| 청구기호 |
HG6024.A3 A534 2010 |
| 형태사항 |
1 electronic text (xi, 51 p.) : digital file.
|
| 언어 |
English |
| 일반주기 |
Part of: Synthesis digital library of engineering and computer science.
Series from website.
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| 서지주기 |
Includes bibliographical references (p. 49-50).
|
| 내용 |
Preface --
1. Overture: single-period models -- What is a model -- Warm-up: a forward contract -- A single time period -- The pricing formula -- Risky bond -- General case of one time step --
2. The general discrete model -- The tree -- The stock process -- Trading strategies and attainable claims -- Arbitrage --
3. The fundamental theorems of asset pricing --
4. Forwards and futures -- Forwards and the forward measure -- Futures -- The convexity correction -- Computational matters --
5. Incomplete markets --
A. Probability refreshner -- Before probability -- Probability introduced; independence -- Conditional expectation, the finite case -- Change of measure; the Radon-Nikodym derivative -- Martingales --
B. Orthogonal vectors in the positive cone -- Authors' biographies.
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| 주제 |
Derivative securities --Prices --Mathematical models.
arbitrage
martingale
incomplete markets
forward measure
forward contract
futures
tree models
|
| ISBN |
9781608454969 (electronic bk.)
|
| 기타 표준번호 |
10.2200/S00293ED1V01Y201008MAS007 |
