图书介绍
数理金融初步 原书第3版 英文版PDF|Epub|txt|kindle电子书版本下载
- （美）罗斯（SHELDONM.ROSS）著 著
- 出版社： 北京：机械工业出版社
- ISBN：9787111433026
- 出版时间：2013
- 标注页数：307页
- 文件大小：38MB
- 文件页数：320页
- 主题词：金融学－数理经济学－英文
PDF下载
下载说明
数理金融初步 原书第3版 英文版PDF格式电子书版下载
下载的文件为RAR压缩包。需要使用解压软件进行解压得到PDF格式图书。建议使用BT下载工具Free Download Manager进行下载,简称FDM(免费,没有广告,支持多平台）。本站资源全部打包为BT种子。所以需要使用专业的BT下载软件进行下载。如BitComet qBittorrent uTorrent等BT下载工具。迅雷目前由于本站不是热门资源。不推荐使用！后期资源热门了。安装了迅雷也可以迅雷进行下载！
（文件页数 要大于 标注页数，上中下等多册电子书除外）
注意：本站所有压缩包均有解压码： 点击下载压缩包解压工具
图书目录
1 Probability1
1.1 Probabilities and Events1
1.2 Conditional Probability5
1.3 Random Variables and Expected Values9
1.4 Covariance and Correlation14
1.5 Conditional Expectation16
1.6 Exercises17
2 Normal Random Variables22
2.1 Continuous Random Variables22
2.2 Normal Random Variables22
2.3 Properties of Normal Random Variables26
2.4 The Central Limit Theorem29
2.5 Exercises31
3 Brownian Motion and Geometric Brownian Motion34
3.1 Brownian Motion34
3.2 Brownian Motion as a Limit of Simpler Models35
3.3 Geometric Brownian Motion38
3.3.1 Geometric Brownian Motion as a Limit of Simpler Models40
3.4 The Maximum Variable40
3.5 The Cameron-Martin Theorem45
3.6 Exercises46
4 Interest Rates and Present Value Analysis48
4.1 Interest Rates48
4.2 Present Value Analysis52
4.3 Rate of Return62
4.4 Continuously Varying Interest Rates65
4.5 Exercises67
5 Pricing Contracts via Arbitrage73
5.1 An Example in Options Pricing73
5.2 Other Examples of Pricing via Arbitrage77
5.3 Exercises86
6 The Arbitrage Theorem92
6.1 The Arbitrage Theorem92
6.2 The Mulfiperiod Binomial Model96
6.3 Proof of the Arbitrage Theorem98
6.4 Exercises102
7 The Black-Scholes Formula106
7.1 Introduction106
7.2 The Black-Scholes Formula106
7.3 Properties of the Black-Scholes Option Cost110
7.4 The Delta Hedging Arbitrage Strategy113
7.5 Some Derivations118
7.5.1 The Black-Scholes Formula119
7.5.2 The Partial Derivatives121
7.6 European Put Options126
7.7 Exercises127
8 Additional Results on Options131
8.1 Introduction131
8.2 Call Options on Dividend-Paying Securities131
8.2.1 The Dividend for Each Share of the Security Is Paid Continuously in Time at a Rate Equal to a Fixed Fraction f of the Price of the Security132
8.2.2 For Each Share Owned, a Single Payment of fS(td) Is Made at Time td133
8.2.3 For Each Share Owned, a Fixed Amount D Is to Be Paid at Time td134
8.3 Pricing American Put Options136
8.4 Adding Jumps to Geometric Brownian Motion142
8.4.1 When the Jump Distribution Is Lognormal144
8.4.2 When the Jump Distribution Is General146
8.5 Estimating the Volatility Parameter148
8.5.1 Estimating a Population Mean and Variance149
8.5.2 The Standard Estimator of Volatility150
8.5.3 Using Opening and Closing Data152
8.5.4 Using Opening, Closing, and High-Low Data153
8.6 Some Comments155
8.6.1 When the Option Cost Differs from the Black-Scholes Formula155
8.6.2 When the Interest Rate Changes156
8.6.3 Final Comments156
8.7 Appendix158
8.8 Exercises159
9 Valuing by Expected Utility165
9.1 Limitations of Arbitrage Pricing165
9.2 Valuing Investments by Expected Utility166
9.3 The Portfolio Selection Problem174
9.3.1 Estimating Covariances184
9.4 Value at Risk and Conditional Value at Risk184
9.5 The Capital Assets Pricing Model187
9.6 Rates of Return: Single-Period and Geometric Brownian Motion188
9.7 Exercises190
10 Stochastic Order Relations193
10.1 First-Order Stochastic Dominance193
10.2 Using Coupling to Show Stochastic Dominance196
10.3 Likelihood Ratio Ordering198
10.4 A Single-Period Investment Problem199
10.5 Second-Order Dominance203
10.5.1 Normal Random Variables204
10.5.2 More on Second-Order Dominance207
10.6 Exercises210
11 Optimization Models212
11.1 Introduction212
11.2 A Deterministic Optimization Model212
11.2.1 A General Solution Technique Based on Dynamic Programming213
11.2.2 A Solution Technique for Concave Return Functions215
11.2.3 The Knapsack Problem219
11.3 Probabilistic Optimization Problems221
11.3.1 A Gambling Model with Unknown Win Probabilities221
11.3.2 An Investment Allocation Model222
11.4 Exercises225
12 Stochastic Dynamic Programming228
12.1 The Stochastic Dynamic Programming Problem228
12.2 Infinite Time Models234
12.3 Optimal Stopping Problems239
12.4 Exercises244
13 Exotic Options247
13.1 Introduction247
13.2 Barrier Options247
13.3 Asian and Lookback Options248
13.4 Monte Carlo Simulation249
13.5 Pricing Exotic Options by Simulation250
13.6 More Efficient Simulation Estimators252
13.6.1 Control and Antithetic Variables in the Simulation of Asian and Lookback Option Valuations253
13.6.2 Combining Conditional Expectation and Importance Sampling in the Simulation of Barrier Option Valuations257
13.7 Options with Nonlinear Payoffs258
13.8 Pricing Approximations via Multiperiod Binomial Models259
13.9 Continuous Time Approximations of Barrier and Lookback Options261
13.10 Exercises262
14 Beyond Geometric Brownian Motion Models265
14.1 Introduction265
14.2 Crude Oil Data266
14.3 Models for the Crude Oil Data272
14.4 Final Comments274
15 Autoregressive Models and Mean Reversion285
15.1 The Autoregressive Model285
15.2 Valuing Options by Their Expected Return286
15.3 Mean Reversion289
15.4 Exercises291
Index303