布里谷编著的《利率模型理论和实践(第2版)》是一部详细讲述利率模型的书,旨在将该领域的理论和实践联系起来,在第一版的基础上增加了许多新特征。有关LIBOR市场模型中的“Smile”部分得到了极大的丰富,已有内容扩充为几个新的章节。书中增加了瞬时相关矩阵的历史估计,局部波动动力学和随机波动模型,全面讲述了最新发展较快的不确定波动率方法。跟膨胀有关的衍生品定价讲述的较为详细。
读者对象:数学专业研究生、老师和经济、金融的相关人员。
网站首页 软件下载 游戏下载 翻译软件 电子书下载 电影下载 电视剧下载 教程攻略
书名 | 利率模型理论和实践(第2版)(精) |
分类 | 经济金融-金融会计-金融 |
作者 | (意)布里谷 |
出版社 | 世界图书出版公司 |
下载 | ![]() |
简介 | 编辑推荐 布里谷编著的《利率模型理论和实践(第2版)》是一部详细讲述利率模型的书,旨在将该领域的理论和实践联系起来,在第一版的基础上增加了许多新特征。有关LIBOR市场模型中的“Smile”部分得到了极大的丰富,已有内容扩充为几个新的章节。书中增加了瞬时相关矩阵的历史估计,局部波动动力学和随机波动模型,全面讲述了最新发展较快的不确定波动率方法。跟膨胀有关的衍生品定价讲述的较为详细。 读者对象:数学专业研究生、老师和经济、金融的相关人员。 目录 Preface Motivation Aims, Readership and Book Structure Final Word and Acknowledgments Description of Contents by Chapter Abbreviations and Notation Part I.BASIC DEFINITIONS AND NO ARBITRAGE 1.Definitions and Notation 2.No-Arbitrage Pricing and Numeraire Change Part II.FROM SHORT RATE MODELS TO HJM 3.One-factor short-rate models 4.Two-Factor Short-Rate Models 5.The Heath-Jarrow-Morton (HJM) Framework Part III.MARKET MODELS 6.The LIBOR and Swap Market Models (LFM and LSM) 7.Cases of Calibration of the LIBOR Market Model 8.Monte Carlo Tests for LFM Analytical Approximations Part Ⅳ.THE VOLATILITY SMILF 9.Including the Smile in the LFM 10.Local-Volatility Models 11.Stochasti-Volatility Models 12.Uncertain-Parameter Models Part Ⅴ.EXAMPLES OF MARKET PAYOFFS 13.Pricing Derivatives on a Single Interest-Rate Curve 14.Pricing Derivatives on Two Interest-Rate Curves Part Ⅵ.INFLATION 15.Pricing of Inflation-Indexed Derivatives 16.Inflation Indexed Swaps 17.Inflation-Indexed Caplets/Floorlets 18.Calibration to market data 19.Introducing Stochastic Volatility 20.Pricing Hybrids with an Inflation Component Part Ⅶ.CREDIT 21.Introduction and Pricing under Counterparty Risk 22.Intensity Models 23.CDS Options Market Models Part Ⅷ.APPENDICES A.Other Interest-Rate Models B.Pricing Equity Derivatives under Stochastic Rates C.A Crash Intro to Stochastic Differential Equations and Poisson Processes D.A Useful Calculation E.A Second Useful Calculation F.Approximating Diffusions with Trees G.Trivia and Frequently Asked Questions H.Talking to the Traders References Index |
随便看 |
|
霍普软件下载网电子书栏目提供海量电子书在线免费阅读及下载。