ブランク・スワン:デリバティブ取引における確率論の再定義<br>The Blank Swan : The End of Probability

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ブランク・スワン:デリバティブ取引における確率論の再定義
The Blank Swan : The End of Probability

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  • 製本 Hardcover:ハードカバー版/ページ数 496 p.
  • 言語 ENG
  • 商品コード 9780470725221
  • DDC分類 332.645

基本説明

It is not a diatribe against Nassim Taleb's The Black Swan, but criticises the whole background or framework of predictable and unpredictable events - white and black swans. The author redefines the components of the models needed to price and trade derivatives.

Full Description


October 19th 1987 was a day of huge change for the global finance industry. On this day the options market crashed, the Nobel Prize winning Black-Scholes formula failed and volatility smiles were born, and on this day Elie Ayache began his career, on the trading floor of the French Futures and Options Exchange. Experts everywhere sought to find the cause of the crisis, and ways to avoid a recurrence in the future, but the one thing that struck Elie that day was the belief that what actually happened on 19th October 1987 is simply non reproducible outside 19th October 1987 - you cannot reduce it to a chain of causes and effects that can then be reproduced or prevented in a theoretical model. The Blank Swan is Elie's highly original treatise on the financial markets - presenting a totally revolutionary rethinking of derivative pricing and technology. It is not a diatribe against Nassim Taleb's The Black Swan, but criticises the whole background or framework of predictable and unpredictable events - white and black swans.In this revolutionary book, Elie redefines the components of the models needed to price and trade derivatives, and redefines the actual trading of derivatives and derivative pricing. Most importantly he redefines the market itself against the common perceptions of both orthodox financial theory and the sociology of finance. This book will change the way that we think about options and trade volatility and establishes the missing link between quantitative modelling and the reality of the market.

Table of Contents

Introduction                                       xv
PART I WRITING AND EVENT 1 (122)
1 Writer of The Blank Swan 3 (28)
1.1 Prediction versus Prescription 3 (8)
1.1.1 My private Black Swan 3 (1)
1.1.2 Pierre Menard's trading room 4 (1)
1.1.3 Probability, replication, context 4 (1)
and beyond
1.1.4 Contingency 5 (1)
1.1.5 The process of change of contexts 6 (1)
1.1.6 Writing the Black Swan 7 (1)
1.1.7 Finding the context in The Black 8 (1)
Swan
1.1.8 Writing backwards 9 (1)
1.1.9 Poetry and The Black Swan 10 (1)
1.2 Generalizing Prediction 11 (7)
1.2.1 Postponing history 11 (1)
1.2.2 Incompatible contexts 11 (2)
1.2.3 Knowledge as prediction 13 (1)
1.2.4 True empiricism 14 (1)
1.2.5 Meta-contextual prediction and 15 (3)
backward causality
1.3 The Derivatives Market 18 (13)
1.3.1 Possibility, capacity and the 18 (1)
market of contingent claims
1.3.2 Market mechanics 19 (1)
1.3.3 Price and the implicate ontology 19 (2)
1.3.4 Technology of the future 21 (2)
1.3.5 Context change and the necessity 23 (1)
of jumps
1.3.6 The `derivative-derivative' trader 24 (1)
1.3.7 Bringing the Black Swan to nest 25 (1)
1.3.8 The regime-switching model as a 26 (1)
meta-contextual pricing tool
1.3.9 `Transcendental deduction' of the 27 (1)
derivatives market
1.3.10 A return to history 28 (3)
2 The Writing of Derivatives 31 (30)
2.1 First Steps on the Surface 31 (9)
2.1.1 Theoretical speculation versus 32 (1)
speculation
2.1.2 Rethinking probability 33 (1)
2.1.3 Nonarbitrage 34 (3)
2.1.4 Writing, difference and deferral 37 (1)
2.1.5 Reality of the market: the virtual 38 (2)
2.2 Introducing Contingency 40 (11)
2.2.1 Derivative writing as an 40 (1)
alternative to metaphysics
2.2.2 Inverting the logic 41 (1)
2.2.3 Present value versus present price 42 (1)
2.2.4 Derivative technology 43 (2)
2.2.5 From derivatives to contingent 45 (1)
claims
2.2.6 The medium of contingency 46 (1)
2.2.7 Possibility versus capacity 47 (2)
2.2.8 Immanent differentiation and 49 (2)
univocal contingency
2.3 The Pricing Surface 51 (10)
2.3.1 Reversibility of pricing and 51 (3)
absolute market
2.3.2 Price and exchange 54 (1)
2.3.3 The two faces of price and 55 (1)
reversion to the surface
2.3.4 The liquidity and the fold of 56 (2)
price
2.3.5 The new metaphysics of liquidity 58 (3)
and of the past of prices
3 The Event of the Market 61 (26)
3.1 From States of the World to Market 61 (4)
Prices
3.1.1 The market, a place of exchange 61 (2)
not of prediction
3.1.2 Value versus price 63 (1)
3.1.3 Elements of financial valuation 63 (1)
theory
3.1.4 The advent of derivatives and 64 (1)
market prices as states of the world
3.2 The Black-Scholes-Merton Paradigm 65 (5)
3.2.1 Price process and Brownian motion 65 (1)
3.2.2 The Black-Scholes revolution and 66 (1)
derivative pricing theory
3.2.3 The dynamic replication of 67 (1)
derivative instruments
3.2.4 A universal pricing formula 68 (2)
3.3 The Critique of Derivative Pricing 70 (5)
Theory
3.3.1 The real consequences of 70 (1)
derivative pricing theory
3.3.2 The very special mode of being of 71 (1)
the market
3.3.3 The market as given 72 (1)
3.3.4 The market as the `inversion' of 73 (2)
theory or the ambivalence of price
3.4 The Necessity of Meta-Contextual 75 (12)
Ascent
3.4.1 A new `logic' for a new science 75 (2)
3.4.2 New generations, endless 77 (1)
generation
3.4.3 The necessity of the context and 77 (2)
the necessity of its surpassing
3.4.4 A meta-contextual pricing tool 79 (3)
3.4.5 Technology of the future versus 82 (1)
knowledge of the future
3.4.6 The performative surpassing of 83 (4)
representation and possibility
4 Writing and the Market 87 (36)
4.1 Pierre Menard 87 (13)
4.1.1 The reality of contingency 87 (2)
4.1.2 The im-possibility of history 89 (2)
4.1.3 Writing history 91 (1)
4.1.4 The very sad writing of Pierre 92 (3)
Menard
4.1.5 The differential definition of 95 (2)
writing and the unpredictability of the
Quixote
4.1.6 The past of possibility 97 (3)
4.2 Reading and Writing 100(8)
4.2.1 The significance of replication 100(3)
and the turn to the virtual
4.2.2 Writing as forgetting 103(1)
4.2.3 Anti-memory as trading and 104(3)
literary creation
4.2.4 The resurfacing of writing 107(1)
4.3 Approaching the Market 108(15)
4.3.1 Univocity of the market 108(3)
4.3.2 Immanence of the market 111(2)
4.3.3 The sense of the market 113(2)
4.3.4 Announcing the genesis of the 115(1)
market
4.3.5 Originality of price and of the 116(2)
market
4.3.6 The Blank Swan 118(5)
PART II ABSOLUTE CONTINGENCY AND THE RETURN 123(72)
OF SPECULATION
5 The Necessity of Contingency 125(18)
5.1 Against Speculation 125(7)
5.1.1 Writing history (reprise) 125(1)
5.1.2 The writer's (and trader's) body 126(2)
5.1.3 Beyond possibility, capacity and 128(1)
ethics: a political interlude
5.1.4 State of power 129(2)
5.1.5 The absolute 131(1)
5.1.6 Absolute irony 132(1)
5.2 Speculative Materialism 132(11)
5.2.1 Speculative metaphysics 132(1)
5.2.2 The shortcoming of Kant's 133(1)
critical philosophy
5.2.3 Meillassoux's proposition: the 134(2)
absolute necessity of contingency
5.2.4 Is the absolute thinkable? 136(1)
5.2.5 The absolutization of facticity 137(1)
5.2.6 Positively thinking the absolute 138(1)
5.2.7 Chaos, yet not without structure 139(4)
6 Passage to the Future 143(20)
6.1 From Possibility to Inexistence 143(7)
6.1.1 The passing of the possible 144(1)
6.1.2 Factual ontology 145(1)
6.1.3 Cantor's set theory as 146(1)
meta-ontology
6.1.4 Factual derivation of the 147(1)
un-totalization
6.1.5 Effective contingency versus 148(1)
absolute contingency
6.1.6 Speculative result versus 149(1)
metaphysical result
6.2 The Passage 150(6)
6.2.1 The future and the world 150(1)
6.2.2 Passage to the future 151(1)
6.2.3 Gravity of the world 152(1)
6.2.4 The quality of happening 153(2)
6.2.5 Turning the future on 155(1)
6.3 The Future 156(7)
6.3.1 Badiou and Deleuze 156(1)
6.3.2 Ontologizing the passage 157(1)
6.3.3 Cutting to the future 158(1)
6.3.4 A paper rotation 159(1)
6.3.5 Keeping only the future 160(3)
7 Necessity of the Future 163(14)
7.1 A Model World 163(6)
7.1.1 Derivatives world 163(1)
7.1.2 The event of trading the 164(2)
derivative
7.1.3 Exchange as fundamental ontology 166(1)
7.1.4 The market as the exchange of 167(1)
knowledge
7.1.5 The market as the process of 168(1)
history
7.1.6 Arche-exchange 168(1)
7.2 The Implied Absolute 169(8)
7.2.1 The absolute is in the inversion 169(2)
7.2.2 Why derivative pricing is not a 171(2)
human science
7.2.3 The implied volatility smile is 173(1)
the absolute truth
7.2.4 Implication is faster than thought 174(1)
7.2.5 The market as the last absolute 175(2)
8 Necessity of Writing 177(18)
8.1 Radical Speculation 177(6)
8.1.1 Elevating implication 177(1)
8.1.2 The `What?' question 178(1)
8.1.3 Thinking speculation reflexively 178(1)
8.1.4 Critical speculation 179(2)
8.1.5 Absolute speculation 181(1)
8.1.6 Implication as the radicalization 182(1)
of speculation
8.2 The Pricing Alternative 183(6)
8.2.1 Price as a crossing 183(1)
8.2.2 The absolutization of mathematics 183(1)
8.2.3 The mathematics of price 184(2)
8.2.4 Price as the exchange of 186(1)
metaphysics and possibility
8.2.5 The `letter' of the necessity of 187(1)
contingency
8.2.6 Immanence and materiality of price 188(1)
8.3 From the Market to Work 189(6)
8.3.1 Price is the other of thought 189(1)
8.3.2 Meillassoux's body 190(1)
8.3.3 The work (of the trader, of the 191(1)
poet)
8.3.4 Writing the world 192(3)
PART III FLIGHT TO SYDNEY, OR THE GENESIS OF 195(146)
THE BOOK
9 The Mathematics of Price 197(20)
9.1 The Absolute without Thought 197(8)
9.1.1 Mathematical thinkability 197(2)
9.1.2 The absolute without necessity 199(2)
9.1.3 Impossible exchange 201(2)
9.1.4 Writing as nonmetaphysical 203(2)
speculation
9.2 The Absolute within Thought 205(12)
9.2.1 Philosophy of the event 205(3)
9.2.2 Necessity as tension 208(1)
9.2.3 The event of thought 209(2)
9.2.4 Deep necessity versus superficial 211(1)
speculation
9.2.5 The cohesion of thought 212(5)
10 Barton Fink 217(20)
10.1 The Pledge 217(7)
10.1.1 Passivity of thought and the 217(2)
exchange surface
10.1.2 Fiction, fabrication and dynamic 219(2)
programming
10.1.3 The first mark on the surface 221(1)
10.1.4 The partition 222(2)
10.2 The Turn 224(13)
10.2.1 The turn of the world 224(1)
10.2.2 The violence in movie-making 225(3)
10.2.3 The probability distribution 228(1)
10.2.4 Partition of the world and shoe 229(3)
distribution
10.2.5 The bellhop 232(1)
10.2.6 Time frame and deadline 233(1)
10.2.7 Woman, or the end of the 234(1)
partition
10.2.8 The sum total of possibilities 235(2)
and the problem in the head office
11 The Narrative Adventure 237(16)
11.1 The Line of Flight 237(6)
11.1.1 The other end of the world 237(1)
11.1.2 The book of derivatives 238(1)
11.1.3 Tour du monde versus point of 239(2)
the world
11.1.4 Flight to Sydney, or the 241(2)
retro-adventure
11.2 The POINT of the World 243(10)
11.2.1 Flight to the virtual 243(3)
11.2.2 Eternal turn versus eternal 246(1)
return
11.2.3 Writing after the departure of 247(2)
possibility
11.2.4 The narrative from the point of 249(1)
the world
11.2.5 The Australian bank, book and 250(3)
market
12 Out of the Box 253(30)
12.1 The Purple Gastropod 253(8)
12.1.1 Quants and the enterprise-wide 253(1)
system
12.1.2 Integration versus 254(1)
differentiation
12.1.3 How to be Australian 255(2)
12.1.4 Creators of a boite 257(2)
12.1.5 After dinner 259(2)
12.2 The Point of Return, the Point of 261(8)
Inversion
12.2.1 The mark, the market and the 261(2)
point of return of the world
12.2.2 Turning the world into a point, 263(1)
inverting the surface
12.2.3 Blindness and insight 264(1)
12.2.4 Inverting the world, and the 265(3)
only remaining question
12.2.5 From theory to the narrative 268(1)
adventure, to the only remaining book
12.3 How to be a Writer 269(14)
12.3.1 My place as a writer 269(3)
12.3.2 My memory of the market 272(4)
12.3.3 Walking on my head 276(3)
12.3.4 Double writer, double trajectory 279(4)
13 The Prestige 283(22)
13.1 Finding the Market, Binding the Book 283(10)
13.1.1 Reversibility between the book 283(3)
and the market
13.1.2 Sydney process and writing 286(1)
process
13.1.3 Marketing the philosophy book, 287(1)
and my trademark
13.1.4 The infinite duration of writing 288(3)
13.1.5 The question of the book, the 291(2)
equation of the book
13.2 Absolute Deterritorialization 293(12)
13.2.1 Making the point of the market 293(5)
13.2.2 Head office and blank box 298(2)
13.2.3 The revolutionary and virtual 300(3)
exotic market
13.2.4 How the plane of immanence takes 303(2)
precedence
14 The Geographical Process 305(36)
14.1 The Field of Ruins 305(15)
14.1.1 Ancient Greece, the market and 305(1)
Australia
14.1.2 The market as field of ruins and 306(2)
geographical process
14.1.3 The method of the intuition of 308(2)
the market
14.1.4 The becoming of the book and the 310(3)
pressing of the ruins
14.1.5 The dwelling of the virtual and 313(1)
the implosion of the ruins
14.1.6 The book after the market and 314(4)
the cross of history
14.1.7 Pulling out the tool, drawing 318(2)
the book and withdrawing in a hotel
14.2 Landing on the Market 320(21)
14.2.1 The tool to write the market 320(1)
14.2.2 Reality of the market 320(7)
14.2.3 Absolute exchange 327(2)
14.2.4 Exchange as a category of its own 329(3)
14.2.5 Option volatility smile and 332(4)
exchange
14.2.6 The heart of the market 336(5)
PART IV CONVERSION OF CREDIT INTO EQUITY, OR 341(122)
THE GENESIS OF THE MARKET
15 History of the Market 343(22)
15.1 The Conversion 343(4)
15.1.1 The significance of the 343(1)
convertible bond
15.1.2 Genesis of the market 343(1)
15.1.3 Passivity and activity 344(1)
15.1.4 The moment of the conversion 345(2)
15.2 Possibility versus Contingency 347(10)
15.2.1 Contingent claim versus 347(1)
projected possibility
15.2.2 Pricing versus evaluation 347(1)
15.2.3 Price and the stochastic process 348(3)
15.2.4 The meaning of the market and 351(2)
the volatility smile
15.2.5 Possibility unmasked and return 353(1)
to the virtual
15.2.6 Backward possibility 354(3)
15.3 The Market 357(8)
15.3.1 The privilege of the market 357(1)
15.3.2 The place of the trader 358(2)
15.3.3 The trader as a writer of last 360(1)
resort
15.3.4 The end of the flight in 361(1)
possibility
15.3.5 Summary 362(3)
16 From Debt to Equity 365(20)
16.1 Deduction of the Contingent Claim 365(5)
16.1.1 Debt, death and contingency 365(1)
16.1.2 The morphing of debt into equity 366(1)
16.1.3 The conversion/conservation of 367(1)
writing
16.1.4 Company of the future 368(2)
16.2 Deduction of the Exchange 370(9)
16.2.1 The past of debt and the 370(1)
definition of probability
16.2.2 The exchange place as the 371(1)
conversion of face
16.2.3 Breaking the circle of 372(1)
representation
16.2.4 The market without possibility 373(2)
16.2.5 The market as the medium of 375(1)
contingency
16.2.6 The impossible exchange 376(3)
16.3 Deduction of Price 379(6)
16.3.1 Price as the `value' of the 379(2)
contingent claim
16.3.2 How does price differentiate? 381(1)
16.3.3 The atemporal pit of price 382(3)
17 The Market and the Philosophy of 385(30)
Difference
17.1 The Pit of Price 385(7)
17.1.1 The price of exotics as the key 385(1)
17.1.2 Price as intensive difference 386(2)
17.1.3 Price as meaning 388(2)
17.1.4 Price and the intensive 390(2)
conception of time
17.2 The Market and Time 392(11)
17.2.1 The market as noncausal 392(3)
redistribution of probability
distributions
17.2.2 Creative time 395(2)
17.2.3 Creation as eternal return 397(1)
17.2.4 The single dice-throw 398(5)
17.3 The Market and Difference 403(12)
17.3.1 The pure order of time 403(2)
17.3.2 Internal difference 405(1)
17.3.3 The market as philosophy and 406(3)
conversion as meta-philosophy
17.3.4 Immanence and the ontology of 409(2)
multiplicities
17.3.5 Reawakening the virtual 411(4)
18 Future of the Market 415(34)
18.1 The Category of Price 415(12)
18.1.1 Price as interface 415(3)
18.1.2 Possibility as a pretext for 418(2)
writing
18.1.3 The past of possibility 420(1)
18.1.4 The aleatory point lying at the 421(3)
heart of the contingent claim and the
exchange
18.1.5 The market, as exchange, is the 424(2)
answer to the impossible exchange
18.1.6 Time-to-expiry versus place 426(1)
18.2 The Step Beyond 427(13)
18.2.1 Reactivating the conversion 427(2)
18.2.2 Possibility is only a tool 429(3)
18.2.3 The pricing tool 432(1)
18.2.4 Making money in the market 433(2)
18.2.5 The market as alternative to 435(1)
probability
18.2.6 Suppressing possibility 436(1)
18.2.7 Thinking of contingency instead 437(2)
18.2.8 Beyond the financial market 439(1)
18.3 Place and Contingency 440(8)
18.3.1 The sense of place 440(2)
18.3.2 The power of price 442(1)
18.3.3 A life in contingency 443(2)
18.3.4 Success and succession 445(1)
18.3.5 Becoming the market 446(2)
18.4 Conclusion 448(1)
19 Appendix 1 The Logic and Mathematics of 449(10)
Regime Switching
A1.1 Description of the Regime-Switching 450(2)
Model
A1.1.1 Regimes 450(1)
A1.1.2 Risk-free yield curve 451(1)
A1.1.3 Dividends 451(1)
A1.1.4 Regime probability 452(1)
A1.2 General Backward Equations 452(2)
A1.2.1 Stand-alone default regime 453(1)
A1.2.2 Coupled nondefault regimes 453(1)
A1.2.3 Fixed dividends 454(1)
A1.2.4 Proportional dividends 454(1)
A1.2.5 Vanilla calls 454(1)
A1.3 Credit Default Swaps 454(2)
A1.3.1 Definitions 454(1)
A1.3.2 Value in default 455(1)
A1.3.3 Backward equation 455(1)
A1.4 Calibration 456(1)
A1.5 Recalibration 456(3)
20 Appendix 2 From `Being and Time' to 459(4)
`Being and Place' with Jeff Malpas
Bibliography 463(4)
Index 467