书介绍：

———Springer Finance
Editorial Board
M. Avellaneda
G. Barone-Adesi
M. Broadie
M.H.A. Davis
E. Derman
C. Klüppelberg
E. Kopp
W. Schachermayer

———Springer Finance
Springer Finance is a programme of books aimed at students, academics
and practitioners working on increasingly technical approaches to the
analysis of financial markets. It aims to cover a variety of topics, not only
mathematical finance but foreign exchanges, term structure, risk
management, portfolio theory, equity derivatives, and financial economics

————作者
Kerry Back
Department of Finance
Mays Business School
Texas A&M University
306Wehner Building
College Station, TX 77843-4218
USA
e-mail: kback@mays.tamu.edu

———Library of Congress Control Number: 2005922929
ISBN-10 3-540-25373-4 Springer-Verlag Berlin Heidelberg New York
ISBN-13 978-3-540-25373-0 Springer-Verlag Berlin Heidelberg New York

The book is concerned with pricing and hedging derivatives in frictionless
markets. By “frictionless,” I mean that the book ignores transaction costs
(commissions, bid-ask spreads and the price impacts of trades), margin (collateral)
requirements and any restrictions on short selling. The theory of pricing
and hedging in frictionless markets stems of course from the work of Black
and Scholes [6] and Merton [51] and is a very well developed theory. It is based
on the assumption that there are no arbitrage opportunities in the market.
The theory is the foundation for pricing and hedging in markets with frictions
(i.e., in real markets!) but practice can differ from theory in important
ways if the frictions are significant. For example, an arbitrage opportunity in
a frictionless market often will not be an arbitrage opportunity for a trader
who moves the market when he trades, faces collateral requirements, etc. This
book has nothing to say about how one should deviate from the benchmark
frictionless theory when frictions are important. Another important omission
from the book is jump processes—the book deals exclusively with binomial
and Brownian motion models.



希望对大家有帮助啊，是免费嘀。下载了就回个贴，再给个评分啦！！！ 谢谢大家咯