivation of the Delta Hedging Rule7.6 DeIta Hedging a Stock PUrchase8 Bond Models and Interest Rate Options8.l Interest Rates and Forward Rates8.l.1 Size8.l.2 The Yield Curve8.l.3 How Is the vield Curve Determined?8.l.4 Forward Rates8.2 Zero-Coupon Bonds8.2.l Forward Rates and ZCBs8.2.2 Computations Based on Y(t) or P(t)8.3 Swaps8.3.l Another Variation on Payments8.3.2 A More Realistic Scenario8.3.3 Models for Bond Prices8.3.4 Arbitrage8.4 Pricing and Hedging a Swap8.4.l Arithmetic Interest Rates8.4.2 Geometric Interest Rates8.5 Interest Rate Models8.5.l Discrete Interest Rate Models8.5.2 Pricing ZCBs from the Interest Rate Model8.5.3 The Bond Price Paradox8.5.4 Can the Expected Value Pricing Method Be Hrbitraged?8.5.5 Continuous Models8.5.6 A Bond Price Model8.5.7 A Simple Example8.5.8 The Vasicek Model8.6 Bond Price Dynamics8.7 A Bond Price Formula8.8 Bond Prices, Spot Rates, and HJM8.8.1 Example: The Hall-White Model8.9 The Derivative Approach to HJM: The HJM Miracle8.lO Appendix: Forward Rate Drift9 Computational Methods for Bonds9.l Tree Models for Bond Prices9.l.1 Fair and Unfair Games9.l.2 The Ho-Lee Model9.2 A Binomial Vasicek Model: A Mean Reversion Model9.2.l The Base Case9.2.2 The General Induction Step10 Currency Markets and Foreign Exchange Risks1O.l The Mechanics of TradinglO.2 Currency Forwards: Interest Rate Parity1O.3 Foreign Currency OptionslO.3.l The Garrnan-Kohlhagen FormulalO.3.2 Put--Call Parity for Currency OptionslO.4 Guaranteed Exchange Rates and QuantoslO.4.l The Bond HedgelO.4.2 Pricing the GER Forward on a StocklO.4.3 Pricing the GER Put or Call Option1O.5 To Hedge or Not to Hedgeand How Much11 International Political Risk Analysisll.1 Introductionll.2 Types of International Risksll.2.l Political Riskll.2.2 Managing International Risk1l.2.3 Diversificationll.2.4 Political Risk and Export Credit Insurancell.3 Credit Derivatives and the Management of Political Riskll.3.l Foreign Currency and Derivativesll.3.2 Credit Default Risk and Derivatives1l.4 Pricing International Political Riskl1.4.l The Credit Spread or Risk Premium on Bondsll.5 Two Models for Determining the Risk Premiumll.5.1 The Black--Scholes Approach to Pricing Risky Debtll.5.2 An Alternative Approach to Pricing Risky Debtll.6 A Hypothetical Example of the JLT ModelAnswers to Selected ExercisesIndex本回答被提问者采纳

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