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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
Gaussian Integrals      184 218Ч222 257 292
Gaussian integrals, calculations      375Ч376
Gaussian integrals, covariance      24 310
Geometric swap-rate models      267Ч275
Geometry, option pricing      7Ч13
Girsanov's theorem      125 139 156Ч158 203 205
Girsanov's theorem, Brownian motion      101Ч105 139 156Ч158 307
Girsanov's theorem, concept      91 96Ч97 99Ч105
Girsanov's theorem, continuous semimartingales      99Ч101
Glasserman, P.      187 338
Global calibration      223Ч225
Goes short concept, FRAs      230
Gronwall's lemma      133 135Ч136
Heath Ч Jarrow Ч Morton (HJM) models      189 200Ч206 337
Hedging calibration      223Ч225
Hedging European options      146Ч151
Hedging macro information modelling      217Ч218
Hilbert spaces      40 66Ч68 69Ч70 107 376
HJM      see Heath Ч Jarrow Ч Morton models
Hull, J.      321 see
Implied interest rate pricing models      287Ч302
Implied interest rate pricing models, exponential swap-rate models      299Ч302
Implied interest rate pricing models, irregular swaptions      288 293Ч299
Implied interest rate pricing models, numerical implementation      292Ч293
Implied volatilities, mean reversion      368Ч371
In the money, concept      240 242
Incomplete economies, concept      5
Infinite trading horizon      180Ч181 183
Infinitesimals, modelling      216Ч217
Information, macro information modelling      217Ч218
Information, trading strategies      144 152Ч153 216
Ingersoll, J.E.      323Ч324
Initial margin, futures contracts      249
Instantaneous forward rates      189 200Ч202
Integration      see also stochastic integration
Integration by parts      81Ч83
Integration, Lebesgue Ч Stieltjes integration      49Ч51 64Ч67 81Ч82 132Ч133 189 197 201
Integration, semimartingales      59Ч62 63 73 78Ч89 91
Integration, Stieltjes integration      49Ч51 64 65Ч67 74 76
Integration, variation      49Ч58
Interest rate swaps      see swaps
Interest rates      see also term structure interest
Interest rates, implied interest rate pricing models      287Ч302
Interest rates, LIBOR      228Ч257 277 282Ч286 296Ч299 311Ч313 359Ч371
Interest rates, Markov-functional models      264 299 316
Interest rates, mean reversion      359 367Ч371
Interest rates, models      183Ч212 287Ч302 316
Interest rates, products      180 186 227Ч236 247Ч257
Interest rates, spot interest rates      198 228 368
Intrinsic value, caplets      239Ч240
Irregular swaptions      288 293Ч299
Ito's formula      98 116 150 171Ч172 203Ч204 321Ч326
Ito's formula, capital gains      144Ч145 161
Ito's formula, concept      81Ч89 145Ч146
Ito's formula, differential notation      83Ч85
Ito's formula, multidimensional version      85Ч88
Ito's formula, SDEs      125Ч134
Jacka, S.D.      184
Jacod, J.      105 116
Jamshidian, F.      191 295 323 328 337
Jensen's inequality      36Ч37 40 74Ч76 129
Jin, Y.      187
Jointly progressively measurable concept      204
Karasinski, P.      see Black Ч Karasinski short-rate model
Karatzas, I.      34 78 84 97 105 134 159 179
Kennedy, D.P.      184
Kunita Ч Watanabe characterization      74 76
Kunita, H.      74 76 88
Lamberton, D.      147
Lapeyre, B.      147
Least squares fit, calibration      223Ч225
Lebesgue Ч Stieltjes integration      49Ч51 64Ч67 132Ч133 189 197 201
Legs, swaps      231Ч233 235Ч236 273 283Ч285 293
Levy's theorem, concept      88Ч89 101 113 122
Libor      see London Interbank Offer Rate
Limit caps      221Ч223 343 359
Linear swap-rate models      268Ч269 273Ч275 280Ч282 310
Lipschitz conditions, SDEs      116 125Ч138 173
Litzenberger, R.      285
Local calibration      223Ч225
Local martingales      98 100Ч113 139
Local martingales, concept      56Ч59 62 63
Local martingales, Ito integrals      145
Local martingales, Levy's theorem      88Ч89 101 113
Local martingales, stochastic integration      77Ч80 82Ч89 91
Localization concept      56 77Ч80 82 105Ч113
Locally bounded integrands      64Ч65 73 78Ч80
Log-normal models      207 216Ч218 240Ч245 269 300Ч307 366Ч367
Log-normal models, short-rate models      322Ч323
London Interbank Offer Rate (LIBOR)      228Ч244 268 277 282Ч286 296Ч299 311Ч313
London Interbank Offer Rate (LIBOR), concept      228
London Interbank Offer Rate (LIBOR), futures contracts      248Ч257
London Interbank Offer Rate (LIBOR), LIBOR-in-arrears basis swaps      277 282Ч283
London Interbank Offer Rate (LIBOR), market models      337Ч343
London Interbank Offer Rate (LIBOR), Markov-functional models      359Ч371
London Interbank Offer Rate (LIBOR), mean reversion      367Ч371
Macro information, modelling      217Ч218
Maintenance margin level, futures contracts      249
Margrabe, W.      309Ч311
Market models      337Ч350
Market models, advent      198 316Ч317 319 337Ч338
Market models, arbitrage-free properties      339Ч340 341Ч343 349Ч350
Market models, benefits      316 319 337Ч338
Market models, Bermudan swaptions      338 346Ч347
Market models, calibration      337Ч338
Market models, concept      337Ч338
Market models, drawbacks      338 351
Market models, drift      339Ч341 344Ч345 348Ч349
Market models, European derivatives      347Ч350
Market models, examples      343 346Ч347 350
Market models, LIBOR models      337Ч343 368Ч369
Market models, Markov-functional models      365Ч367
Market models, regular swap-market models      343Ч347
Market models, reverse swap-market models      338 347Ч350
Market models, swap-rate models      338 343Ч350
Market risks, futures contracts      249Ч251
Markov property      26Ч30 33 116 134
Markov property, concept      26Ч27
Markov property, SDEs      125 134Ч139 143 341Ч343 346 349
Markov-functional models      264 299 316
Markov-functional models, arbitrage-free properties      352 355 358
Markov-functional models, Bermudan swaptions      351Ч371
Markov-functional models, calibration      352 356Ч357 362
Markov-functional models, concept      351Ч353 365Ч367
Markov-functional models, example models      359Ч362
Markov-functional models, LIBOR models      359Ч361 368Ч369
Markov-functional models, market models      365Ч367
Markov-functional models, mean reversion      359 367Ч371
Markov-functional models, swap model      361Ч362
Markov-functional models, swaption prices      354Ч358
Martingales      14Ч15 31Ч62 76Ч80 153Ч158 206Ч212 see
Martingales, bounded martingales      35Ч36 39Ч41 57 87
Martingales, Brownian motion      32Ч33 35 44 98 101Ч105 195 203
Martingales, cadlag stochastic processes      33Ч35 37 39Ч46 61Ч62 95Ч97
Martingales, classes      31 35Ч41
Martingales, concept      31Ч41
Martingales, definition      32Ч35
Martingales, equivalent martingale measure      14Ч15 110Ч113 149Ч151 155Ч158 216Ч218
Martingales, futures contracts      253Ч257
Martingales, properties      32Ч35
Martingales, quadratic variation      32 51Ч56 58 88Ч89
Martingales, real-world models      215Ч218
Martingales, representation theorem      64 91 103 105Ч113 203
Martingales, square-integrable martingales      35 39Ч41 67Ч68 106Ч108
Martingales, stopping times      45Ч62
Martingales, supermartingales      61Ч62 98 207Ч212
Martingales, terminal swap-rate models      264Ч273
Martingales, uniformly integrable martingales      31 35 70 180
Maturities, CMS      260Ч261 282Ч285
Maturities, deposits      228
Maturities, swaps      231 235
Maturities, term structure models      200 209
Maturities, ZCBs      233Ч234 235
Mean reversion      359 367Ч371
Mean reversion, Bermudan swaptions      370Ч371
Mean reversion, correlation      367
Mean reversion, implied volatilities      368Ч371
Mean reversion, Markov-functional models      359 367Ч371
Mean reversion, Vasicek Ч Hull Ч White short-rate model      367Ч371
Mean reversion, volatilities      368Ч371
Meyer's theorem      55Ч56
Miltersen, K.      191 337
Models      see also calibration; real-world models; short-rate models
Models, absolutely continuous models      189 190Ч191 207Ч212
Models, Black Ч Karasinski short-rate model      198 322Ч323 370Ч371
Models, comparisons      370Ч371
Models, exotic American derivatives      315Ч371
Models, exotic European derivatives      259Ч313 370Ч371
Models, geometric swap-rate models      267Ч275
Models, Heath Ч Jarrow Ч Morton models      189 191 337
Models, implied interest rate pricing models      287Ч302
Models, infinitesimals      216Ч217
Models, interest rates      183Ч212 287Ч302 316
Models, log-normal models      207 216Ч218 240Ч245 269 300Ч307 322Ч323 365Ч366
Models, macro information      217Ч218
Models, market models      198 316Ч317 319 337Ч351
Models, Markov-functional models      264 299 316
Models, multi-currency terminal swap-rate models      303Ч313
Models, numerical comparisons      369Ч371
Models, product-based models      218Ч223
Models, regular swap-market models      343Ч347
Models, reverse swap-market models      338 347Ч350
Models, swap-rate models      263Ч275 280Ч282 287Ч313 343Ч350
Models, term structures      187Ч212 269 271Ч273 338Ч0 358
Models, terminal swap-rate models      263Ч275 280Ч282 347 349
Models, Vasicek Ч Hull Ч White short-rate model      198 319Ч335 353 361 367Ч371
Monotone convergence theory      200 295
Multi-currency terminal swap-rate models      303Ч313
Multi-currency terminal swap-rate models, concept      303Ч305
Multi-currency terminal swap-rate models, construction      304Ч305
Multi-currency terminal swap-rate models, cross-currency swaptions      311Ч313
Multi-currency terminal swap-rate models, examples      308Ч313
Multi-currency terminal swap-rate models, spread options      308Ч311
Multi-temporal products      see also Bermudan swaptions
Multi-temporal products, concept      315Ч317 329 346Ч347 352Ч355
Multidimensional short-rate models      324
Multidimensional version, Ito's formula      85Ч88
Musiela, M.      324
Natural filtration, concept      152Ч153 184
Newton Ч Raphson algorithm      292Ч293 328 330
Notional amounts, cross-currency swaptions      311Ч313
Notional amounts, FRAs      229Ч230 250
Novikov's condition      97Ч98 104 342
Null sets, macro information modelling      217Ч218
Numeraires      see also pricing kernel
Numeraires, concept      15 142 149Ч151 153Ч158 161Ч176
Numeraires, convexity corrections      278Ч286
Numeraires, futures contracts      252Ч257
Numeraires, market models      337Ч350
Numeraires, Markov-functional models      352Ч367
Numeraires, term structure models      187Ч188 192Ч194 358
Numeraires, vanilla swaptions      242Ч243 260 265Ч266 356Ч357
Numerical comparisons, models      367Ч369
Numerical implementation, implied interest rate pricing models      292Ч293
ODEs      see ordinary differential equations
Oksendal, B.      179
One-period economy, option pricing      3Ч17
One-period economy, possible states      4
Option pricing      see also prices; valuation
Option pricing, American options      142 178
Option pricing, arbitrage-free properties      163Ч164
Option pricing, concept      3 141Ч142 146Ч151
Option pricing, continuous time      141Ч181
Option pricing, equivalent martingale measure      149Ч151 155Ч158
Option pricing, European options      146Ч151 219Ч221 370Ч371
Option pricing, extensions      176Ч181
Option pricing, geometry      7Ч13
Option pricing, infinite trading horizon      180Ч181
Option pricing, payouts      176Ч179
Option pricing, PDEs      147Ч149 150
Option pricing, real-world models      215Ч225
Option pricing, simplest setting      4Ч5 16
Option pricing, single period      3Ч17
Option pricing, two-period economy      15Ч17
Optional sampling theorem      31Ч32 45Ч49 75Ч76
options      see also swaptions
Options, Bermudan swaptions      315Ч317 329Ч335 338
Options, call options      217Ч218
Options, caplets      239Ч244 286
Options, CMS      284Ч285
Options, digital options      244Ч245
Options, macro information modelling      217Ч218
Options, put options      241
Options, spread options      308Ч311 347 350
Options, swaptions      207 242Ч243 245 265Ч266 273Ч275
Ordinary differential equations (odes)      115 see
Ordinary differential equations (ODEs), Picard Ч Lindeloef iteration      126Ч130
Orthogonal complements      107Ч109
OTC      see over the counter
Out of the money, concept      240 242
Over the counter (OTC), concept      247
Par swaps      231Ч232 242 261 298 317 346Ч348
Partial differential equations (PDEs), option, pricing      147Ч149 150
Path-dependent derivatives      315Ч369
Paths      21Ч26
Paths, limits      71Ч73
Paths, martingales      34Ч35 58
Paths, two-period economy      16
Paths, uniqueness      120Ч121 124 127 130Ч134 143
Payers swaptions, concept      242 245 266 368
Payment dates      229Ч230
Payment, futures contracts rules      248Ч249
Payment, payouts      176Ч179
PDEs      see partial differential equations
Picard Ч Lindeloef iteration      126Ч130
Plain vanilla interest rate swaps      242
Polarization identity, concept      56 81
Polynomial integrals, concept      373Ч374
Pre-agreed deposits      227Ч229
Predictable processes      128 205
Predictable processes, concept      62 64 65Ч67
Predictable processes, stochastic integration      64 65Ч67 69Ч70 79Ч0
Present value of a basis point (PVBP)      235 356
prices      see also option pricing; valuation
Prices, assets      142Ч146 161
Prices, continuous process assumption      19
Prices, convexity corrections      277Ч286
Prices, exotic American derivatives      315Ч371
Prices, exotic European derivatives      259Ч313 351Ч352 370Ч371
Prices, futures contracts      247Ч249 252Ч256
Prices, implied interest rate pricing models      287Ч302
Prices, irregular swaptions      288 293Ч299
Prices, macro information modelling      217Ч218
Prices, model comparisons      370Ч371
Prices, path-dependent derivatives      315Ч369
Prices, real-world models      215Ч225
Prices, zero coupon swaptions      273Ч275
Pricing kernel      see also numeraires
Pricing kernel, arbitrage-free properties      6Ч15 185
Pricing kernel, complete economies      9Ч12 185Ч187
Pricing kernel, concept      6Ч15 173Ч176
Pricing kernel, equivalent martingale measure      14Ч15
Pricing kernel, futures contracts      252
Pricing kernel, term structure models      188Ч189 191 192 194 201Ч203 207Ч212
Priestley, H.A.      371
Principal component analysis      219Ч222
Product-based models      218Ч223
Progressively measurable concept      50 67
Protter, P.      92 110 116 176
Pure discount bonds      183Ч188 191Ч192 194Ч196 320 352 see
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