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1.

図書
図書
1. The volatility smile (: hardback)
Emanuel Derman, Michael B. Miller ; with contributions by David Park
出版情報: Hoboken, N.J. : Wiley, c2016  xv, 512 p. ; 24 cm
シリーズ名: Wiley finance series
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2.

図書
図書
2. Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models
Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti
出版情報: Chichester : Wiley, 2010  xxxi, 143 p. ; 23 cm
シリーズ名: Wiley finance series
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目次情報: 続きを見る
Preface
Acknowledgements
About the Authors
Notation and List of Symbols
Introduction: Credit Modelling Pre- and In-Crisis / 1：
Bottom-up models / 1.1：
Compound correlation / 1.2：
Base correlation / 1.3：
Implied Copula / 1.4：
Expected Tranche Loss Surface / 1.5：
Top (down) framework / 1.6：
GPL and GPCL models / 1.7：
Structure of the book / 1.8：
Market Quotes / 2：
Credit indices / 2.1：
CDO tranches / 2.2：
Gaussian Copula Model and Implied Correlation / 3：
One-factor Gaussian Copula model / 3.1：
Finite pool homogeneous one-factor Gaussian Copula model / 3.1.1：
Finite pool heterogeneous one-factor Gaussian Copula model / 3.1.2：
Large pool homogeneous one-factor Gaussian Copula model / 3.1.3：
Double-t Copula Model / 3.2：
Compound correlation and base correlation / 3.3：
Existence and non-monotonicity of market spread as a function of compound correlation / 3.4：
Invertibility limitations of compound correlation: pre-crisis / 3.5：
Is base correlation a solution to the problems of compound correlation? / 3.6：
Can the Double-t Copula flatten the Gaussian base correlation skew? / 3.8：
Summary on implied correlation / 3.9：
Consistency across Capital Structure: Implied Copula / 4：
Calibration of Implied Copula / 4.1：
Two-stage regularization / 4.2：
Summary of considerations around Implied Copula / 4.3：
Consistency across Capital Structure and Maturities: Expected Tranche Loss / 5：
Index and tranche NPV as a function of ETL / 5.1：
Numerical results / 5.2：
Summary on Expected (Equity) Tranche Loss / 5.3：
A Fully Consistent Dynamical Model: Generalized-Poisson Loss Model / 6：
Loss dynamics / 6.1：
Model limits / 6.2：
Model calibration / 6.3：
Detailed calibration procedure / 6.4：
Calibration results / 6.5：
Application to More Recent Data and the Crisis / 7：
Compound correlation in-crisis / 7.1：
Base correlation in-crisis / 7.2：
Implied Copula in-crisis / 7.3：
Expected Tranche Loss surface in-crisis / 7.4：
Deterministic piecewise constant recovery rates / 7.4.1：
Generalized-Poisson Loss model in-crisis / 7.5：
Final Discussion and Conclussion / 8：
There are more things in heaven and earth, Horatioà / 8.1：
àThan are dreamt of in your philosophy / 8.2：
Bibliography
Index
Preface
Acknowledgements
About the Authors
3.

図書
図書
3. Contemporary quantitative finance : essays in honour of Eckhard Platen
Carl Chiarella, Alexander Novikov, editors
出版情報: Heidelberg : Springer, c2010  x, 423 p. ; 24 cm
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4.

図書
図書
4. Financial modeling : a backward stochastic differential equations perspective
Stéphane Crépey
出版情報: Berlin : Springer, c2013  xix, 459 p. ; 24 cm
シリーズ名: Springer finance ; textbooks
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5.

図書
図書
5. More mathematical finance
Mark S. Joshi
出版情報: Melbourne : Pilot Whale Press, 2011  xv, 484 p. ; 27 cm
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6.

図書
図書
6. Mathematics for economics and finance (: hbk ; : pbk)
Michael Harrison and Patrick Waldron
出版情報: London : Routledge, 2011  xxiii, 520 p. ; 25 cm
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7.

図書
図書
7. Multiscale stochastic volatility for equity, interest rate, and credit derivatives
Jean-Pierre Fouque ... [et al.]
出版情報: Cambridge ; Tokyo : Cambridge University Press, 2011  xiii, 441 p. ; 26 cm
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目次情報: 続きを見る
Introduction
The Black-Scholes Theory of Derivative Pricing / 1：
Market Model / 1.1：
Derivative Contracts / 1.2：
Replicating Strategies / 1.3：
Risk-Neutral Pricing / 1.4：
Risk-Neutral Expectations and Partial Differential Equations / 1.5：
American Options and Free Boundary Problems / 1.6：
Path-Dependent Derivatives / 1.7：
First-Passage Structural Approach to Default / 1.8：
Multidimensional Stochastic Calculus / 1.9：
Complete Market / 1.10：
Introduction to Stochastic Volatility Models / 2：
Implied Volatility Surface / 2.1：
Local Volatility / 2.2：
Stochastic Volatility Models / 2.3：
Derivative Pricing / 2.4：
General Results on Stochastic Volatility Models / 2.5：
Summary and Conclusions / 2.6：
Volatility Time Scales / 3：
A Simple Picture of Fast and Slow Time Scales / 3.1：
Ergodicity and Mean-Reversion / 3.2：
Examples of Mean-Reverting Processes / 3.3：
Time Scales in Synthetic Returns Data / 3.4：
Time Scales in Market Data / 3.5：
Multiscale Models / 3.6：
First-Order Perturbation Theory / 4：
Option Pricing under Multiscale Stochastic Volatility / 4.1：
Formal Regular and Singular Perturbation Analysis / 4.2：
Parameter Reduction / 4.3：
First-Order Approximation: Summary and Discussion / 4.4：
Accuracy of First-Order Approximation / 4.5：
Implied Volatility Formulas and Calibration / 5：
Approximate Call Prices and Implied Volatilities / 5.1：
Calibration Procedure / 5.2：
Illustration with S&P 500 Data / 5.3：
Maturity Cycles / 5.4：
Higher-Order Corrections / 5.5：
Application to Exotic Derivatives / 6：
European Binary Options / 6.1：
Barrier Options / 6.2：
Asian Options / 6.3：
Application to American Derivatives / 7：
American Options Valuation under Stochastic Volatility / 7.1：
Stochastic Volatility Correction for American Put / 7.2：
Summary / 7.3：
Hedging Strategies / 8：
Black-Scholes Delta Hedging / 8.1：
The Strategy and its Cost / 8.2：
Mean Self-Financing Hedging Strategy / 8.3：
A Strategy with Frozen Parameters / 8.4：
Strategies Based on Implied Volatilities / 8.5：
Martingale Approach to Pricing / 8.6：
Non-Markovian Models of Volatility / 8.7：
Extensions / 9：
Dividends and Varying Interest Rates / 9.1：
Probabilistic Representation of the Approximate Prices / 9.2：
Second-Order Correction from Fast Scale / 9.3：
Second-Order Corrections from Slow and Fast Scales / 9.4：
Periodic Day Effect / 9.5：
Markovian Jump Volatility Models / 9.6：
Multidimensional Models / 9.7：
Around the Heston Model / 10：
The Heston Model / 10.1：
Approximations to the Heston Model / 10.2：
A Fast Mean-Reverting Correction to the Heston Model / 10.3：
Large Deviations and Short Maturity Asymptotics / 10.4：
Other Applications / 11：
Application to Variance Reduction in Monte Carlo Computations / 11.1：
Portfolio Optimization under Stochastic Volatility / 11.2：
Application to CAPM Forward-Looking Beta Estimation / 11.3：
Interest Rate Models / 12：
The Vasicek Model / 12.1：
The Bond Price and its Expansion / 12.2：
The Quadratic Model / 12.3：
The CIR Model / 12.4：
Options on Bonds / 12.5：
Structural Models with Stochastic Volatility / 13：
Single-Name Credit Derivatives / 13.1：
Multiname Credit Derivatives / 13.2：
Multiscale Intensity-Based Models / 14：
Background on Stochastic Intensity Models / 14.1：
Symmetric Vasicek Model / 14.2：
Homogeneous Group Structure / 14.4：
Epilogue / 15：
References
Index
Introduction
The Black-Scholes Theory of Derivative Pricing / 1：
Market Model / 1.1：
8.

図書
図書
8. Introduction to stochastic differential equations with applications to modelling in biology and finance
Carlos A. Braumann
出版情報: Hoboken, NJ : Wiley, 2019  xv, 283 p. ; 24 cm
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9.

図書
図書
9. Advances in financial machine learning
Marcos López de Prado
出版情報: Hoboken, N.J. : Wiley, c2018  xxi, 366 p. ; 24 cm
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10.

図書
図書
10. Algorithmic and high-frequency trading
Álvaro Cartea, Sebastian Jaimungal, José Penalva
出版情報: Cambridge : Cambridge University Press, 2015  xv, 343 p. ; 26 cm
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