衍生证券教程

出版时间：2010-9  出版社：世界图书出版公司  作者：贝克  页数：355  
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内容概要

This book is an outgrowth of notes compiled by the author while teaching courses for undergraduate and masters/MBA finance students at Washing-ton University in St. Louis and the Institut ffir HShere Studien in Vienna. At one time, a course in Options and Futures was considered an advanced finance elective, but now such a course is nearly mandatory for any finance major and is an elective chosen by many non-finance majors as well. Moreover, students are exposed to derivative securities in courses on Investments, International Finance, Risk Management, Investment Banking, Fixed Income, etc. This ex-pansion of education in derivative securities mirrors the increased importance of derivative securities in corporate finance and investment management.

书籍目录

part i introduction to option pricing   1 asset pricing basics     1.1 fundamental concepts     1.2 state prices in a one-period binomial model     1.3 probabilities and numeraires     1.4 asset pricing with a continuum of states     1.5 introduction to option pricing     1.6 an incomplete markets example     problems   2 continuous-time models     2.1 simulating a brownian motion     2.2 quadratic variation     2.3 it6 processes     2.4 it6's formula     2.5 multiple it5 processes     2.6 examples of it6's formula     2.7 reinvesting dividends     2.8 geometric brownian motion     2.9 numeraires and probabilities     2.10 tail probabilities of geometric brownian motions     2.11 volatilities     problems   3 black-scholes     3.1 digital options     3.2 share digitals     3.3 puts and calls     3.4 greeks     3.5 delta hedging     3.6 gamma hedging     3.7 implied volatilities     3.8 term structure of volatility     3.9 smiles and smirks     3.10 calculations in vba     problems   4 estimating and modelling volatility     4.1 statistics review     4.2 estimating a constant volatility and mean     4.3 estimating a changing volatility     4.4 garch models     4.5 stochastic volatility models     4.6 smiles and smirks again     4.7 hedging and market completeness     problems   5 introduction to monte carlo and binomial models     5.1 introduction to monte carlo     5.2 introduction to binomial models     5.3 binomial models for american options     5.4 binomial parameters     5.5 binomial greeks     5.6 monte carlo greeks i: difference ratios     5.7 monte carlo greeks ii: pathwise estimates     5.8 calculations in vba     problems part ii advanced option pricing   6 foreign exchange     6.1 currency options     6.2 options on foreign assets struck in foreign currency     6.3 options on foreign assets struck in domestic currency     6.4 currency forwards and futures     6.5 quantos     6.6 replicating quantos     6.7 quanto forwards     6.8 quanto options     6.9 return swaps     6.10 uncovered interest parity     problems   7 forward, futures, and exchange options     7.1 margrabe's formula     7.2 black's formula     7.3 merton's formula     7.4 deferred exchange options     7.5 calculations in vba     7.6 greeks and hedging     7.7 the relation of futures prices to forward prices     7.8 futures options     7.9 time-varying volatility     7.10 hedging with forwards and futures     7.11 market completeness     problems   8 exotic options     8.1 forward-start options     8.2 compound options     8.3 american calls with discrete dividends     8.4 choosers     8.5 options on the max or min     8.6 barrier options     8.7 lookbacks     8.8 basket and spread options     8.9 asian options     8.10 calculations in vba     problems   9 more on monte carlo and binomial valuation     9.1 monte carlo models for path-dependent options     9.2 binomial valuation of basket and spread options     9.3 monte carlo valuation of basket and spread options     9.4 antithetic variates in monte carlo     9.5 control variates in monte carlo     9.6 accelerating binomial convergence     9.7 calculations in vba     problems   10 finite difference methods     10.1 fundamental pde     10.2 discretizing the pde     10.3 explicit and implicit methods     10.4 crank-nicolson     10.5 european options     10.6 american options     10.7 barrier options     10.8 calculations in vba     problems part iii fixed income   11 fixed income concepts     11.1 the yield curve     11.2 libor     11.3 swaps     11.4 yield to maturity, duration, and convexity     11.5 principal components     11.6 hedging principal components     problems   12 introduction to fixed income derivatives     12.1 caps and floors     12.2 forward rates     12.3 portfolios that pay spot rates     12.4 the market model for caps and floors     12.5 the market model for european swaptions     12.6 a comment on consistency     12.7 caplets as puts on discount bonds     12.8 swaptions as options on coupon bonds     12.9 calculations in vba     problems   13 valuing derivatives in the extended vasicek model     13.1 the short rate and discount bond prices     13.2 the vasicek mode]     13.3 estimating the vasicek model     13.4 hedging in the vasicek model     13.5 extensions of the vasicek model     13.6 fitting discount bond prices and forward rates     13.7 discount bond options, caps and floors     13.8 coupon bond options and swaptions     13.9 captions and floortions     13.10 yields and yield volatilities     13.11 the general hull-white model     13.12 calculations in vba     problems   14 a brief survey of term structure models     14.1 ho-lee     14.2 black-derman-toy     14.3 black-karasinski     14.4 cox-ingersoll-ross     14.5 longstaff-schwartz     14.6 heath-jarrow-morton     14.7 market models again     problems    ppendices     a programming in vba     a.1 vba editor and modules     a.2 subroutines and functions     a.a message box and input box     a.4 writing to and reading from ceils     a.5 variables and assignments     a.6 mathematical operations     a.7 random numbers     a.8 for loops     a.9 while loops and logical expressions     a.10 if, else, and elseif statements     a.11 variable declarations     a.12 variable passing     a.13 arrays     a.14 debugging   b miscellaneous facts about continuous-time models     b.1 girsanov's theorem     b.2 the minimum of a geometric brownian motion     b.3 bessel squared processes and the cir model     list of programs     list of symbols     references     index

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