书名：A Course in Derivative Securities Introduction to Theory and Computation

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

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

spriinger--衍生品教程.rar (3.39 MB)

2009-6-22 00:20:31 上传

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏11 回帖

关键词：introduction Computation Derivative Securities troduction programme structure technical finance foreign

里面还有衍生品定价的EXCEL文件。不错，看看先~

hanceland 发表于 2009-6-22 15:27
里面还有衍生品定价的EXCEL文件。不错，看看先~

觉得好的话给评分一下吧，这样也能增加发免费贴的动力啊！！

Thank you very much.

Thank you very much.

thanks a million~~

thank you very much!!!!!!!!!!!!!!!

Thank you very much.

好像以前别处见过，不错的书，支持一下....

不错的书，值得一读