[下载]金融数学－衍生产品定价引论

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<P>Financial Calculus：An Introduction to Derivative Pricing</P>
<P>by Martin Baxter and Andrew Rennie</P>
<P>本书是金融数学的入门教材，含有大量例子和习题，面向有一定数学基础的读者。书中前半部分基于离散时间框架介绍了一些基本概念，如二叉树、布朗运动、随机积分及Black-Scholes期权定价公式；后半部分介绍了一些复杂的金融数学模型和金融工具；最后一章则介绍了金融方面更为高级的话题，如带跳股票价格模型和随机波动率等。 </P>
<P><br>This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering. Ito calculus, martingales and Brownian motion all come to life without the formality of measure theory or the technical mathematics required by more formal texts. If you have heard of risk-neutral valuation, changes of measure or the martingale representation theorem—but don't know what they are all about—this is an excellent intuitive introduction. Baxter and Rennie strike a nice balance between intuitive discussions and mathematical formality. This allows you to learn the material rapidly without trivializing concepts. The book fills a similar niche as Neftci (2000). It is mathematically more precise than Neftci, but not as easy to read. It builds more of a foundation for further study, but it does not cover as broad a range of topics. For risk managers, sophisticated traders or fledgling financial engineers, Baxter and Rennie is an excellent book.<br></P>
<P>Chapter1: Introduction</P>
<P>1.1 Expectation pricing<br>1.2 Arbitrage pricing<br>1.3 Expectation vs arbitrage</P>
<P>Chapter2: discrete process</P>
<P>2.1 The binomial branch model<br>2.2 The binomial tree model<br>2.3 Binomial representation theorem<br>2.4 Overture to continuous models</P>
<P>Chapter3: continuous process</P>
<P>3.1 Continuous process<br>3.2 Stochastic process<br>3.3 Ito calculus<br>3.4 Change of measure – the C-M-G theorem<br>3.5 Martingale representation theorem<br>3.6 Construction strategies<br>3.7 Black-Scholes model<br>3.8 Black-Scholes in action<br></P>
<P>Chapter4: price market securities</P>
<P>4.1 Foreign exchange<br>4.2 Equities and dividends<br>4.3 Bonds<br>4.4 Market price of risk<br>4.5 Quantos</P>
<P>Chapter5: interest rates</P>
<P>5.1 The interest rate market<br>5.2 A simple model<br>5.3 Single-factor HJM<br>5.4 Short-rate models<br>5.5 Multi-factor HJM<br>5.6 Interest rate products<br>5.7 Multi-factor models</P>
<P>Chapter6: bigger models</P>
<P>6.1 General stock model<br>6.2 Log-normal models<br>6.3 Multiple stock models<br>6.4 Numeraires<br>6.5 Foreign currency interest-rate models<br>6.6 Arbitrage-free complete models</P>
<P></P>
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2007-4-27 21:47:00 上传

[下载]金融数学－衍生产品定价引论
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[此贴子已经被作者于2007-5-8 23:22:27编辑过]

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关键词：衍生产品 金融数学 生产品 introduction Presentation 股票价格 二叉树 产品 数学 读者

没钱，看见心爱的东西可惜买不到！

Sorry cannot afford it!

How can I make more money here, seriously?

thx,

studying...

Could you please send me one copy at wolfriver1010@yahoo.com, Thanks a lot!

好像在哪里见过。thanks

不会吧，楼上的不要下我啊，我刚准备买！

怎么是这样的界面:"<pre>Financial Calculus：An Introduction to Derivative Pricing
<br />by Martin Baxter and Andrew Rennie
<br />本书是金融数学的入门教材，含有大量例子和习题，面向有一定数学基础的读者。书中前半部分基于离散时间框架介绍了一些基本概念，如二叉树、布朗运动、随机积分及Black-Scholes期权定价公式；后半部分介绍了一些复杂的金融数学模型和金融工具；最后一章则介绍了金融方面更为高级的话题，如带跳股票价格模型和随机波动率等。
<br />
This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering. Ito calculus, martingales and Brownian motion all come to life without the formality of measure theory or the technical mathematics required by more formal texts. If you have heard of risk-neutral valuation, changes of measure or the martingale representation theorem—but don't know what they are all about—this is an excellent intuitive introduction. Baxter and Rennie strike a nice balance between intuitive discussions and mathematical formality. This allows you to learn the material rapidly without trivializing concepts. The book fills a similar niche as Neftci (2000). It is mathematically more precise than Neftci, but not as easy to read. It builds more of a foundation for further study, but it does not cover as broad a range of topics. For risk managers, sophisticated traders or fledgling financial engineers, Baxter and Rennie is an excellent book.

<br />Chapter1: Introduction
<br />1.1 Expectation pricing
1.2 Arbitrage pricing
1.3 Expectation vs arbitrage
<br />Chapter2: discrete process
<br />2.1 The binomial branch model
2.2 The binomial tree model
2.3 Binomial representation theorem
2.4 Overture to continuous models
<br />Chapter3: continuous process
<br />3.1 Continuous process
3.2 Stochastic process
3.3 Ito calculus
3.4 Change of measure – the C-M-G theorem
3.5 Martingale representation theorem
3.6 Construction strategies
3.7 Black-Scholes model
3.8 Black-Scholes in action

<br />Chapter4: price market securities
<br />4.1 Foreign exchange
4.2 Equities and dividends
4.3 Bonds
4.4 Market price of risk
4.5 Quantos
<br />Chapter5: interest rates
<br />5.1 The interest rate market
5.2 A simple model
5.3 Single-factor HJM
5.4 Short-rate models
5.5 Multi-factor HJM
5.6 Interest rate products
5.7 Multi-factor models
<br />Chapter6: bigger models
<br />6.1 General stock model
6.2 Log-normal models
6.3 Multiple stock models
6.4 Numeraires
6.5 Foreign currency interest-rate models
6.6 Arbitrage-free complete models
<br /><form action="BuyPost.asp" mothod="post"><font color="#FF0000">以下内容需要花费现金<b>5</b>才可以浏览，您目前有现金<b>2096</b>。

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