附註:Includes bibliographical references (pages 289-294) and index.
Cover -- Preface -- Contents -- Notation and Convention -- Chapter 1 Basic Concepts and Practice in Finance -- 1.1 Introducing mathematical finance -- 1.2 Basic securities -- 1.2.1 Stocks -- 1.2.2 Bonds -- 1.2.3 Others: bank accounts, currencies and commodities -- 1.3 Derivative securities -- 1.3.1 Options -- 1.3.2 Other derivative securities -- 1.4 Theory and practice -- Chapter 2 Infinitesimal Analysis and Hypermodels -- 2.1 Motivations -- 2.2 Hypermodels and analysis -- Chapter 3 Absence of Arbitrage -- 3.1 Introduction -- 3.2 Absence of arbitrage and the binary tree hypermodel -- 3.2.1 A mini-model -- 3.2.2 Binary tree model -- 3.2.3 Binary tree hypermodel -- 3.2.4 Finiteness of stock prices -- 3.2.5 Risk-neutral measure for binary tree hypermodel -- 3.3 Black-Scholes type PDE from virtually arbitrage-free -- 3.3.1 Virtually arbitrage free -- Chapter 4 Explicit Option Pricing -- 4.1 From hypermodel to PDE -- 4.1.1 Barrier conditions for derivative claims -- 4.1.2 Tangible price processes -- 4.1.3 Differential equations in a hypermodel -- 4.1.4 Black-Scholes type PDE -- 4.2 Pricing options explicitly -- 4.2.1 The classical Black-Scholes formula -- 4.3 The barrier option -- 4.4 The American option -- Chapter 5 Pricing with Binary Tree Hypermodels -- 5.1 Hypermodels for the Cox-Ross-Rubinstein approach -- 5.2 The CRR matrix and Examples -- Chapter 6 Further Applications -- 6.1 Sensitivity analysis -- 6.1.1 The Greeks -- 6.1.2 Computing the Greeks from translating -- 6.2 Implied volatility -- 6.3 Term structure of interest rates -- Chapter 7 The Mathematics of Hypermodels -- 7.1 Mathematical logic and Classical Hyperanalysis -- 7.1.1 Logic and hypermodels *R -- 7.1.2 Construction of *R using the compactness theorem -- 7.1.3 Construction of *R using ultrapowers -- 7.1.4 Some basic properties of hypermodel *R -- 7.1.5 Hypermodels of R in richer languages -- 7.1.6 Some examples -- 7.1.7 References -- 7.2 The hyperuniverse -- 7.2.1 Doing mathematics in the language o
queuewatcher quiet.properties rsyncfilewatcher rsyncloginwatcher runErrLevel runErrLevel.template runRE runRE.template runVal runVal.template schemas selectrecs slxout sweepFiles.bash tempfile toplevelnotify transferredLabelFiles.lst updatelocalmvmactiveslist upload_eSerials.bash Utilities validationnotify vdatadev vdataqa vdatatst vSerials.bash wckbindata wckbinprovider wckbsweep wcp wcpFilesweep.groovy wcpinmatching wcpinmatchinghtmlfooter wcpinmatchinghtmlheader wcpinmatching-idebk wcpinmatchingmonthlyreport wcplabels wcplabelsaging wcplabelsamples wcpmanifest wcpmanifestdg1 wcpmatching wmsacqpoimport wmsacqpoimportmonthlyreport wmsinacqpoimport wmsinacqpoimporthtmlfooter wmsinacqpoimporthtmlheader wmsinacqpoimportmonthlyreport wmsinacqpoimport-qa-service wmsinacqpoimporttestenqueue wmsinpatron wmsinpatronhtmlfooter wmsinpatronhtmlheader wmsinpatronmonthlyreport wmsreports x12sweep xmlchunker xmlcleanup xmlcleanupnew xmlcleanuptest xmlcomposition XmlCompositionRequest.xsd xmlcompositionservice xmljoiner XmlToolsLib.jar continuous hypermodels of Brownian motion -- 7.4.3 Some examples -- 7.5 It244; Integral and Stochastic Differential Equations -- 7.5.1 Some general remarks -- 7.5.2 Wiener integral and lt244; integral -- 7.5.3 It244;'s lemma and the Stratonovitch integral -- 7.6 Solving Stochastic differential equations -- 7.7 Malliavin calculus -- 7.8 White noise analysis -- 7.9 Universality and homogeneity properties of hyperfinite models -- Appendix.
摘要:At the beginning of the new millennium, two unstoppable processes aretaking place in the world: (1) globalization of the economy; (2)information revolution. As a consequence, there is greaterparticipation of the world population in capital market investment, such as bonds and stocks and their derivatives.
