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Название: Financial calculus
Авторы: Baxter M., Rennie A.
Аннотация:
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.
At the same time, individuals are paid huge sums to use their mathematical skills to make well-judged investment decisions. Here now is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.
Key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model are described with mathematical precision in a style tailored for market practitioners. Starting from discrete-time hedging on binary trees, continuous-time stock models (including the Black-Scholes) are developed.
Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. A full glossary of probabilistic and financial terms is provided.
This unique, modern and up-to-date book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world.
Stochastic, calculus51—57 Stochastic, differential equation56 Stochastic, differentials54 Stochastic, n-factor process184 Stochastic, process55 Stock1017 Stock model, general model178—181 Stock model, multiple stocks183—188 Stock model, n-factor model186 Stocks and bonds together13 Stocks not coins6 Stopping time93 Strike price99196 Strong law451315 Strong law, misleading nature6—9162330 Strong law, weak law and59 Swaps167171 Swaps, forward168 Swaps, options on171176 Swaptions171176 Taylor expansion58 Term structure131 Term variance173 Term volatility169175182 Terminal value pricing95 Three steps to replication84 Three steps to replication, discounted case90 Three steps to replication, foreign exchange101 Three steps to replication, interest rates137 Time value of money5129 Tower Law3477166 Tradable asset101116—118 Trading strategy4081