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1.

図書
図書
1. Analysis of investment in electric power
Henry Donnan Jacoby
出版情報: New York : Arno Press, 1979  xvii, 180, [88] p. ; 24 cm
シリーズ名: Energy in the American economy
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2.

図書
図書
2. Worldwide asset and liability modeling
edited by William T. Ziemba and John M. Mulvey
出版情報: Cambridge : Cambridge University Press, 1998  xiv, 665 p. ; 24 cm
シリーズ名: Publications of the Newton Institute ; [10]
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3.

図書
図書
3. Financial decision making under uncertainty
edited by Haim Levy and Marshall Sarnat
出版情報: New York : Academic Press, 1977  xii, 301 p. ; 24 cm
シリーズ名: Economic theory and mathematical economics
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4.

図書
図書
4. Investment appraisal and economic evaluation of mining enterprise
Siegfried von Wahl
出版情報: Clausthal-Zellerfeld : Trans Tech Publications, 1983  xiii, 249 p. ; 25 cm
シリーズ名: Series on mining engineering ; Vol. 4
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5.

図書
図書
5. 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：
6.

図書
図書
6. Investment science. 2nd ed
David G. Luenberger
出版情報: New York : Oxford University Press, c2014  xxiii, 604 p. ; 25 cm
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目次情報: 続きを見る
Preface
Introduction
Deterministic cash flowstreams
The basic theory of interest
Fixed-income securities
The term structure of interest rates
Applied interest rate analysis
Single-period random cash flows
Mean-variance portfolio theory
The capital asset pricing model
Other pricing models
Data and statistics
Risk measures
General principles
Derivative securities
Forwards, futures,and swaps
Models of asset dynamics
Basic options theory
Additional options topics
Interest rate derivatives
Credit risk
General cash flowstreams
Optimal portfolio growth
General investment evaluation
Preface
Introduction
Deterministic cash flowstreams
7.

図書
図書
7. Mathematical finance : theory, modeling, implementation
Christian Fries
出版情報: New Jersey : John Wiley & Sons, c2007  xxii, 520 p. ; 25 cm
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8.

図書
図書
8. Investment, interest, and capital
[by] J. Hirshleifer
出版情報: Englewood Cliffs, N.J. : Prentice-Hall, c1970  x, 320 p. ; 24 cm
シリーズ名: Prentice-Hall international series in management
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9.

電子ブック
ＥＢ
9. Mathematical finance : theory, modeling, implementation (: electronic bk)
Christian Fries
出版情報: [S.l.] : Wiley Online Library, [20--]  1 online resource (xxii, 520 p.)
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目次情報: 続きを見る
Introduction / 1：
Theory, Modeling and Implementation / 1.1：
Interest Rate Models and Interest Rate Derivatives / 1.2：
How to Read this Book / 1.3：
Abridged Versions / 1.3.1：
Special Sections / 1.3.2：
Notation / 1.3.3：
Foundations / I：
Probability Theory / 2：
Stochastic Processes / 2.2：
Filtration / 2.3：
Brownian Motion / 2.4：
Wiener Measure, Canonical Setup / 2.5：
Itô Calculus / 2.6：
Itô Integral / 2.6.1：
Itô Process / 2.6.2：
Itô Lemma and Product Rule / 2.6.3：
Brownian Motion with Instantaneous Correlation / 2.7：
Martingales / 2.8：
Change of Measure (Girsanov, Cameron, Martin / 2.8.1 Martingale Representation Theorem：
Stochastic Integration / 2.10：
Partial Differential Equations (PDE / 2.11：
Feynman-Kac Theorem / 2.11.1：
List of Symbols / 2.12：
Replication / 3：
Replication Strategies / 3.1：
Replication in a discrete Model / 3.1.1：
Foundations: Equivalent Martingale Measure / 3.2：
Challenge and Solution Outline / 3.2.1：
Steps towards the Universal Pricing Theorem / 3.2.2：
Excursus: Relative Prices and Risk Neutral Measures / 3.3：
Why relative prices? / 3.3.1：
Risk Neutral Measure / 3.3.2：
First Applications / II：
Pricing of a European Stock Option under the Black-Scholes Model / 4：
Excursus: The Density of the Underlying of a European Call Option / 5：
Excursus: Interpolation of European Option Prices / 6：
No-Arbitrage Conditions for Interpolated Prices / 6.1：
Arbitrage Violations through Interpolation / 6.2：
Example (1): Interpolation of four Prices / 6.2.1：
Example (2): Interpolation of two Prices / 6.2.2：
Arbitrage-Free Interpolation of European Option Prices / 6.3：
Hedging in Continuous and Discrete Time and the Greeks / 7：
Deriving the Replications Strategy from Pricing Theory / 7.1：
Deriving the Replication Strategy under the Assumption of a Locally Riskless Product / 7.2.1：
The Black-Scholes Differential Equation / 7.2.2：
Example: Replication Portfolio and PDE under a Black-Scholes Model / 7.2.3：
Greeks / 7.3：
Greeks of a European Call-Option under the Black-Scholes model / 7.3.1：
Hedging in Discrete Time: Delta and Delta-Gamma Hedging / 7.4：
Delta Hedging / 7.4.1：
Error Propagation / 7.4.2：
Delta-Gamma Hedging / 7.4.3：
Vega Hedging / 7.4.4：
Hedging in Discrete Time: Minimizing the Residual Error (Bouchaud-Sornette Method / 7.5：
Minimizing the Residual Error at Maturity T / 7.5.1：
Minimizing the Residual Error in each Time Step / 7.5.2：
Interest Rate Structures, Interest Rate Products And Analytic Pricing Formulas / III：
Interest Rate Structures / Motivation and Overview：
Fixing Times and Tenor Times / 8.1：
Definitions / 8.2：
Interest Rate Curve Bootstrapping / 8.3：
Interpolation of Interest Rate Curves / 8.4：
Implementation / 8.5：
Simple Interest Rate Products / 9：
Interest Rate Products Part 1: Products without Optionality / 9.1：
Fix, Floating and Swap / 9.1.1：
Money-Market Account / 9.1.2：
Interest Rate Products Part 2: Simple Options / 9.2：
Cap, Floor, Swaption / 9.2.1：
Foreign Caplet, Quanto / 9.2.2：
The Black Model for a Caplet / 10：
Pricing of a Quanto Caplet / Modeling the FFX11：
Choice of Numéraire / 11.1：
Exotic Derivatives / 12：
Prototypical Product Properties / 12.1：
Interest Rate Products Part 3: Exotic Interest Rate Derivatives / 12.2：
Structured Bond, Structured Swap, Zero Structure / 12.2.1：
Bermudan Option / 12.2.2：
Bermudan Callable and Bermudan Cancelable / 12.2.3：
Compound Options / 12.2.4：
Trigger Products / 12.2.5：
Structured Coupons / 12.2.6：
Shout Options / 12.2.7：
Product Toolbox / 12.3：
Discretization And Numerical Valuation Methods / IV：
Discretization of time and state space / 13：
Discretization of Time: The Euler and the Milstein Scheme / 13.1：
Time-Discretization of a Lognormal Process / 13.1.1：
Discretization of Paths (Monte-Carlo Simulation) / 13.2：
Monte-Carlo Simulation / 13.2.1：
Weighted Monte-Carlo Simulation / 13.2.2：
Review / 13.2.3：
Discretization of State Space / 13.3：
Backward-Algorithm / 13.3.1：
Path Simulation through a Lattice: Two Layers / 13.3.3：
Numerical Methods for Partial Differential Equations / 14：
Pricing Bermudan Options in a Monte Carlo Simulation / 15：
Bermudan Options: Notation / 15.1：
Bermudan Callable / 15.2.1：
Relative Prices / 15.2.2：
Bermudan Option as Optimal Exercise Problem / 15.3：
Bermudan Option Value as single (unconditioned) Expectation: The Optimal Exercise Value / 15.3.1：
Bermudan Option Pricing - The Backward Algorithm / 15.4：
Re-simulation / 15.5：
Perfect Foresight / 15.6：
Conditional Expectation as Functional Dependence / 15.7：
Binning / 15.8：
Binning as a Least-Square Regression / 15.8.1：
Foresight Bias / 15.9：
Regression Methods - Least Square Monte-Carlo / 15.10：
Least Square Approximation of the Conditional Expectation / 15.10.1：
Example: Evaluation of a Bermudan Option on a Stock / Backward Algorithm with Conditional Expectation Estimator15.10.2：
Example: Evaluation of a Bermudan Callable / 15.10.3：
Binning as linear Least-Square Regression / 15.10.4：
Optimization Methods / 15.11：
Andersen Algorithm for Bermudan Swaptions / 15.11.1：
Review of the Threshold Optimization Method / 15.11.2：
Optimization of Exercise Strategy: A more general Formulation / 15.11.3：
Comparison of Optimization Method and Regression Method / 15.11.4：
Duality Method: Upper Bound for Bermudan Option Prices / 15.12：
American Option Evaluation as Optimal Stopping Problem / 15.12.1：
Primal-Dual Method: Upper and Lower Bound / 15.13：
Pricing Path-Dependent Options in a Backward Algorithm / 16：
Evaluation of a Snowball / Memory in a Backward Algorithm / 16.1：
Evaluation of a Flexi Cap in a Backward Algorithm / 16.2：
Sensitivities / Partial Derivatives) of Monte Carlo Prices17：
Problem Description / 17.1：
Pricing using Monte-Carlo Simulation / 17.2.1：
Sensitivities from Monte-Carlo Pricing / 17.2.2：
Example: The Linear and the Discontinuous Payout / 17.2.3：
Example: Trigger Products / 17.2.4：
Generic Sensitivities: Bumping the Model / 17.3：
Sensitivities by Finite Differences / 17.4：
Example: Finite Differences applied to Smooth and Discontinuous Payout / 17.4.1：
Sensitivities by Pathwise Differentiation / 17.5：
Example: Delta of a European Option under a Black-Scholes Model / 17.5.1：
Pathwise Differentiation for Discontinuous Payouts / 17.5.2：
Sensitivities by Likelihood Ratio Weighting / 17.6：
Example: Delta of a European Option under a Black-Scholes Model using Pathwise Derivative / 17.6.1：
Example: Variance Increase of the Sensitivity when using Likelihood Ratio Method for Smooth Payouts / 17.6.2：
Sensitivities by Malliavin Weighting / 17.7：
Proxy Simulation Scheme / 17.8：
Proxy Simulation Schemes for Monte Carlo Sensitivities and Importance Sampling / 18：
Full Proxy Simulation Scheme / 18.1：
Calculation of Monte-Carlo weights / 18.1.1：
Sensitivities by Finite Differences on a Proxy Simulation Scheme / 18.2：
Localization / 18.2.1：
Object-Oriented Design / 18.2.2：
Importance Sampling / 18.3：
Example / 18.3.1：
Partial Proxy Simulation Schemes / 18.4：
Linear Proxy Constraint / 18.4.1：
Comparison to Full Proxy Scheme Method / 18.4.2：
Non-Linear Proxy Constraint / 18.4.3：
Transition Probability from a Nonlinear Proxy Constraint / 18.4.4：
Sensitivity with respect to the Diffusion Coefficients - Vega / 18.4.5：
Example: LIBOR Target Redemption Note / 18.4.6：
Example: CMS Target Redemption Note / 18.4.7：
Pricing Models For Interest Rate Derivatives / V：
LIBOR Market Models / 19：
LIBOR Market Model / 19.1：
Derivation of the Drift Term / 19.1.1：
Discretization and (Monte-Carlo) Simulation / 19.1.2：
Calibration - Choice of the free Parameters / 19.1.4：
Interpolation of Forward Rates in the LIBOR Market Model / 19.1.5：
Object Oriented Design / 19.2：
Reuse of Implementation / 19.2.1：
Separation of Product and Model / 19.2.2：
Abstraction of Model Parameters / 19.2.3：
Abstraction of Calibration / 19.2.4：
Swap Rate Market Models (Jamshidian 1997 / 19.3：
The Swap Measure / 19.3.1：
Swap Rate Market Models / 19.3.2：
Terminal Correlation examined in a LIBOR Market Model Example / 20.1：
De-correlation in a One-Factor Model / 20.2.1：
Impact of the Time Structure of the Instantaneous Volatility on Caplet and Swaption Prices / 20.2.2：
The Swaption Value as a Function of Forward Rates / 20.2.3：
Terminal Correlation is dependent on the Equivalent Martingale Measure / 20.3：
Dependence of the Terminal Density on the Martingale Measure / 20.3.1：
Excursus: Instantaneous Correlation and Terminal Correlation / 21：
Short Rate Process in the HJM Framework / 21.1：
The HJM Drift Condition / 21.2：
Heath-Jarrow-Morton Framework: Foundations / 22：
The Market Price of Risk / 22.1：
Overview: Some Common Models / 22.3：
Implementations / 22.4：
Monte-Carlo Implementation of Short-Rate Models / 22.4.1：
Lattice Implementation of Short-Rate Models / 22.4.2：
Short-Rate Models / 23：
Short Rate Models in the HJM Framework / 23.1：
Example: The Ho-Lee Model in the HJM Framework / 23.1.1：
Example: The Hull-White Model in the HJM Framework / 23.1.2：
LIBOR Market Model in the HJM Framework / 23.2：
HJM Volatility Structure of the LIBOR Market Model / 23.2.1：
LIBOR Market Model Drift under the QB Measure / 23.2.2：
LIBOR Market Model as a Short Rate Model / 23.2.3：
Heath-Jarrow-Morton Framwork: Immersion of Short-Rate Models and LIBOR Market Model / 24：
Model / 24.1：
Interpretation of the Figures / 24.2：
Mean Reversion / 24.3：
Factors / 24.4：
Exponential Volatility Function / 24.5：
Instantaneous Correlation / 24.6：
Excursus: Shape of teh Interst Rate Curve under Mean Reversion and a Multifactor Model / 25：
Cheyette Model / 25.1：
Ritchken-Sakarasubramanian Framework: JHM with Low Markov Dimension / 26：
The Markov Functional Assumption / independent of the model considered)26.1：
Outline of this Chapter / 26.1.2：
Equity Markov Functional Model / 26.2：
Markov Functional Assumption / 26.2.1：
Example: The Black-Scholes Model / 26.2.2：
Numerical Calibration to a Full Two-Dimensional European Option Smile Surface / 26.2.3：
Interest Rates / 26.2.4：
Model Dynamics / 26.2.5：
LIBOR Markov Functional Model / 26.2.6：
LIBOR Markov Functional Model in Terminal Measure / 26.3.1：
LIBOR Markov Functional Model in Spot Measure / 26.3.2：
Remark on Implementation / 26.3.3：
Change of numéraire in a Markov-Functional Model / 26.3.4：
Implementation: Lattice / 26.4：
Convolution with the Normal Probability Density / 26.4.1：
State space discretization Markov Functional Models / 26.4.2：
Extended Models. / Part VI：
Introduction - Different Types of Spreads / 27.1：
Spread on a Coupon / 27.1.1：
Credit Spread / 27.1.2：
Defaultable Bonds / 27.2：
Integrating deterministic Credit Spread into a Pricing Model / 27.3：
Deterministic Credit Spread / 27.3.1：
Receiver's and Payer's Credit Spreads / 27.3.2：
Example: Defaultable Forward Starting Coupon Bond / 27.4.1：
Example: Option on a Defaultable Coupon Bond / 27.4.2：
Credit Spreads / 28：
Cross Currency LIBOR Market Model / 28.1：
Derivation of the Drift Term under Spot-Measure / 28.1.1：
Equity Hybrid LIBOR Market Model / 28.1.2：
Equity-Hybrid Cross-Currency LIBOR Market Model / 28.2.1：
Summary / 28.3.1：
Hybrid Models / 28.3.2：
Elements of Object Oriented Programming: Class and Objects / 29.1：
Example: Class of a Binomial Distributed Random Variable / 29.1.1：
Constructor / 29.1.2：
Methods: Getter, Setter, Static Methods / 29.1.3：
Principles of Object Oriented Programming / 29.2：
Encapsulation and Interfaces / 29.2.1：
Abstraction and Inheritance / 29.2.2：
Polymorphism / 29.2.3：
Example: A Class Structure for One Dimensional Root Finders / 29.3：
Root Finder for General Functions / 29.3.1：
Root Finder for Functions with Analytic Derivative: Newton Method / 29.3.2：
Root Finder for Functions with Derivative Estimation: Secant Method / 29.3.3：
Anatomy of a JavaÖ Class / 29.4：
Libraries / 29.5：
JavaÖ2 Platform, Standard Edition (j2se / 29.5.1：
JavaÖ2 Platform, Enterprise Edition (j2ee / 29.5.2：
Colt / 29.5.3：
Commons-Math: The Jakarta Mathematics Library / 29.5.4：
Some Final Remarks / 29.6：
Object Oriented Design (OOD) / Unified Modeling Language / 29.6.1：
Appendices / Part VII：
A small Collection of Common Misconceptions / A：
Tools (Selection / B：
Linear Regression / B.1：
Generation of Random Numbers / B.2：
Uniform Distributed Random Variables / B.2.1：
Transformation of the Random Number Distribution via the Inverse Distribution Function / B.2.2：
Normal Distributed Random Variables / B.2.3：
Poisson Distributed Random Variables / B.2.4：
Generation of Paths of an n-dimensional Brownian Motion / B.2.5：
Factor Decomposition - Generation of Correlated Brownian Motion / B.3：
Factor Reduction / B.4：
Optimization (one-dimensional): Golden Section Search / B.5：
Convolution with Normal Density / B.6：
Exercises / C：
JavaÖ Source Code (Selection / D：
JavaÖ Classes for Chapter 29 / E.1：
Introduction / 1：
Theory, Modeling and Implementation / 1.1：
Interest Rate Models and Interest Rate Derivatives / 1.2：
10.

電子ブック
ＥＢ
10. Portfolio management under stress : : a Bayesian-net approach to coherent asset allocation ((ebook))
Riccardo Rebonato and Alexander Denev
出版情報:   1 online resource (xxvi, 491 pages)
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