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図書

図書
Damien Lamberton, Bernard Lapeyre
出版情報: Boca Raton, FL : Chapman & Hall/CRC, c2008  253 p. ; 25 cm
シリーズ名: Chapman & Hall/CRC financial mathematics series
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Introduction
Discrete-time models / 1:
Discrete-time formalism / 1.1:
Martingales and arbitrage opportunities / 1.2:
Complete markets and option pricing / 1.3:
Problem: Cox, Ross and Rubinstein model / 1.4:
Exercises / 1.5:
Optimal stopping problem and American options / 2:
Stopping time / 2.1:
The Snell envelope / 2.2:
Decomposition of supermartingales / 2.3:
Snell envelope and Markov chains / 2.4:
Application to American options / 2.5:
Brownian motion and stochastic differential equations / 2.6:
General comments on continuous-time processes / 3.1:
Brownian motion / 3.2:
Continuous-time martingales / 3.3:
Stochastic integral and Ito calculus / 3.4:
Stochastic differential equations / 3.5:
The Black-Scholes model / 3.6:
Description of the model / 4.1:
Change of probability. Representation of martingales / 4.2:
Pricing and hedging options in the Black-Scholes model / 4.3:
American options / 4.4:
Implied volatility and local volatility models / 4.5:
The Black-Scholes model with dividends and call/put symmetry / 4.6:
Problems / 4.7:
Option pricing and partial differential equations / 5:
European option pricing and diffusions / 5.1:
Solving parabolic equations numerically / 5.2:
Interest rate models / 5.3:
Modelling principles / 6.1:
Some classical models / 6.2:
Asset models with jumps / 6.3:
Poisson process / 7.1:
Dynamics of the risky asset / 7.2:
Martingales in a jump-diffusion model / 7.3:
Pricing options in a jump-diffusion model / 7.4:
Credit risk models / 7.5:
Structural models / 8.1:
Intensity-based models / 8.2:
Copulas / 8.3:
Simulation and algorithms for financial models / 8.4:
Simulation and financial models / 9.1:
Introduction to variance reduction methods / 9.2:
Computer experiments / 9.3:
Appendix
Normal random variables / A.1:
Conditional expectation / A.2:
Separation of convex sets / A.3:
Bibliography
Index
Introduction
Discrete-time models / 1:
Discrete-time formalism / 1.1:
2.

図書

図書
D.ラムベルトン, B.ラペール著 ; 青木信隆 [ほか] 訳
出版情報: 東京 : 朝倉書店, 2000.6  viii, 217p ; 22cm
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