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ID:39713077
大小:2.53 MB
页数:413页
时间:2019-07-09
《Mathematical Techniques in Finance》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、MathematicalTechniquesinFinanceMathematicalTechniquesinFinanceToolsforIncompleteMarketsSecondEditionAleˇsCern´yˇPrincetonUniversityPressPrincetonandOxfordCopyrightc2009byPrincetonUniversityPressPublishedbyPrincetonUniversityPress,41WilliamStreet,Princeton,NewJersey08540IntheUnitedKingdom:Pri
2、ncetonUniversityPress,6OxfordStreet,Woodstock,OxfordshireOX201TWAllRightsReservedISBN:978-0-691-14121-3LibraryofCongressControlNumber:2009923897BritishLibraryCataloging-in-PublicationDataisavailableThisbookhasbeencomposedinTimesusingTEXTypesetandcopyeditedbyT&TProductionsLtd,LondonPrintedonac
3、id-freepaper∞press.princeton.eduPrintedintheUnitedStatesofAmerica10987654321Tomyparents,withloveGivemebutoneÞrmspotonwhichtostand,andIwillmovetheearthoςµoιπo`υστ˜ωκα˜ικιν´ωτ˜ην `ην˜ArchimedesContentsPrefacetotheSecondEditionxiiiFromthePrefacetotheFirstEditionxix1TheSimplestModelofFinancialMa
4、rkets11.1One-PeriodFiniteStateModel11.2SecuritiesandTheirPayoffs31.3SecuritiesasVectors31.4OperationsonSecurities41.5TheMatrixasaCollectionofSecurities61.6Transposition61.7MatrixMultiplicationandPortfolios81.8SystemsofEquationsandHedging101.9LinearIndependenceandRedundantSecurities121.10TheSt
5、ructureoftheMarketedSubspace141.11TheIdentityMatrixandArrowÐDebreuSecurities161.12MatrixInverse171.13InverseMatrixandReplicatingPortfolios171.14CompleteMarketHedgingFormula191.15Summary201.16Notes211.17Exercises222ArbitrageandPricingintheOne-PeriodModel252.1HedgingwithRedundantSecuritiesandIn
6、completeMarket252.2FindingtheBestApproximateHedge292.3MinimizingtheExpectedSquaredReplicationError322.4NumericalStabilityofLeastSquares342.5AssetPrices,ReturnsandPortfolioUnits362.6Arbitrage382.7No-ArbitragePricing402.8StatePricesandtheArbitrageTheorem412.9StatePricesandAssetReturns442.10Risk
7、-NeutralProbabilities452.11StatePricesandNo-ArbitragePricing462.12AssetPricingDuality472.13Summary482.14Notes492.15Appendix:LeastSquareswithQRDecomposition492.16Exercises52xContents3RiskandReturnintheOne-PeriodModel553.1UtilityFunctions563.2E
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