The origin of this book can be traced to courses on financial mathematics taught by us at the University of New South Wales in Sydney, Technical University of Warsaw (Politechnika Watszawska) and Institut National Polytechnique de Grenoble. Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds (mathematics, physics, computer science, engineering, economics and commerce). The anticipated diversity of potential readers explains the somewhat unusual way in which the book is written. It starts at a very elementary mathematical level and does not assume any prior knowledge of financial markets. Later, it develops into a text which requires some familiarity with concepts of stochastic calculus (the basic relevant notions and results are collected in the appendix). Over time, what was meant to be a short text acquired a life of its own and started to grow. The final version can be used as a textbook for three one-semester courses one at undergraduate level, the other two as graduate courses.
目录
Preface of the First Edition Perface of the Second Edition PartⅠ.Psot to the Futures Markets 1. An Introduction to Financial Derivatives 1.1 Options 1.2 Futures Contracts and Options 1.3 Forward Contracts 1.4 Call and Put Spot Options 1.4.1 One-period Spot Market 1.4.2 Replicating Portfolios 1.4.3 Martingale Measure for a Spot Market 1.4.4 Absence of Arbitrage 1.4.5 Optimality of Replication 1.4.6 Put Option 1.5 Futures Call and Put Options 1.5.1 Futures Contracts and Futures Prices 1.5.2 One-period Futures Market 1.5.3 Martingale Measure for a Futures Market 1.5.4 Absence of Arbitrage 1.5.5 One-period Spot/Futures Market 1.6 Forward Contracts 1.6.1 Forward Price 1.7 Options of American Style 2. The Cox-Ross-Rubinstein Model 2.1 The CRR Model of a Stock Price 2.1.1 The CRR Option Pricing Formula 2.1.2 The Black-Scholes Option Pricing Formula 2.2 Probabilistic Approach 2.2.1 Martingale Measure 2.2.2 Risk-neutral Valuation Formula 2.3 the Blace -Scholes Option Pricing Formula 2.4 Valuation of American Options 2.4.1 American Call Preface 2.4.2 American Put Options 2.4.3 America Claim 2.5 Options on a Dividend-paying Stock 2.6 Finite Spot Markets …… 3. Benchmar Models in Continuous Time 4. Freign Market derivatives 5. American Options 6. Exotic Options 7. Volatility Risk 8. Continuous-time Security Markets PartⅡ Fixes-income Markets 9. Inerest Rates and related Contracts 10 Short-term Rate Models 11. Models of Instantaneous Forwars Rates 12. Market LIBOR Models 13. Alternative Market Models 14. Cross-currency Dericativer PartⅢ APPENDICES References Index
