Martin Baxter供職于野村證券，曾連續(xù)4年任劍橋大學(xué)彭布羅克學(xué)院的院士，并曾訪問大不列顛哥倫比亞大學(xué)1年，多次在歐洲和北美的學(xué)術(shù)和金融機(jī)構(gòu)作特邀報(bào)告。Andrew Rennie畢業(yè)于劍橋大學(xué)?，F(xiàn)為美林歐洲公司的首席債券分析師。
圖書目錄
The parable of the bookmaker 1 Chapter 1 Introduction 3 1.1 Expectation pricing 4 1.2 Arbitrage pricing 7 1.3 Expectation vs arbitrage 9 Chapter 2 Discrete processes 10 2.1 The binomial branch model 10 2.2 The binomial tree model 17 2.3 Binomial representation theorem 28 2.4 Overture to continuous models 41 Chapter 3 Continuous processes 44 3.1 Continuous processes 45 3.2 Stochastic calculus 51 3.3 It? calculus 57 3.4 Change of measure——the C-M-G theorem 63 3.5 Martingale representation theorem 76 3.6 Construction strategies 80 3.7 Black-Scholes model 83 3.8 Black-Scholes in action 92 Chapter 4 Pricing market securities 99 4.1 Foreign exchange 99 4.2 Equities and dividends 106 4.3 Bonds 112 4.4 Market price of risk 116 4.5 Quantos 122 Chapter 5 Interest rates 128 5.1 The interest rate market 129 5.2 A simple model 135 5.3 Single-factor HJM 142 5.4 Short-rate models 149 5.5 Multi-factor HJM 158 5.6 Interest rate products 163 5.7 Multi-factor models 172 Chapter 6 Bigger models 178 6.1 General stock model 178 6.2 Log-normal models 181 6.3 Multiple stock models 183 6.4 Numeraires 189 6.5 Foreign currency interest-rate models 193 6.6 Arbitrage-free complete models 196 Appendices A1 Further reading 201 A2 Notation 205 A3 Answers to exercises 209 A4 Glossary of technical terms 216 Index 228
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