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1.

図書
図書
1. Mathematics of financial markets
Robert J. Elliott and P. Ekkehard Kopp
出版情報: New York ; Tokyo : Springer, c1999  ix, 292 p. ; 25 cm
シリーズ名: Springer finance
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目次情報: 続きを見る
Pricing by Arbitrage
Martingale Measures
The Fundamental Theorem of Asset Pricing
Complete Markets and Martingale Representation
Stopping Times and American Options
A Review of Continuous Time Stochastic Calculus
European Options in Continuous Time
The American Option
Bonds and Term Structure
Consumption-Investment Strategies
Pricing by Arbitrage
Martingale Measures
The Fundamental Theorem of Asset Pricing
2.

図書
図書
2. Introduction to stochastic calculus applied to finance. 2nd ed
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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目次情報: 続きを見る
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：
3.

図書
図書
3. Mathematics of financial markets. 2nd ed (: pbk)
Robert J. Elliott and P. Ekkehard Kopp
出版情報: New York : Springer, c2005  xi, 352 p. ; 25 cm
シリーズ名: Springer finance ; Textbook
所蔵情報: loading…
目次情報: 続きを見る
Pricing by Arbitrage
Martingale Measures
The Fundamental Theorem of Asset Pricing
Complete Markets and Martingale Representation
Stopping Times and American Options
A Review of Continuous Time Stochastic Calculus
European Options in Continuous Time
The American Option
Bonds and Term Structure
Consumption-Investment Strategies
Pricing by Arbitrage
Martingale Measures
The Fundamental Theorem of Asset Pricing
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