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書籍詳細




洋書

数理ファイナンス:問題と解法 第2巻:エクイティ・デリバティブ

Problems and Solutions in Mathematical Finance : Equity Derivatives

(Wiley Finance)

Chin, Eric   Nel, Dian   Olafsson, Sverrir

John Wiley & Sons Inc 2017/02
416 p. 26 cm   
装丁: Hrd    装丁について
テキストの言語: ENG    出版国: US
ISBN: 9781119965824
KCN: 1016809223
紀伊國屋書店 選定タイトル
標準価格:¥9,724(本体 ¥8,840)   
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納期について
DDC: 332.0151922
KDC: E210 金融理論
F181 金融数理・金融工学
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Annotation

Volume II concentrates on the study of equity, currency, and commodity derivatives. It provides examples of both basic derivative securities and advanced model parameters.

Full Description

Detailed guidance on the mathematics behind equity derivatives Problems and Solutions in Mathematical Finance Volume II is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry.
Detailed information

Table of Contents

Preface ix About the Authors xi 1 Basic Equity Derivatives Theory 1 1.1 Introduction 1 1.2 Problems and Solutions 8 1.2.1 Forward and Futures Contracts 8 1.2.2 Options Theory 15 1.2.3 Hedging Strategies 27 2 European Options 63 2.1 Introduction 63 2.2 Problems and Solutions 74 2.2.1 Basic Properties 74 2.2.2 Black Scholes Model 89 2.2.3 Tree-Based Methods 190 2.2.4 The Greeks 218 3 American Options 267 3.1 Introduction 267 3.2 Problems and Solutions 271 3.2.1 Basic Properties 271 3.2.2 Time-Independent Options 292 3.2.3 Time-Dependent Options 305 4 Barrier Options 351 4.1 Introduction 351 4.2 Problems and Solutions 357 4.2.1 Probabilistic Approach 357 4.2.2 Reflection Principle Approach 386 4.2.3 Further Barrier-Style Options 408 5 Asian Options 439 5.1 Introduction 439 5.2 Problems and Solutions 443 5.2.1 Discrete Sampling 443 5.2.2 Continuous Sampling 480 6 Exotic Options 531 6.1 Introduction 531 6.2 Problems and Solutions 532 6.2.1 Path-Independent Options 532 6.2.2 Path-Dependent Options 586 7 Volatility Models 647 7.1 Introduction 647 7.2 Problems and Solutions 652 7.2.1 Historical and Implied Volatility 652 7.2.2 Local Volatility 685 7.2.3 Stochastic Volatility 710 7.2.4 Volatility Derivatives 769 A Mathematics Formulae 787 B Probability Theory Formulae 797 C Differential Equations Formulae 813 Bibliography 821 Notation 825 Index 829