Àâòîðèçàöèÿ
Ïîèñê ïî óêàçàòåëÿì
Baxter M., Rennie A. — Financial calculus
Îáñóäèòå êíèãó íà íàó÷íîì ôîðóìå Íàøëè îïå÷àòêó?
Íàçâàíèå: Financial calculusÀâòîðû: Baxter M., Rennie A. Àííîòàöèÿ: The rewards and dangers of speculating in the modern financial markets have been to the fore in recent times with the collapse of banks and bankruptcies of public corporations as a direct result of ill-judged investments.
ßçûê: Ðóáðèêà: Ýêîíîìèêà è ôèíàíñû /Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö ed2k: ed2k stats Ãîä èçäàíèÿ: 1996Êîëè÷åñòâî ñòðàíèö: 233Äîáàâëåíà â êàòàëîã: 10.02.2006Îïåðàöèè: Ïîëîæèòü íà ïîëêó |
Ñêîïèðîâàòü ññûëêó äëÿ ôîðóìà | Ñêîïèðîâàòü ID
Ïðåäìåòíûé óêàçàòåëü
Adapted processes 55 62 American options 93 Arbitrage 8 39 41 Arbitrage pricing 7—9 Arbitrage, arbitrage price 8 86 139 Arbitrage, arbitrage-free 197 Arbitrage-free complete models 196—200 Autoregressive process 156 Bachelier 45 Bank account process see “Cash bond” Binomial representation theorem 28—41 77 Binomial, branch 11 Binomial, branch model 10—17 Binomial, distribution 42 Binomial, process 46 Binomial, tree 19 Binomial, tree model 17—28 Black — Derman — Toy model 157 Black — Karasinski model 157 Black — Scholes 83—98 Black — Scholes, currency model 100 Black — Scholes, formula 43 91 182 Black — Scholes, hedge 96 Black — Scholes, model 83 178 Black — Scholes,summary 90 Bond only strategy 12 Bond options 169 Bond prices 144 bonds 112—115 Bonds, with coupons 114 165 Brace — Gatarek — Musiela model 175 Branch 10 Branch, binomial branch process 11 Brown, Robert 46 Brownian motion 44—46 48 49 54 Brownian motion, as stock model 50 Brownian motion, exponential with drift 51 Brownian motion, two-dimensional 62 Brownian motion, with drift 50 Calculus, Ito 57—62 Calculus, Newtonian 52 Calculus, stochastic 51—57 Call option 9 43 90 Call option, American 93 Call option, European 90 Call option, foreign exchange 103 Call option, on bonds 169 Call option, on coupon bonds 115 170 Call option, on dividend paying stocks 109 Call option, on swaps see “Swaptions” Call option, quanto 123 Cameron — Martin — Girsanov theorem 74 75 Cameron — Martin — Girsanov theorem, and market price of risk 120 Cameron — Martin — Girsanov theorem, converse 74 105 192 Cameron — Martin — Girsanov theorem, n-factor 159 186 187 Cameron — Martin — Girsanov theorem, use in foreign exchange 102 Cameron — Martin — Girsanov theorem, use in HJM models 138 145 Cameron — Martin — Girsanov theorem, use in stock models 83 84 179 Caplet 171 176 Caps 170 Cash bond 11 18 37 136 144 Cash bond, foreign currency 100 Central limit theorem 42 47 48 Change of measure 62—76 145 179 187 Claim 3 20 30 Coin-tossing game 4 5 Collector's guide to, exponential martingales 79 Collector's guide to, martingales 79 Commodity 3 Complete market 197 Completeness 196—200 Conditional expectation 32 Conditional marginal distribution 48 69 Construction strategies 79—83 Contingent claim 5 (see “Claim continuous compounding”) Continuous processes 44—51 Correlation 123 126 158 176 182 193 Coupon bonds 114 165 Coupon bonds, options on 115 170 Coupons, fixed rate 165 Coupons, floating rate 166 Covariance 124 158 Cox — Ingersoll — Ross model 156 Cross-currency contracts see “Quantos” Cumulative normal integral see “Normal distribution function” Currency see “Foreign exchange” Default free 129 Delta hedge 181 density 7 Derivative 3 12 Derivative pricing 181 188 Difference equation 40 80 Diffusion 61 150 Digital contract 27 123 Discount bond 112 129 Discount process 37 87 Discounted, bond 138 145 Discounted, claim 38 87 90 Discounted, expectation 20 28 Discounted, stock 38 87 90 179 Discrete model, conclusions 41 Discrete model, continuous overture 41—43 Distribution function, normal 43 91 Dividends 106—112 Dividends, continuous 107 Dividends, periodic 111 Doleans exponential 61 Dollar investor 101 Doob — Meyer decomposition 56 Double fork 20 Drift 52 55 83 Drift, HJM 143 158 Drift, HJM constraints on 141 148 Drift, uniqueness 56 Driftlessness 78 Equilibrium distribution 154 Equities 106—112 Equities, guaranteed profits example 110 Equivalent martingale measure 197—200 (see “Martingale measure”) Equivalent measures 66 74 European call option 90 Examples, pricing on tree 23 Exercise date 91 Exercise price see “Strike price” Existence of martingale measure 40 Exotic contracts 128 163 Expectation 4 9 23 Expectation, discounted claim 40 Expectation, for a branch 12 Expectation, on a tree 21 Expectation, operator 31 Expectation, pricing 3—7 16 86 Expectation, re-emergence 23 Expectation, regained 16 Expectation, vs arbitrage 9 Exponential Brownian motion 60 84 85 Exponential Brownian motion, with drift 51 Exponential martingale 79 85 Filtration 30 48 fixed rate 165 167 168 Floating rate 166 167 Floorlet 171 Floors 170 Foreign exchange 99—106 122 Foreign exchange, interest rate models 192—196 Forward 6 11 17 Forward measure 165 191 Forward rate 134—136 142 Forward rate, bond price formula 144 Forward rate, curve 134 Forward rate, drift 143 158 Forward rate, under forward measure 192 Forward rate, volatility 143 158 Forward swaps 168 Forward, foreign exchange 99 103 Forward, interest rate 133 163 Forward, quanto 123 Forward, use in option formula 169 182 Fractal 49 Fubini 143 Gaussian process 50 Harrison and Pliska 197 200 Heath — Jarrow — Morton see “HJM” Hedge 94 145 180 188 Hedge, Black—Scholes 96 Hedging strategy see “Replicating strategy” history 20 30 HJM 142 158 HJM, conditions 143 148 159 HJM, equivalence to short-rate 150 HJM, multi-factor 158—163 HJM, single-factor 142—149 HJM, universality 149 Ho and Lee model 151 169 172 174 Hull and White model see “Vasicek” IID variables 47 58 Illustrated definitions 29 Independence 4 21 46 48 Indicator function 199 Induction 19 22 Induction, backwards 19 Induction, inductive step 22 36 Induction, result 22 Instantaneous rate 132 135 136 144 Instantaneous rate, Markovian 150 Instruments 3 11 83 100 128 Interest rate 18 Interest rate, foreign exchange model 193 Interest rate, market 128—135 Interest rate, multi-factor models 172—177 Interest rate, products 163—172 Interest rate, riskless 83 Interest rate, short-rate models 149—158 Interest rate, simple model 135—142 Ito calculus 57—62 Ito's formula 59 61 81 83 Ito's formula, n-factor 185 Jamshidian 170 Joint likelihood function 70 Kolmogorov's law of large numbers see “Strong law” Law of the unconscious statistician 7 LIBOR rate 166 168 170 175—176 LIBOR rate, under forward measure 191 Local martingales 79 Log-drift 60 Log-normal, call formula 103 Log-normal, distribution 6 Log-normal, models 181—183 Log-volatility 60 Long position 96 168 172 Marginal distribution 48 Marginal distribution, conditional 48 69 Market maker 14 Market price of risk 115—122 Market price of risk, definition 119 Market price of risk, in general models 179 188 Market price of risk, in HJM models 141 145 147 Markov process 144 150 Martingale 33 76 Martingale measure 34 44 76 197 Martingale measure, continuous model 85 87 Martingale measure, discrete model 34—39 Martingale measure, existence and uniqueness 40 Martingale representation theorem 76—79 94 Martingale representation theorem, and dividend payments 108 112 Martingale representation theorem, and tradable assets 116 Martingale representation theorem, n-factor 161 186 188 Martingale representation theorem, use in foreign exchange 102 Martingale representation theorem, use in HJM 139 146 Martingale representation theorem, use in stock models 83—85 88 180 Martingale, exponential 79 maturity 129 Mean 155 (see “Expectation mean reversion”) Measure 30 63 Multi-factor models 172 Multi-factor models, HJM 158 Multi-factor models, normal models 174 Multiple payment contracts 164 Newtonian calculus 52 Newtonian differentials 51 Newtonian differentials, uniqueness 53 Newtonian function 52 Node 10 Noise 41 50 Non-tradable quantity 116—118 120 Normal distribution, function 43 91 Normal distribution, identification 72 Numeraires 143 188—192 Numeraires, changing 190 Numeraires, with volatility 189 Option 9 43 90 94 Ordinary differential equation 53 Ornstein — Uhlenbeck process 173 Over-the-counter 163 Partial differential equation 95 Path probabilities 21 Payoff 4 15 103 147 Pliska 197 200 Poisson process 55 Portfolio 80 POSITION 96 Previsible process 32 56 78 80 Price is right, the 14 Principal 165—167 probability 4 Probability density function 7 Process 29 Process, stochastic 55 Product rule 62 138 189 Product rule, n-factor 185 Pull to par 114 Put option 91 Put-call parity 91 171 Quantos 122—127 183 Radon — Nikodym derivative 63—68 73 Radon — Nikodym derivative, changing numeraire 105 190—192 196 Radon — Nikodym derivative, continuous time 69 71 Random variable 7 12 32 65 Random walk 46 Recombinant tree 23 Replicating strategy 8 12 40 Replicating strategy, continuous model 82 86 180 Replicating strategy, discrete model 13 22—23 Replicating strategy, foreign exchange 102 Replicating strategy, HJM model 137 146 164 Riccati differential equation 156 Risk-free construction see “Replicating strategy” Risk-neutral measure 120 (see “Martingale measure”) SDE 56 Self-financing 39—40 80 180 Self-financing, equation 81 89 162 189 Self-financing, in HJM model 139 147 Semimartingale 55 56 SHARE 3 Short position 80 82 Short rate see “Instantaneous rate” Single-factor models HJM 142 Single-factor models HJM, short-rate models 149 Standard deviation 6 Sterling investor 104
Ðåêëàìà
|
|
Î ïðîåêòå