金融工程和計算

內容概要

《金融工程和計算:原理數(shù)學算法(影印版)》全面討論了金融工程背后的理論和數(shù)學，并強調了在當今資本市場中金融工程實際應用的計算。與大多數(shù)有關投資學、金融工程或衍生證券的書不同的是，《金融工程和計算:原理數(shù)學算法(影印版)》從金融學的基本觀念出發(fā)，逐步構建理論。在現(xiàn)代金融學中所需要的高級數(shù)學概念以一種可接受的層次來闡釋。這樣，它就為金融方面的MBA、有志于從事金融業(yè)的理工科學生、計算金融的研究工作者、系統(tǒng)分析師和金融工程師在這一主題上提供了全面的基礎。
構建理論的同時，作者介紹了在定價、風險管理和證券組合管理方面的計算技巧的算法，并且對它們的效率進行了分析。對金融證券和衍生證券的定價是《金融工程和計算:原理數(shù)學算法(影印版)》的中心論題。各種各樣的金融工具都得到討論：債券、期權、期貨、遠期、利率衍生品、有抵押支持的證券、嵌入期權的債券，以及諸如此類的其他工具。為便于參考使用，每種金融工具都以簡短而自成體系的一章來論述。

作者簡介

呂育道(Yuh—Dauh Lyuu)教授在哈佛大學獲得計算機科學專業(yè)的博土學位。他過去的職位包括貝爾實驗室的技術人員、NEC研究所(普林斯頓)的研究員以及花旗證券(紐約)的助理副總裁。他目前是臺灣大學的計算機科學與信息工程學教授和金融學教授。他的前一本著作是《信息散布和并行計算》(Information Dispersal and Parallel Computation)。     呂教授在計算機科學和金融兩方面都出版過著作，他也持有美國專利，并曾因指導優(yōu)秀研究生論文多次獲獎。

書籍目錄

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

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編輯推薦

《金融工程和計算》由劍橋大學出版社出版，原書名為：Financial Engineering and Computation: Principles, Mathematics, and Algorithms，是一本非常優(yōu)秀的有關金融計算的圖書。 如今打算在金融領域工作的學生和專家不僅要掌握先進的概念和數(shù)學模型，還要學會如何在計算上實現(xiàn)這些模型。《金融工程和計算》內容廣泛，不僅介紹了金融工程背后的理論和數(shù)學，并把重點放在了計算上，以便和金融工程在今天資本市場的實際運作保持一致。《金融工程和計算》不同于大多數(shù)的有關投資、金融工程或者衍生證券方面的書，而是從金融的基本想法開始，逐步建立理論。作者提供了很多定價、風險評估以及項目組合管理的算法和理論?！督鹑诠こ毯陀嬎恪返闹攸c是有關金融產品和衍生證券、期權、期貨、遠期、利率衍生產品、抵押證券等等的定價問題。每個工具都有簡要的介紹，每章都可以獨立被引用?！督鹑诠こ毯陀嬎恪返乃惴ň褂肑ava算法編程實現(xiàn)的，并可以在相關的網(wǎng)站上下載。 《金融工程和計算》可供金融MBA、金融學和金融工程方向的學生、計算金融的研究人員以及金融分析師參考使用。《金融工程和計算:原理數(shù)學算法(影印版)》是其中一個分冊！

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