確率解析によるオプション理論:数理ファイナンス入門(テキスト)<br>Option Theory with Stochastic Analysis : An Introduction to Mathematical Finance (Universitext)

個数:

確率解析によるオプション理論:数理ファイナンス入門(テキスト)
Option Theory with Stochastic Analysis : An Introduction to Mathematical Finance (Universitext)

  • 在庫がございません。海外の書籍取次会社を通じて出版社等からお取り寄せいたします。
    通常6~9週間ほどで発送の見込みですが、商品によってはさらに時間がかかることもございます。
    重要ご説明事項
    1. 納期遅延や、ご入手不能となる場合がございます。
    2. 複数冊ご注文の場合、分割発送となる場合がございます。
    3. 美品のご指定は承りかねます。

  • 提携先の海外書籍取次会社に在庫がございます。通常2週間で発送いたします。
    重要ご説明事項
    1. 納期遅延や、ご入手不能となる場合が若干ございます。
    2. 複数冊ご注文の場合、分割発送となる場合がございます。
    3. 美品のご指定は承りかねます。
  • 【重要:入荷遅延について】
    各国での新型コロナウィルス感染拡大により、洋書・洋古書の入荷が不安定になっています。
    弊社サイト内で表示している標準的な納期よりもお届けまでに日数がかかる見込みでございます。
    申し訳ございませんが、あらかじめご了承くださいますようお願い申し上げます。

  • 製本 Paperback:紙装版/ペーパーバック版/ページ数 172 p.
  • 商品コード 9783540405023

Full Description


This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.

Table of Contents

1 Introduction                                     1  (10)
1.1 An Introduction to Options in Finance 1 (5)
1.1.1 Empirical Finance 5 (1)
1.1.2 Stochastic Finance 6 (1)
1.1.3 Computational Finance 6 (1)
1.2 Some Useful Material from Probability 6 (5)
Theory
2 Statistical Analysis of Data from the Stock 11 (22)
Market
2.1 The Black & Scholes Model 12 (3)
2.2 Logarithmic Returns from Stocks 15 (4)
2.3 Scaling Towards Normality 19 (1)
2.4 Heavy-Tailed and Skewed Logreturns 20 (3)
2.5 Logreturns and the Normal Inverse 23 (5)
Gaussian Distribution
2.6 An Alternative to the Black & Scholes 28 (1)
Model
2.7 Logreturns and Autocorrelation 28 (3)
2.8 Conclusions Regarding the Choice of Stock 31 (2)
Price Model
3 An Introduction to Stochastic Analysis 33 (20)
3.1 The Ito Integral 33 (5)
3.2 The Ito Formula 38 (6)
3.3 Geometric Brownian Motion as the Solution 44 (2)
of a Stochastic Differential Equation
3.4 Conditional Expectation and Martingales 46 (7)
4 Pricing and Hedging of Contingent Claims 53 (46)
4.1 Motivation from One-Period Markets 54 (4)
4.2 The Black & Scholes Market and Arbitrage 58 (2)
4.3 Pricing and Hedging of Contingent Claims 60 (13)
X = f (S(T))
4.3.1 Derivation of the Black & Scholes 60 (3)
Partial Differential Equation
4.3.2 Solution of the Black & Scholes 63 (2)
Partial Differential Equation
4.3.3 The Black & Scholes Formula for Call 65 (2)
Options
4.3.4 Hedging of Call Options 67 (3)
4.3.5 Hedging of General Options 70 (2)
4.3.6 Implied Volatility 72 (1)
4.4 The Girsanov Theorem and Equivalent 73 (4)
Martingale Measures
4.5 Pricing and Hedging of General Contingent 77 (4)
Claims
4.5.1 An Example: a Chooser Option 79 (2)
4.6 The Markov Property and Pricing of 81 (2)
General Contingent Claims
4.7 Contingent Claims on Many Underlying 83 (3)
Stocks
4.8 Completeness, Arbitrage and Equivalent 86 (2)
Martingale Measures
4.9 Extensions to Incomplete Markets 88 (11)
4.9.1 Energy Markets and Incompleteness 91 (8)
5 Numerical Pricing and Hedging of Contingent 99 (22)
Claims
5.1 Pricing and Hedging with Monte Carlo 99 (13)
Methods
5.1.1 Pricing and Hedging of Contingent 100(4)
Claims with Payoff of the Form f(ST)
5.1.2 The Accuracy of Monte Carlo Methods 104(1)
5.1.3 Pricing of Contingent Claims on Many 105(2)
Underlying Stocks
5.1.4 Pricing of Path-Dependent Claims 107(5)
5.2 Pricing and Hedging with the Finite 112(9)
Difference Method
A Solutions to Selected Exercises 121(36)
References 157(4)
Index 161

354040503.TOC3540405038



Assessing Component-Based Systems 1 (20)

Alejandra Cechich, Mario Piattini, and Antonio

Vallecillo

Part I COTS Selection

COTS-Based Requirements Engineering 21 (19)

Carina Alves

Domain-Based COTS-Product Selection Method 40 (24)

Hareton K.N. Leung and Karl R.P.H. Leung

STALE: Social Technical Approach to COTS 64 (21)

Software Evaluation

Douglas Kunda

SCARLET: Integrated Process and Tool Support 85 (14)

for Selecting Software Components

N.A.M. Maiden, V. Croce, H. Kim, G. Sajeva,

and S. Topuzidou

Part II Testing and Certification

Component-Based Software: An Overview of Testing 99 (29)

Auri Marcelo Rizzo Vincenzi, Jos Carlos

Maldonado, Marcio Eduardo Delamaro, Edmundo

S駻gio Spoto, and W. Eric Wong

Setting a Framework for Trusted Component 128(31)

Trading

John Morris, C. Peng Lam, Gary A. Bundelt,

Gareth Lee, and Kris Parker

Component Integration through Built-in Contract 159(25)

Testing

Hans-Gerhard Gross, Colin Atkinson, and

Franck Barbier

Part III Software Component Quality Models

Quality Characteristics for Software 184(23)

Components: Hierarchy and Quality Guides

R馮is P.S. Sim縊 and Arnaldo D. Belchior

Driving Component-Based Software Development 207(18)

through Quality Modelling

Colin Atkinson, Christian Bunse, and J gen

W t

Towards a Quality Model for the Selection of 225(21)

ERP Systems

Pere Botella, Xavier Burgu駸 , Juan P.

Carvallo, Xavier Franck, Joan A. Pastor, and

Carme Quer

Maturing Architectures and Components in 246(13)

Software Product Lines

Jan Bosch

Part IV Formal Approaches to Quality Assessment

Assessment of High Integrity Software 259(28)

Components for Completeness, Consistency,

Fault-Tolerance, and Reliability

Hye Yeon Kim, Kshamta Jerath, and Frederick

Sheldon

Reasoning about Software Architectures with 287(39)

Contractually Specified Components

Ralf H. Reussner, Iman H. Poernomo, and Heinz

W. Schmidt

Reuse of Formal Verification Efforts of 326(26)

Incomplete Models at the Requirements

Specification Stage

Rebeca P. Diaz-Redondo, Jose J. Pazos-Arias,

and Ana Fern疣dez- Vilas

Part V CBSD Management

Risk Management of COTS Based Systems 352(22)

Development

Louis C. Rose

A Metrics-Guided Framework for Cost and Quality 374(29)

Management of Component-Based Software

Sahra Sedigh-Ali, Arif Ghafoor, and Raymond

A. Paul

Author Index 403