利率衍生物定价的有效方法 [Efficient Methods for Valuing Interest Rate Derivatives(Springer Finance)] pdf epub mobi txt 电子书 下载 2025

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A.佩尔森（Antoon Pelsser） 著

出版社： 世界图书出版公司

ISBN：9787510058394

版次：1

商品编码：11314933

包装：平装

外文名称：Efficient Methods for Valuing Interest Rate Derivatives(Springer Finance)

开本：16开

出版时间：2013-05-01

用纸：胶版纸

页数：172

内容简介

　　《利率衍生物定价的有效方法》是一部全面讲述计算和管理利率衍生物模型的教程。分为两个部分：第一部分比较和讨论了传统模型，比如即期和远期利率模型；第二部分主要讲述新发展起来的市场模型。《利率衍生物定价的有效方法》和同时期众多图书的不同之处在于，不仅专注于数学知识，并大量刻画了作者在工业应用中的实践经验。

目录

1. introduction
2. arbitrage， martingales and numerical methods
2.1 arbitrage and martingales
2.1.1 basic setup
2.1.2 equivalent martingale measure
2.1.3 change of numeraire theorem
2.1.4 girsanov's theorem and ito's lemma
2.1.5 application： black-scholes model
2.1.6 application： foreign-exchange options
2.2 numerical methods
2.2.1 derivation of black-scholes partial differential equation
2.2.2 feynman-kac formula
2.2.3 numerical solution of pde's
2.2.4 monte carlo simulation
2.2.5 numerical integration

part i. spot and forward rate models
3. spot and forward rate models
3.1 vasicek methodology
3.1.1 spot interest rate
3.1.2 partial differential equation
3.1.3 calculating prices
3.1.4 example： ho-lee model
3.2 heath-jarrow-morton methodology
3.2.1 forward rates
3.2.2 equivalent martingale measure
3.2.3 calculating prices
3.2.4 example： ho-lee model
3.3 equivalence of the methodologies
4. fundamental solutions and the forward-risk-adjusted measure
4.1 forward-risk-adjusted measure
4.2 fundamental solutions
4.3 obtaining fundamental solutions
4.4 example： ho-lee model
4.4.1 radon-nikodym derivative
4.4.2 fundamental solutions
4.5 fundamental solutions for normal models
5. the hull-white model
5.1 spot rate process
5.1.1 partial differential equation
5.1.2 transformation of variables
5.2 analytical formulae
5.2.1 fundamental solutions
5.2.2 option prices
5.2.3 prices for other instruments
5.3 implementation of the model
5.3.1 fitting the model to the initial term-structure
5.3.2 transformation of variables
5.3.3 trinomial tree
5.4 performance of the algorithm
5.5 appendix
6. the squared gaussian model
6.1 spot rate process
6.1.1 partial differential equation
6.2 analytical formulee
6.2.1 fundamental solutions
6.2.2 option prices
6.3 implementation of the model
6.3.1 fitting the model to the initial term-structure
6.3.2 trinomial tree
6.4 appendix a
6.5 appendix b
7. an empirical comparison of one-factor models
7.1 yield-curve models
7.2 econometric approach
7.3 data
7.4 empirical results
7.5 conclusions

part ii. market rate models
8. libor and swap market models
8.1 libor market models
8.1.1 libor process
8.1.2 caplet price
8.1.3 terminal measure
8.2 swap market models
8.2.1 interest rate swaps
8.2.2 swaption price
8.2.3 terminal measure
8.2.4 ti-forward measure
8.3 monte carlo simulation for libor market models
8.3.1 calculating the numeraire rebased payoff
8.3.2 example： vanilla cap
8.3.3 discrete barrier caps/floors
8.3.4 discrete barrier digital caps/floors
8.3.5 payment stream
8.3.6 ratchets
8.4 monte carlo simulation for swap market models
8.4.1 terminal measure
8.4.2 ti-forward measure
8.4.3 example： spread option
9. markov-functional models
9.1 basic assumptions
9.2 libor markov-functional model
9.3 swap markov-functional model
9.4 numerical implementation
9.4.1 numerical integration
9.4.2 non-parametric implementation
9.4.3 semi-parametric implementation
9.5 forward volatilities and auto-correlation
9.5.1 mean-reversion and auto-correlation
9.5.2 auto-correlation and the volatility function
9.6 libor example： barrier caps
9.6.1 numerical calculation
9.6.2 comparison with libor market model
9.6.3 impact of mean-reversion
9.7 libor example： chooser- and auto-caps
9.7.1 auto-caps/floors
9.7.2 chooser-caps/floors
9.7.3 auto- and chooser-digitals
9.7.4 numerical implementation
9.8 swap example： bermudan swaptions
9.8.1 early notification
9.8.2 comparison between models
10. an empirical comparison of market models
10.1 data description
10.2 libor market model
10.2.1 calibration methodology
10.2.2 estimation and pricing results
10.3 swap market model
10.3.1 calibration methodology
10.3.2 estimation and pricing results
10.4 conclusion
11. convexity correction
11.1 convexity correction and change of numeraire
11.1.1 multi-currency change of numeraire theorem
11.1.2 convexity correction
11.2 options on convexity corrected rates
11.2.1 option price formula
11.2.2 digital price formula
11.3 single index products
11.3.1 libor in arrears
11.3.2 constant maturity swap
11.3.3 diffed libor
11.3.4 diffed cms
11.4 multi-index products
11.4.1 rate based spread options
11.4.2 spread digital
11.4.3 other multi-index products
11.4.4 comparison with market models
11.5 a warning on convexity correction
11.6 appendix： linear swap rate model
12. extensions and further developments
12.1 general philosophy
12.2 multi-factor models
12.3 volatility skews
references
index

前言/序言

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