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雷达卡
作者：Yoshio Miyahara
出版社：Imperial College Press
页数：200
出版时间：2012
语言：English
格式：pdf
内容简介：
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Lévy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problems.
Table of Content
Preface v
1. Basic Concepts in Mathematical Finance 1
2. Levy Processes and Geometric Levy Process Models 7
3. Equivalent Martingale Measures 21
4. Esscher-Transformed Martingale Measures 29
5. Minimax Martingale Measures and Minimal Distance Martingale Measures 41
6. Minimal Distance Martingale Measures for Geometric Levy Processes 47
7. The [GLP & MEMM] Pricing Model 75
8. Calibration and Fitness Analysis of the [GLP & MEMM] Model 99
9. The [GSP & MEMM] Pricing Model 111
10. The Multi-Dimensional [GLP & MEMM] Pricing Model 121
Appendix A Estimation 141
A.1 Method of Moments 141
A.2 Examples 147
Bibliography 173
Index 181
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