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Wilmott P., Howison S., Dewynne J. — The Mathematics Of Financial Derivatives
Wilmott P., Howison S., Dewynne J. — The Mathematics Of Financial Derivatives

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Название: The Mathematics Of Financial Derivatives

Авторы: Wilmott P., Howison S., Dewynne J.

Аннотация:

Книга посвящена методам оценки стоимости деривативов и другим связанным с деривативами вопросам, и включает в себя теорию обыкновенных ("ванильных") опционов европейского и американского стиля, численные методы расчёта их стоимости, теорию экзотических опционов и методы расчёта, деривативы на процентную ставку и сонвертируемые обязательства.
Для специалистов по финансовой математике и производным инструментам, а также студентам и преподавателям соответствующих дисциплин.


Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 1995

Количество страниц: 339

Добавлена в каталог: 11.02.2015

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
$d_{10}$      93
$d_{1}$      48
$d_{20}$      93
$D_{2}$      48
$D_{4}$      300
$d_{5}$      241
$d_{6}$      241
$d_{7}$      241
$\delta (\cdot)$(delta function)      63
$\mathcal{H}(\cdot)$, the Heaviside function      65
American call on dividend-paying asset      106
American call, constraint      107
American call, free boundary      121 123
American call, numerical solution      176
American option      13 106 197
American option, average strike      216
American option, call      106 121
American option, put      106
American option, put-call parity      130
American option, variational inequality      118
American options, binomial method      189
American options, finite difference solution      167
American put, boundary conditions      119
American put, constraint      106 119
American put, free boundary      110
American put, initial condition      119
American put, linear complementarity formulation      120
American put, variational inequality      118
Analyticity for diffusion equation      60
Arbitrage      33 42 43
Arbitrage, bounds for puts find calls      57
Arithmetic average      202 223
Arithmetic average, continuously sampled      223
As-you-like-it option      201
Asian option      14 199 202 222
Asian option, jump condition for discrete sampling      219
Asian option, similarity reductions      225
Asian option, valuation with discrete sampling      220 234
Ask price      10
Asset, definition      18
Asset, dividend-paying      90
Asset, underlying      4
Asset-or-nothing option      89
At-the-money      37
Average arithmetic      202 223
Average discrete sampling      233
Average geometric      202 224
Average rate option      230
Average rate option, payoff      230
Average strike option      202
Average strike option, American      216
Average strike option, continuously sampled      226
Average strike option, discretely sampled      218
Average strike option, payoff for American      226
Average strike option, payoff for call      215
Average strike option, put-call parity      229
Average weighted      202
Backward difference      137
Barrier option      14 198 199
Barrier option, down-and-in      201 206
Barrier option, down-and-out      201 206
Barrier option, European down-and-in call      209
Barrier option, European down-and-out call      207
Barrier option, perpetual      211
Barrier option, up-and-in      201 206
Barrier option, up-and-out      201 206
Barrier, in      198
Barrier, out      198
Bear      12
Bermudan option      173
Bermudan option, finite difference solution      173
Bid price      10
Binary option      39 81 198 199
Binary option, difficulty in hedging      82
Binary option, explicit formulae      82
Binomial method      31 55 57 180
Binomial method, American options      189
Binomial method, dividends      191
Binomial method, European options      187
Binomial method, random walk      183
Binomial method, tree      181 186
Binomial tree      181 186
Black — Scholes equation      43
Black — Scholes equation, characteristics      63
Black — Scholes equation, explicit solution      76
Black — Scholes equation, path-dependent options      215
Black — Scholes equation, time-varying interest rate      102
Black — Scholes equation, time-varying volatility      102
Black — Scholes formulae      48
Black — Scholes formulae, European call      48 79
Black — Scholes formulae, European put      48 79
Black — Scholes formulae, time-varying parameters      103
Black — Scholes inequality      112 114 121
Black — Scholes inequality, American put      112
Black — Scholes inequality, convertible bond      287
Black — Scholes inequality, exotic options      216
Black — Scholes inequality, lookback option      240
Black — Scholes operator      44
Black — Scholes operator, exotic options      216
BOND      265
Bond option      281
Bond pricing equation      272
Bond pricing equation with coupon payments      272
Bond pricing equation, convertible bond      291
Bond pricing equation, final condition      272
Bond, convertible      286
Bond, coupon      265
Bond, hedging      271
Bond, maturity date      265
Bond, zero-coupon      265
boundary conditions      45 59
Boundary conditions at infinity      47
Boundary conditions, American put      110 119 120
Boundary conditions, European average strike      227
Boundary conditions, European call      46
Boundary conditions, European put      47
Boundary conditions, free boundary      114
Bull      12
Butterfly spread      56
Butterfly spread with transaction costs      259
Calendar spread      39
Call option at expiry      35
Call option, FT-SE      9
Call option, payoff diagram      37
CAP      282
Caption      283
Cash-or-nothing call option      82
Cash-or-nothing call option, American      115
Cash-or-nothing call option, payoff diagram      38
CBOE      10
Central difference      137
Characteristics      62
Characteristics, Black — Scholes equation      63
Characteristics, diffusion equation      60
Characteristics, first order equation      124
Characteristics, second order equation      62
Chooser option      199 201
Clearing house      10
Complementarity problem      118
Compound option      199
Compound option, put-call parity      204
Confluent hypergeometric function, uselessness      229
consumption      124
Continuous sampling      217 223
Continuous sampling, average strike option      226
Continuous sampling, geometric average rate option      231
Continuous sampling, lookback option      237
Continuous time process      25
Convection      124
Conversion      286
Conversion, intermittent      288
Convertible bond with dilution      293
Convertible bond, boundary conditions      287
Convertible bond, call feature      288
Convertible bond, final condition      287
Convertible bond, intermittent conversion      288
Convertible bond, put feature      289
Convertible bond, stochastic interest rates      290
Convertible bonds      286
Coupon      265
Coupon in bond pricing equation      272
Crank — Nicolson method      155
Crank — Nicolson method, American options      167
Crank — Nicolson method, stability      158 163
Delta      42 44 51
Delta function      61 63 75
Delta function, delta sequence      64
Delta with transaction coats      254
Delta, American option      115
Delta, delta-hedging      51
Delta, delta-neutral      51
Delta, European call      48
Delta, European put      48
Delta-hedging      51 255
Density function, lognormal      23
Density function, normal      20
Diffusion equation      59 71
Diffusion equation, backward      68
Diffusion equation, boundary conditions      66
Diffusion equation, characteristics      60 63
Diffusion equation, explicit solution      75
Diffusion equation, forward      68
Diffusion equation, fundamental solution      61 73 75 76
Diffusion equation, initial conditions      66
Diffusion equation, initial value problem      75
Digital option      39 81 198
Dilution      292
Dimension less parameter      77 122
Dimensionless variables      80
Discounting      16
Discrete sampling      217
Discrete sampling, average strike option      218
Discrete sampling, jump condition      218
Discrete sampling, lookback option      243
Dividend      42 90 121
Dividend yield      91
Dividend, effect of discrete on option      95
Down-and-out option      198
Drift      20
Early exercise      106
Efficient market hypothesis      19
European call, Black — Scholes formula      48
European call, delta      48
European call, explicit formula      79
European call, formula with dividends      92
European option      13
European option, Black — Scholes formulae      79
European options, binomial method      187
European options, finite difference solution      135
European put, Black — Scholes formula      48
European put, delta      48
European put, explicit formula      79
Exercise price      4 35
Exercise strategy      110
Exotic option      14 198
Exotic option, linear complementarity formulation      217
Expectation operator      22
Expiry      4 35
Explicit finite difference method      139
Explicit finite difference method, American options      177
Explicit finite difference method, Black — Scholes equation      161
Explicit finite difference method, stability      142 161
Explicit finite-difference method, Black — Scholes equation      178
Final condition      59
Finite differences      135 136
Finite differences, $\alpha$      140
Finite differences, American options      167
Finite differences, approximation      136
Finite differences, backward      137
Finite differences, Bermudan options      173
Finite differences, Black — Scholes equation      161 162
Finite differences, central      137
Finite differences, Crank — Nicolson      138 155
Finite differences, European options      135
Finite differences, explicit      138 139
Finite differences, forward      137
Finite differences, implicit      138 144
Finite differences, LU method      147 162
Finite differences, mesh      138
Finite differences, nodes      138
Finite differences, projected SOR      168
Finite differences, SOR      150
Finite differences, SOR method      162
Finite differences, stability      142 154 158 161 163
Finite differences, symmetric central      138
FLOOR      282
Floortion      283
Forward contract      14 98
Forward difference      137
Forward price      14 98
Free boundary problem      107
Free boundary problem, Stefan problem      114
Free boundary, American call      123
Free boundary, American option      107
Fundamental solution      73
Futures contract      15 98
Gamma ($\Gamma$)      52
Gauss — Seidel method      151
Gearing      6
Generalised function      64
Geometric average      202
Geometric average, continuously sampled      224 231
Green's function      86
Group invariance      74
Heat equation      59
Hedging      13 51 252
Hedging bonds      271
Her      252
Implicit finite difference method, American options      177
Implicit finite difference method, Black — Scholes equation      162
Implicit finite difference method, stability      161
Implicit finite-difference method      144
Implicit finite-difference method, Black — Scholes equation      178
Implicit finite-difference method, LU method      147
Implicit finite-difference method, SOR      150
Implicit finite-difference method, stability      154
Implied volatility      52 54 55
In barrier      198
In-the-money      37
Initial condition      59
Initial condition, American put      119
Initial condition, European call      77
Initial value problem      61
Instalment option      130
Interest rate      15 35 41
Interest rate, cap      282
Interest rate, caption      283
Interest rate, floor      282
Interest rate, floortion      283
Interest rate, known function of time      102 266
Interest rate, nonnegative      274
Interest rate, random walk for      270
Interest rate, spot rate      270
Interest rate, stochastic      270
Interest rate, swap      282
Interest rate, swaption      283
Interest rate, term structure      269
Interest rates, stochastic      290
Intrinsic value      37
Ito's lemma      25 42 214 271 290
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