金融工程和计算

章节摘录

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内容概要

吕育道(Yuh—Dauh Lyuu)教授在哈佛大学获得计算机科学专业的博土学位。他过去的职位包括贝尔实验室的技术人员、NEC研究所(普林斯顿)的研究员以及花旗证券(纽约)的助理副总裁。他目前是台湾大学的计算机科学与信息工程学教授和金融学教授。他的前一本著作是《信息散布和并行计算》(Information Dispersal and Parallel Computation)。     吕教授在计算机科学和金融两方面都出版过著作，他也持有美国专利，并曾因指导优秀研究生论文多次获奖。

书籍目录

PrefaceUseful Abbreviations1  Introduction1.1  Modern Finance: A Brief History1.2  Financial Engineering and Computation1.3  Financial Markets1.4  Computer Technology2 Analysis of Algorithms2.1  Complexity2.2  Analysis of Algorithms2.3  Description of Algorithms2.4  Software Implementation3 Basic Financial Mathematics3.1  Time Value of Money3.2  Annuities3.3  Amortization3.4  Yields3.5  Bonds4 Bond Price Volatility4.1  Price Volatility4.2  Duration4.3  Convexity5 Term Structure of Interest Rates5.1  Introduction5.2  Spot Rates5.3  Extracting Spot Rates from Yield Curves5.4  Static Spread5.5  Spot Rate Curve and Yield Curve5.6  Forward Rates5.7  Term Structure Theories5.8  Duration and Immunization Revisited6 Fundamental Statistical Concepts6.1  Basics6.2  Regression6.3  Correlation6.4  Parameter Estimation7 Option Basics7.1  Introduction7.2  Basics7.3  Exchange-Traded Options7.4  Basic Option Strategies8 Arbitrage in Option Pricing8.1  The Arbitrage Argument8.2  Relative Option Prices8.3  Put-Call Parity and Its Consequences8.4  Early Exercise of American Options8.5  Convexity of Option Prices8.6  The Option Portfolio Property9 Option Pricing Models9.1  Introduction9.2  The Binomial Option Pricing Model9.3  The Black-Scholes Formula9.4  Using the Black-Scholes Formula9.5  American Puts on a Non-Dividend-Paying Stock9.6  Options on a Stock that Pays Dividends9.7  Traversing the Tree Diagonally10 Sensitivity Analysis of Options10.1 Sensitivity Measures ("The Greeks")10.2 Numerical Techniques11  Extensions of Options Theory11.1 Corporate Securities11.2 Barrier Options11.3 Interest Rate Caps and Floors11.4 Stock Index Options11.5 Foreign Exchange Options11.6 Compound Options11.7 Path-Dependent Derivatives12 Forwards, Futures, Futures Options, Swaps12.1 Introduction12.2 Forward Contracts12.3 Futures Contracts12.4 Futures Options and Forward Options12.5 Swaps13 Stochastic Processes and Brownian Motion13.1 Stochastic Processes13.2 Martingales ("Fair Games")13.3 Brownian Motion13,4 Brownian Bridge14 Continuous-Time Financial Mathematics14.1 Stochastic Integrals14.2 Ito Processes14.3 Applications14.4 Financial Applications15 Continuous-Time Derivatives Pricing15.1 Partial Differential Equations15.2 The Black-Schotes Differential Equation15.3 Applications15.4 General Derivatives Pricing15.5 Stochastic Volatility16 Hedging16.1 Introduction16.2 Hedging and Futures16.3 Hedging and Options17 Trees17.1 Pricing Barrier Options with Combinatorial Methods17.2 Trinomial Tree Algorithms17.3 Pricing Multivariate Contingent Claims18 Numerical Methods18.1 Finite-Difference Methods18.2 Monte Carlo Simulation18.3 Quasi-Monte Carlo Methods19 Matrix Computation19.1 Fundamental Definitions and Results19.2 Least-Squares Problems19.3 Curve Fitting with Splines20 Time Series Analysis20.1 Introduction20.2 Conditional Variance Models for Price Volatility21  Interest Rate Derivative Securities21.1 Interest Rate Futures and Forwards21.2 Fixed-Income Options and Interest Rate Options21.3 Options on Interest Rate Futures21.4 Interest Rate Swaps22 Term Structure Fitting22.1 Introduction22.2 Linear Interpolation22.3 Ordinary Least Squares22.4 Splines22.5 The Nelson-Siegel Scheme23 Introduction to Term Structure Modeling23.1 Introduction23.2 The Binomial Interest Rate Tree23.3 Applications in Pricing and Hedging23.4 Volatility Term Structures24 Foundations of Term Structure Modeling24.1 Terminology24.2 Basic Relations24.3 Risk-Neutral Pricing24.4 The Term Structure Equation24.5 Forward-Rate Process24.6 The Binomial Model with Applications24.7 Black-Scholes Models25 Equilibrium Term Structure Models25.1 The Vasicek Model25.2 The Cox-Ingersoll-Ross Model25.3 Miscellaneous Models25.4 Model Calibration25.5 One-Factor Short Rate Models26 No-Arbitrage Term Structure Models26.1 Introduction26.2 The Ho-Lee Model26.3 The Black-Derman-Toy Model26.4 The Models According to Hull and White26.5 The Heath-Jarrow-Morton Model26.6 The Ritchken-Sankarasubramanian Model27 Fixed-Income Securities27.1 Introduction27.2 Treasury, Agency, and Municipal Bonds27.3 Corporate Bonds27.4 Valuation Methodologies27.5 Key Rate Durations28 Introduction to Mortgage-Backed Securities28.1 Introduction28.2 Mortgage Banking28.3 Agencies and Securitization28.4 Mortgage-Backed Securities28.5 Federal Agency Mortgage-Backed Securities Programs28.6 Prepayments29 Analysis of Mortgage-Backed Securities29.1 Cash Flow Analysis29.2 Collateral Prepayment Modeling29.3 Duration and Convexity29.4 Valuation Methodologies30 Collateralized Mortgage Obligations30.1 Introduction30.2 Floating-Rate Tranches30.3 PAC Bonds30.4 TAC Bonds30.5 CMO Strips30.6 Residuals31  Modern Portfolio Theory31.1 Mean-Variance Analysis of Risk and Return31.2 The Capital Asset Pricing Model31.3 Factor Models31.4 Value at Risk32 Software32.1 Web Programming32.2 Use of The Capitals Software32.3 Further Topics33 Answers to Selected ExercisesBibliographyGlossary of Useful NotationsIndex

编辑推荐

《金融工程和计算》由剑桥大学出版社出版，原书名为：Financial Engineering and Computation: Principles, Mathematics, and Algorithms，是一本非常优秀的有关金融计算的图书。 如今打算在金融领域工作的学生和专家不仅要掌握先进的概念和数学模型，还要学会如何在计算上实现这些模型。《金融工程和计算》内容广泛，不仅介绍了金融工程背后的理论和数学，并把重点放在了计算上，以便和金融工程在今天资本市场的实际运作保持一致。《金融工程和计算》不同于大多数的有关投资、金融工程或者衍生证券方面的书，而是从金融的基本想法开始，逐步建立理论。作者提供了很多定价、风险评估以及项目组合管理的算法和理论。《金融工程和计算》的重点是有关金融产品和衍生证券、期权、期货、远期、利率衍生产品、抵押证券等等的定价问题。每个工具都有简要的介绍，每章都可以独立被引用。《金融工程和计算》的算法均使用Java算法编程实现的，并可以在相关的网站上下载。 《金融工程和计算》可供金融MBA、金融学和金融工程方向的学生、计算金融的研究人员以及金融分析师参考使用。《金融工程和计算:原理数学算法(影印版)》是其中一个分册！

作者简介

《金融工程和计算:原理数学算法(影印版)》全面讨论了金融工程背后的理论和数学，并强调了在当今资本市场中金融工程实际应用的计算。与大多数有关投资学、金融工程或衍生证券的书不同的是，《金融工程和计算:原理数学算法(影印版)》从金融学的基本观念出发，逐步构建理论。在现代金融学中所需要的高级数学概念以一种可接受的层次来阐释。这样，它就为金融方面的MBA、有志于从事金融业的理工科学生、计算金融的研究工作者、系统分析师和金融工程师在这一主题上提供了全面的基础。

构建理论的同时，作者介绍了在定价、风险管理和证券组合管理方面的计算技巧的算法，并且对它们的效率进行了分析。对金融证券和衍生证券的定价是《金融工程和计算:原理数学算法(影印版)》的中心论题。各种各样的金融工具都得到讨论：债券、期权、期货、远期、利率衍生品、有抵押支持的证券、嵌入期权的债券，以及诸如此类的其他工具。为便于参考使用，每种金融工具都以简短而自成体系的一章来论述。

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