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Hunt P.J., Kennedy J. Ч Financial Derivatives in Theory and Practice
Hunt P.J., Kennedy J. Ч Financial Derivatives in Theory and Practice

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Ќазвание: Financial Derivatives in Theory and Practice

јвторы: Hunt P.J., Kennedy J.

јннотаци€:

This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.


язык: en

–убрика: ћатематика/¬еро€тность/—тохастические методы в финансах/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

√од издани€: 1998

 оличество страниц: 399

ƒобавлена в каталог: 04.06.2005

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
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ѕредметный указатель
$L^1$ theory      142
$L^2$ theory      74Ч77
$L^2$ theory, concept      67Ч73 371Ч372
$L^2$ theory, definitions      69Ч72 375Ч376
$\mathcal{I}^2$      106Ч109
Absolutely continuous models      189 190Ч191 197
Accrual factors, concept      228Ч229 283Ч285 294
Admissible trading strategies      16Ч17 141Ч147 158Ч173 184Ч187
Affine decomposition, convexity products      278Ч282
American derivatives      142 178 315Ч369 see
American derivatives, concept      259 315Ч317
American options      142 178
Andersen, L.      338
Andreasen, J.      338
Appendices      373Ч378
Approximate arbitrage      162 185
Arbitrage      3Ч17 64 163Ч164 see
Arbitrage concept      3 6Ч9 158Ч164
Arbitrage, approximate arbitrage      162 185
Arbitrage, arbitrage-free properties      6Ч15 64 145Ч152 185 269Ч273
Arbitrage, linear swap-rate models      273
Arbitrage, market models      339Ч340 341Ч343 345Ч346
Arbitrage, Markov-functional models      352 355
Arbitrage, no-arbitrage properties      6Ч15 64 145Ч152 185 269Ч273
Arbitrage, portfolio existence      3 5Ч6 8Ч9 144
Arbitrage, pricing kernel      6Ч15 185
Arbitrage, probabilistic formulations      12Ч15
Arbitrage, short-rate models      316 319
Arbitrage, simplest setting      4Ч5
Arbitrage, terminal swap-rate models      269Ч273 303
assets      3Ч17 141 179Ч180
Assets, basic instruments      227Ч236
Assets, dividends      179
Assets, doubling strategy concept      160 185
Assets, filtration concept      152Ч153 212 273 306
Assets, price processes      142Ч146 161 179Ч180 216Ч217
Assets, pure discount bonds      183Ч187
Assets, real-world models      215Ч225
Assets, terminology      227Ч259
Assets, underlying      19
At the money, concept      240 242
Attainable derivatives, concept      6Ч7 11
Bachelier, Louis      19
Banach spaces      372
Basic instruments      227Ч236
Basis point, concept      235
Basis point, PVBP      235 280Ч284 356
Basis, accrual factors      228Ч229
Baxter, M.W.      187 201Ч204 209
Bermudan swaptions      315 317 329Ч332
Bermudan swaptions, concept      316Ч317 329
Bermudan swaptions, market models      338 346Ч347
Bermudan swaptions, Markov-functional models      351Ч371
Bermudan swaptions, mean reversion      370Ч371
Bermudan swaptions, model comparisons      370Ч371
Bermudan swaptions, valuation      317 329Ч335 351Ч371
Bermudan swaptions, Vasicek Ч Hull Ч White short-rate model      329Ч335 353 361 370Ч371
Bessel process      194 196
Billingsley, P.      92
Bjork, T.      184
Black Ч Derman Ч Toy model      323
Black Ч Karasinski short-rate model      198 321 322Ч323 370Ч371
Black Ч Karasinski short-rate model, benefits      322
Black Ч Karasinski short-rate model, drawbacks      321 322
Black, F.      143 148Ч150 158Ч159 180 198 241Ч243 280 283 292 300 304 321Ч323 338 341 357Ч366
Borel $\sigma$-algebra      117Ч118 128 130Ч136 143 184
Borel Ч Cantelli lemma      54 131
Bounded martingales      35Ч36 57 87 108Ч109
Brace, A.      191 337
Breeden, M.J.      285
Breiman, L.      20
Brent's algorithm      267 328 330
Brown, Robert      19
Brownian motion      19Ч30 44 67 77 84Ч88 99 305Ч308 see
Brownian motion, concept      19Ч26
Brownian motion, definition      20Ч21
Brownian motion, deterministic transformations      23Ч26
Brownian motion, differentiability      25Ч26
Brownian motion, existence      20Ч21
Brownian motion, filtration      21 27Ч33 88Ч89 98Ч105 112Ч143 170 184Ч187 193
Brownian motion, Girsanov's theorem      101Ч105 139 156Ч158 307
Brownian motion, history      19
Brownian motion, Levy's theorem      88Ч89 101 113 122
Brownian motion, Markov property      26Ч30 134
Brownian motion, martingales      32Ч33 35 44 98 101Ч105 111Ч113 203
Brownian motion, quadratic variation      26 58 88Ч89
Brownian motion, reflection principle      28Ч30
Brownian motion, SDEs      115Ч139 327Ч329
Brownian motion, short-rate models      198Ч200 319Ч335
Brownian motion, symmetric random walks      21Ч23
Brownian motion, term structures      184Ч187
Brownian motion, transformations      23Ч26
Cadlag martingales      33Ч35 37 39Ч46 49Ч50 95Ч97
Calibration      217 223Ч225 259Ч275 287Ч302 330
Calibration, global calibration      223Ч225
Calibration, least squares fit      223Ч225
Calibration, local calibration      223Ч225
Calibration, market models      337Ч338
Calibration, Markov-functional models      352 356Ч357 362
Calibration, short-rate models      351
Call options, macro information modelling      217Ч218
Cancellable swaps, concept      316Ч317 361
Canonical set-up      21 44 100Ч105 117Ч118 124
Cantor distribution functions      197 211
Capital gains, concept      144Ч145 161
Caplets      286 359 368
Caplets, concept      239Ч244
Caplets, digital caplets      244 360
Caplets, intrinsic value      239Ч240
Caplets, put-call parity      241Ч242
Caps      207 366
Caps, concept      238Ч242 244Ч245
Caps, digital caps      244
Caps, flexible caps      359
Caps, limit caps      221Ч223 343 359
Caps, valuation      238Ч242
Cashflows deposits      228Ч229 233Ч234
Cashflows floating cashflows      229Ч230 238 283Ч285 293
Cashflows, FRAs      229Ч230
Cashflows, swaps      230Ч232 235Ч236 238 273 283Ч285 316Ч317
Cashflows, ZCBs      232Ч233
Cauchy sequences      41 54 70Ч73 107 126Ч127
Central limit theorem      23
Chebyshev's inequality      131
Chung, K.L.      176 197
CMS      see constant maturity swaps
Complete economies, arbitrage existence      10
Complete economies, concept      7 10Ч11 151Ч152 164Ч173 252
Complete economies, equivalent martingale measure      14Ч15 155Ч158
Complete economies, incomplete economies      5
Complete economies, pricing kernel      9Ч12 185Ч187
Complete economies, probabilistic formulations      12Ч15
Complete economies, term structures      186Ч187
Complete economies, uniqueness      9Ч12 152 169 173
Constant maturity swaps (CMS), concept      260Ч261 277 282Ч285 299
Constant maturity swaps (CMS), options      284Ч285
Continuous resettlement, futures contracts      253Ч255
Continuous time      7 10Ч11 17 176Ч179
Continuous time, martingales      31Ч62 77Ч89 98Ч101 108Ч113 207
Continuous time, option pricing      141Ч181
Convergence      20 23 36 38 57 81 109 138Ч139
Convergence, $l^2$ theory      72Ч73 375Ч376
Convergence, Doob's martingale convergence theorem      36 61Ч62 129 196
Convergence, monotone convergence theory      200 295
Convex cones      8Ч9 13
Convexity corrections      277Ч286 311
Convexity corrections, concept      277Ч282
Convexity corrections, examples      282Ч286
Convexity corrections, extensions      282Ч286
Convexity corrections, linear swap-rate models      280Ч282 303
Correlation, mean reversion      367
Covariance      100 220Ч222
Covariance, Gaussian distributions      24 310
Covariance, quadratic covariance      55Ч56 74Ч76 216
Cox Ч Ingersoll Ч Ross model      323Ч324
Credit risks      see also risk
Credit risks, futures contracts      249Ч251
Cross-currency swaptions, multi-currency terminal swap-rate models      311Ч313
Currency      see foreign exchange
Daniel Ч Kolmogorov consistency theorem      97
Daycount fraction, concept      228
Decomposition, affine decomposition      278Ч282
Decomposition, convexity products      277Ч282
Decomposition, irregular swaptions      293Ч299
Delbaen, F.      162
Deposits, cashflows      228Ч229 233Ч234
Deposits, concept      227Ч229
Deposits, valuation      233Ч234
Derman, E.      323
Deterministic transformations, Brownian motion      23Ч26
Differentiability, Brownian motion      25Ч26
Differential equations      83Ч85 125Ч134 see
Differential equations, concept      115
Differential equations, ODEs      115 126Ч130
Diffusion      116 205 340 345 366
Digital caplets, concept      244
Digital caplets, valuation      244 360
Digital caps, concept      244
Digital floorlets, concept      244
Digital floorlets, valuation      244
Digital floors, concept      244
Digital options, concept      244Ч245
Digital swaptions, concept      245 356
Dimensions, data sets      219Ч221
Discount bonds      183Ч188 191Ч200 238 320 352 see
Discount bonds, convexity corrections      278Ч286
Discount curves      233 260Ч261 266Ч269 277Ч278 298Ч300 307
Discount factors      354Ч355
Discount factors, Bermudan swaptions      317 329Ч332
Discount factors, concept      233Ч236
Discount factors, multi-currency terminal swap-rate models      305Ч308
Discount factors, terminal swap-rate models      266Ч269 272 305Ч308 349
Discrete barrier swaptions      346Ч347
Discrete resettlement, futures contracts      252Ч253
Discrete time      33 149 152
Dividends      179
Dolean's exponential      86 342
Doob Ч Meyer theorem      55 61Ч62 129 170 196 212
Doob's martingale convergence theorem      36 61Ч62 129 196
Doubling strategy, concept      160 185
Drift      116 205 308 339Ч341 344Ч345 348Ч349
Duffle, D.      17 147 159 165 320
Durrett, R.      20 66
Dynamic term structures      see term structures
Economies      see also complete economies
Economies, arbitrage-free properties      6Ч15 64 145Ч152 185 269Ч273
Economies, components      141 142Ч145 151 183Ч184
Economies, incomplete economies      5
Economies, infinite trading horizon      180Ч181 183
Economies, information availability      144 152Ч153 216
Economies, one-period economy      5Ч17
Economies, pure discount bonds      183Ч187
Economies, real-world models      215Ч225
Economies, simplest setting      4Ч5 16
Einstein, Albert      19
Elliot, R.J.      61 176
EMM      see equivalent martingale measure
Equity markets      227
Equivalent martingale measure (EMM), concept      14Ч15 105Ч106 110Ч113 155Ч158
Equivalent martingale measure (EMM), martingale representation theorem      110Ч113
Equivalent martingale measure (EMM), option pricing      149Ч151 155Ч158
Equivalent martingale measure (EMM), real-world measure      216Ч218
Equivalent probability measures, concept      91Ч98
Equivalent probability measures, filtration      94 95Ч98
Equivalent probability measures, Radon Ч Nikodym derivative      14 91Ч99 106 156Ч158 165 310
Eurodollar futures contracts      247Ч248 250Ч251 257
European derivatives      141Ч142 219Ч221 256Ч257 368Ч369
European derivatives, concept      146Ч147
European derivatives, pricing      146Ч151 219Ч221 287Ч302 368Ч369
European derivatives, reverse swap-market models      347Ч350
Exchanges, futures contracts      248Ч251
Exotic American derivatives      315Ч371
Exotic derivatives      223Ч225 259Ч313 315Ч371
Exotic derivatives, concept      259
Exotic European derivatives      259Ч313 351Ч352
Exponential integrals, concept      378
Exponential swap-rate models      266Ч267 269Ч275 299Ч302
Fatou's lemma      36 61
Filtration      63 99 106 117Ч118 212
Filtration, assets      152Ч153 212 273 306
Filtration, Brownian motion      21 27Ч33 88Ч89 98Ч105 152Ч157 170 184Ч187 193
Filtration, definitions      152Ч153
Filtration, equivalent probability measures      94 95Ч97
Filtration, natural filtration concept      152Ч153 184
Filtration, quadratic variation      60Ч61 88Ч89
Filtration, SDEs      117Ч138
Filtration, stopping times      34 134
Finite variation      50Ч58 63 100Ч105 170Ч172 197 340Ч348 367
Finite variation, term structure models      188Ч189 190Ч191 194Ч197
Fixed legs, swaps      231Ч232 233 235Ч236 283Ч285
Fixed-term deposits      227Ч228
Flesaker Ч Hughston models      190Ч191 206Ч212
Flexible caps, concept      359
Floating cashflows      229Ч230 238 283Ч285 293
Floating legs, swaps      231Ч232 235Ч236 273 283Ч285
Floating measure, concept      280Ч281
Floorlets, concept      239Ч244
Floorlets, digital floorlets      244
Floorlets, put-call parity      241Ч242
Floors, concept      238Ч242 244Ч245
Floors, digital floors      244
Floors, valuation      238Ч242
Foreign exchange (FX), cross-currency swaptions      311Ч313
Foreign exchange (FX), multi-currency terminal swap-rate models      303Ч313
Forward contracts, futures      256Ч257
Forward curves, zero coupon swaptions      273Ч275
Forward FX rate      303 307 311
Forward LIBOR      230Ч234 240Ч241 248Ч251 256 296Ч299 338Ч341 353Ч369
Forward measure, concept      240 290Ч291
Forward price      247
Forward rate agreements (FRAs)      189 200Ч202
Forward rate agreements (FRAs), cashflows      229Ч230
Forward rate agreements (FRAs), concept      229Ч230 243 247
Forward rate agreements (FRAs), drawbacks      247
Forward rate agreements (FRAs), futures contracts      248 250Ч251 256Ч257
Forward rate agreements (FRAs), put-call parity      241Ч242
Forward rate agreements (FRAs), swaps      232
Forward rate agreements (FRAs), valuation      234Ч235 237Ч238
Forward volatilities, mean reversion      369
FRAs      see forward rate agreements
Fubini theorem      201Ч204 208Ч209
Futures contracts      177 183 186 247Ч257
Futures contracts, concept      247Ч251
Futures contracts, continuous resettlement      253Ч255
Futures contracts, definition      247Ч251
Futures contracts, discrete resettlement      252Ч253
Futures contracts, forwards      256Ч257
Futures contracts, FRAs      248 250Ч251 256Ч257
Futures contracts, martingales      253Ч257
Futures contracts, mathematical formulation      251
Futures contracts, payment rules      248Ч249
Futures contracts, price process      247Ч249 252Ч256
Futures contracts, replication      186
Futures contracts, resettlement      251 252Ч255
Futures contracts, risks      247Ч257
Futures contracts, settlement      248Ч249 251Ч255
Futures contracts, specification      248Ч249
Futures correction, concept      257
Futures price      247
FX      see foreign exchange
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