Titlebook: Mathematical Models of Financial Derivatives; Yue-Kuen Kwok Textbook 2008Latest edition Springer-Verlag Berlin Heidelberg 2008 Credit Deri

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書目名稱Mathematical Models of Financial Derivatives影響因子(影響力)




書目名稱Mathematical Models of Financial Derivatives影響因子(影響力)學科排名




書目名稱Mathematical Models of Financial Derivatives網(wǎng)絡(luò)公開度




書目名稱Mathematical Models of Financial Derivatives網(wǎng)絡(luò)公開度學科排名




書目名稱Mathematical Models of Financial Derivatives被引頻次




書目名稱Mathematical Models of Financial Derivatives被引頻次學科排名




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書目名稱Mathematical Models of Financial Derivatives年度引用學科排名




書目名稱Mathematical Models of Financial Derivatives讀者反饋




書目名稱Mathematical Models of Financial Derivatives讀者反饋學科排名

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,Option Pricing Models: Black–Scholes–Merton Formulation and Martingale Pricing Theory,proach of financial derivatives are introduced. We illustrate how to apply the pricing theory to obtain the price formulas of different types of European options. Various extensions of the Black–Scholes–Merton framework are discussed, including the transaction costs model, jump-diffusion model and stochastic volatility model.

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Path Dependent Options,ff depends on the realized extremum value of the asset price process. In Chap.?4, we derive the price formulas of the various types of European path dependent options under the Geometric Brownian process assumption of the underlying asset price.

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Interest Rate Models and Bond Pricing,s is discussed. The HJM methodologies provide a uniform approach to modeling the instantaneous interest rates. We also present the formulation of the forward LIBOR (London-Inter-Bank-Offered-Rate) process under the Gaussian HJM framework.

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Numerical Schemes for Pricing Options, the discretization of the differential operators in the Black–Scholes equation. The Monte Carlo simulation method provides a probabilistic solution to the option pricing problems by simulating the random process of the asset price. An account of option pricing algorithms using these approaches is presented in Chap.?6.