書籍詳細
デリバティブのプライシング：問題と読本
Derivative Pricing : A ProblemBased Primer
(Chapman and Hall/crc Financial Mathematics)
Lo, Ambrose
Chapman & Hall 2018/06
432 p. 26 cm
装丁:
Hrd
装丁について
テキストの言語:
ENG
出版国:
GB
ISBN:
9781138033351
KCN:
1028500280
紀伊國屋書店 選定タイトル
標準価格：
￥19,180（本体 ￥17,437）
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納期について
DDC:
332
KDC: 
E210
金融理論


F181
金融数理・金融工学

Annotation
This textbook adopts a mathematically rigorous yet widely accessible pedagogical approach, providing a formal treatment of derivative pricing methodologies and their underlying theory.
Full Description
The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A ProblemBased Primer demystifies the essential derivative pricing theory by adopting a mathematically rigorous yet widely accessible pedagogical approach that will appeal to a wide variety of audience. Abandoning the traditional "blackbox" approach or theorists' "pedantic" approach, this textbook provides readers with a solid understanding of the fundamental mechanism of derivative pricing methodologies and their underlying theory through a diversity of illustrative examples. The abundance of exercises and problems makes the book wellsuited as a text for advanced undergraduates, beginning graduates as well as a reference for professionals and researchers who need a thorough understanding of not only "how," but also "why" derivative pricing works. It is especially ideal for students who need to prepare for the derivatives portion of the Society of Actuaries Investment and Financial Markets Exam. Features Lucid explanations of the theory and assumptions behind various derivative pricing models. Emphasis on intuitions, mnemonics as well as common fallacies. Interspersed with illustrative examples and endofchapter problems that aid a deep understanding of concepts in derivative pricing. Mathematical derivations, while not eschewed, are made maximally accessible. A solutions manual is available for qualified instructors. The Author Ambrose Lo is currently Assistant Professor of Actuarial Science at the Department of Statistics and Actuarial Science at the University of Iowa. He received his Ph.D. in Actuarial Science from the University of Hong Kong in 2014, with dependence structures, risk measures, and optimal reinsurance being his research interests. He is a Fellow of the Society of Actuaries (FSA) and a Chartered Enterprise Risk Analyst (CERA). His research papers have been published in toptier actuarial journals, such as ASTIN Bulletin: The Journal of the International Actuarial Association, Insurance: Mathematics and Economics, and Scandinavian Actuarial Journal.
Table of Contents
List of Figures List of Tables Preface Symbols I Introductory Derivatives: Fundamental Concepts 1. An Introduction to Forwards and Options Forwards Options Call Options Put Options Classification of Derivatives Problems 2. Forwards and Futures Alternative Ways to Buy a Stock Prepaid Forwards on Stocks Nondividendpaying Stocks Dividendpaying Stocks Forwards on Stocks Forward Price Cashandcarry Arbitrage Digression: Market Frictions Futures Differences between Futures and Forwards Marking to Market Problems 3.Option Strategies Basic Insurance Strategies Insuring a Long Position: Floors Insuring a Short Position: Caps Selling Insurance A Simple but Useful Observation: Parallel Payoffs, Identical Profit Putcall Parity Synthetic Forwards The Putcall Parity Equation Spreads and Collars Spreads Collars Volatility Speculation Straddles Strangles Buttery Spreads Problems II Advanced Derivatives: Pricing and Hedging 4. Binomial Option Pricing Models Oneperiod Binomial Trees Pricing by Replication Riskneutral Pricing Constructing a Binomial Tree Multiperiod Binomial Trees American Options Options on Other Assets Currency Options Options on Futures Epilogue: Pricing by True Probabilities Problems 5. Mathematical Foundations of the BS Framework A Lognormal Model of Stock Prices Lognormal Probability Calculations Estimating the Parameters of a Lognormal Stock Price Model Problems 6. The BlackScholes Formula BS Formula for Stocks Paying Continuous Dividends Applying the BlackScholes Formula to Other Assets Option Greeks Option Delta Option Gamma Key Learning Items in Interpreting Option Greeks Option Greeks of a Portfolio Option Elasticity Implied Volatility Problems 7. Option Greeks and Risk Management Deltahedging and Holding Profits Hedging Multiple Greeks DeltaGammaTheta Approximation Problems 8. Exotic Options AllorNothing Options Cashornothing Options Assetornothing Options Option Greeks of Allornothing Options Gap Options Introduction Pricing and Hedging Gap Options Exchange Options Introduction Pricing Exchange Options Pricing Maximum and Minimum Options Compound Options Asian Options Introduction Pricing Asian Options Lookback Options Barrier Options Other Exotic Options Chooser Options Forward Start Options Problems III Epilogue 9. General Properties of Option Prices PutCall Parity and Duality Generalized Parity Currency Putcall Duality Upper and Lower Bounds on Option Prices Comparing Options Strike Price Maturity Early Exercise Decision for American Options Proof : A Proof Based on Noarbitrage Bounds Proof : A Costbenefit Dissection Proof Early Exercise Criterion for American puts Problems Appendix A Solutions to EndofChapter Problems Bibliography Index