Financial Calculus by Martin Baxter &ampamp;amp; Andrew Rennie)..pdf

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1、FinancialCalculusAnintroductiontoderivativepricingMartinBaxterNomuraInternationalLondonAndrewRennieHeadofDebtAnalytics,MerrillLynch,EuropeContentsPrefaceiTheparableofthebookmakeriii1Introduction11.1Expectationpricing............................11.2Arbitragepricing........................

2、.....41.3Expectationvsarbitrage.........................52Discreteprocesses72.1Thebinomialbranchmodel........................72.2Thebinomialtreemodel.........................122.3Binomialrepresentationtheorem.....................222.4Overturetocontinuousmodels......................323Con

3、tinuousprocesses343.1Continuousprocesses...........................343.2Stochasticcalculus............................393.3Itocalculus.................................44ˆ3.4Changeofmeasure—theC-M-Gtheorem...............483.5Martingalerepresentationtheorem....................593.6Construc

4、tionstrategies..........................613.7Black-Scholesmodel...........................643.8Black-Scholesinaction..........................714Pricingmarketsecurities774.1Foreignexchange.............................774.2Equitiesanddividends..........................834.3Bonds..........

5、..........................874.4Marketpriceofrisk............................904.5Quantos..................................955Interestrates1005.1Theinterestratemarket..........................1005.2Asimplemodel..............................105iiCONTENTSi5.3Single-factorHJM................

6、.............1115.4Short-ratemodels.............................1175.5Multi-factorHJM.............................1235.6Interestrateproducts...........................1275.7Multi-factormodels............................1346Biggermodels1396.1Generalstockmodel............................13

7、96.2Log-normalmodels............................1416.3Multiplestockmodels...........................1436.4Numeraires.................................1476.5Foreigncurrencyinterest-ratemodels..................1506.6Arbitrage-freecompletemodels.....................153AFurthe