Introduction to the Economics and Mathematics of Financial Markets

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1、IntroductiontotheEconomicsandMathematicsofFinancialMarketsThispageintentionallyleftblankIntroductiontotheEconomicsandMathematicsofFinancialMarketsJakˇsaCvitani´candFernandoZapateroTheMITPressCambridge,MassachusettsLondon,Englandc2004MassachusettsInstituteofTechnolog

2、yAllrightsreserved.Nopartofthisbookmaybereproducedinanyformbyanyelectronicormechanicalmeans(includingphotocopying,recording,orinformationstorageandretrieval)withoutpermissioninwritingfromthepublisher.Thisbookwassetin10/13TimesRomanbyICCandwasprintedandboundintheUnite

3、dStatesofAmerica.LibraryofCongressCataloging-in-PublicationDataCvitani´c,JakˇsaIntroductiontotheeconomicsandmathematicsoffinancialmarkets/JakˇsaCvitani´candFernandoZapatero.p.cm.Includesbibliographicalreferencesandindex.ISBN0-262-03320-8ISBN0-262-53265-4(International

4、StudentEdition)1.Finance—Mathematicalmodels—Textbooks.I.Zapatero,Fernando.II.Title.HG106.C862004332.63201515—dc222003064872ToVesela,Lucia,ToniandMaitica,Nicol´as,Sebasti´anThispageintentionallyleftblankContentsPrefacexviiITHESETTING:MARKETS,MODELS,INTERESTRATES,UTI

5、LITYMAXIMIZATION,RISK11FinancialMarkets31.1Bonds31.1.1TypesofBonds51.1.2ReasonsforTradingBonds51.1.3RiskofTradingBonds61.2Stocks71.2.1HowAreStocksDifferentfromBonds?81.2.2GoingLongorShort91.3Derivatives91.3.1FuturesandForwards101.3.2MarkingtoMarket111.3.3ReasonsforTr

6、adingFutures121.3.4Options131.3.5CallsandPuts131.3.6OptionPrices151.3.7ReasonsforTradingOptions161.3.8Swaps171.3.9Mortgage-BackedSecurities;CallableBonds191.4OrganizationofFinancialMarkets201.4.1Exchanges201.4.2MarketIndexes211.5Margins221.5.1TradesThatInvolveMarginR

7、equirements231.6TransactionCosts24Summary25Problems26FurtherReadings292InterestRates312.1ComputationofInterestRates312.1.1SimpleversusCompoundInterest;AnnualizedRates322.1.2ContinuousInterest34viiiContents2.2PresentValue352.2.1PresentandFutureValuesofCashFlows362.2.2

8、BondYield392.2.3Price-YieldCurves392.3TermStructureofInterestRatesandForwardRates412.3.1YieldCurve412.3.2CalculatingSpotRates;Rates