金融数学（英文版）
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- 作者： （美）Joseph Stampfli,Victor Goodmamn
- 丛书名： 经典原版书库
- 出版社：机械工业出版社
- ISBN：7111119126
- 上架时间：2003-5-14
- 出版日期：2003 年4月
- 开本：16开
- 页码：250
- 版次：1-1
- 所属分类：
数学 > 文科、经管、金融、工程数学 > 经济数学
内容简介回到顶部↑
金融投资是现代社会最活跃的经济活动之一。自1973年出现Black-Scholes公式以来，金融界以前所未有的速度接受数学模型和数学工具，于是出现了数学、金融、计算机和全球经济的融合。在金融数学自身的吸引力和众多使用者需求的双重影响下，美国各大学纷纷开设了相应的课程，本书正是顺应这种趋势编写的。本书主要讲解建模和对冲中使用的金融概念和数学模型。从金融方面的相关概念、术语和策略开始，逐步讨论了其中的离散模型和计算方法、以Black-Scholes公式为中心的边疆模型和解析方法，以及金融市场的风险分析及对冲策略等方面的内容。本书作为金融数学的基础教材，适用于相关专业的本科生和研究生课程。
目录回到顶部↑
1 financial markets
l.l markets and math
l.2 stocks and their derivatives
l.2.l forward stock contracts
l.2.2 call options
l.2.3 put options
l.2.4 short selling
l.3 pricing futures contracts
1.4 bond markets
l.4.l rates of return
l.4.2 the u.s. bond market
l.4.3 interest rates and forward interest rates
l.4.4 yield curves
l.5 interest rate futures
l.5.l determining the futures price
l.5.2 treasury bill futures
l.6 foreign exchange
l.6.l currency hedging
l.6.2 computing currency futures
2 binomial trees, replicating portfolios,and arbitrage
l.l markets and math
l.2 stocks and their derivatives
l.2.l forward stock contracts
l.2.2 call options
l.2.3 put options
l.2.4 short selling
l.3 pricing futures contracts
1.4 bond markets
l.4.l rates of return
l.4.2 the u.s. bond market
l.4.3 interest rates and forward interest rates
l.4.4 yield curves
l.5 interest rate futures
l.5.l determining the futures price
l.5.2 treasury bill futures
l.6 foreign exchange
l.6.l currency hedging
l.6.2 computing currency futures
2 binomial trees, replicating portfolios,and arbitrage
前言回到顶部↑
Throughout the nineties, we have seen the synergistic union of mathematics, finance,the computer, and the global economy. Currency markets trade two trillion dollars per day, and sophisticated financial derivatives such as options, swaps. and quantos are commonplace.
Since the appearance of the Black-Scholes formula in l973, the financial community has embraced an abundant and ever-expanding array of mathematical tools and models. Enrollment in courses presenting these applications of mathematical finance has exploded at schools everywhere. It is driven by the attraction of the material, coupled with enormous employment demand. We expect that the twenty-first century will see even greater growth in these areas, following Kurzweil's law of accelerating returns. The practical analysis of a broad range of market transactions and activities has converted many market devotees to this mode of thinking.
This textbook explains the basic financial and mathematical concepts used in modeling and hedging. Each topic is introduced with the assumption that the reader has had little or no previous exposure to financial matters or to the activities that are common to major equity markets. Exercises and examples illustrate these topics.
Often an exercise or example uses real market data.
To the Instructor
A complete. well-balanced course at the undergraduate level can be based on Chapters 2, 3, 5, 6. 7. 8, and 9. An instructor might touch only briefly on Chapter l as an introduction to the financial terminology and to strategies that are employed in trading equity shares. You might wish to retum to Chapter l repeatedly as you progress through the textbook; the chapter is always there as a convenient reference for market transactions and terminology.,Most undergraduate students seem to be very comfortable with computers, and they appear to pick up the ins and outs of software packages such as MapleTM, MathematicaTM, and Microsoft Excel very quickly. Each instructor will have to evaluate the proficiency of his or her own students in this area. For example, we have found that Excel is readily available on the Indiana University campus and that students are comfortable in preparing data and reports using this software.
Acknowledgments
We would like to thank the National Science Foundation for support while preparing some of the material used in this textbook. In pariicular, we owe a great debt of gratitude to Dan Maki and Bart Ng, principal investigator on the NSF grant, "Mathematics Throughout the Curriculum," for encouraging us to write the book and for their continued support, financial and personal, during the period of creation. We wish to thank our reviewers: Rich Sowers, University of Illinois; William Yin. La Grange College; and John Chadam, University of Pittsburgh.
In November l999, Joseph Stampfli presented several lectures on financial mathematics at a workshop on this topic in Bangkok, Thailand, sponsored by Mahidol University. We would like to thank the university and, in particular, Professor Yongwemon Lenbury and Ponchai Matangkasombut, then Dean and now President of the university, for their gracious hospitality throughout the visit. It was a truly memorable experience.
We would also like to thank the editorial and production teams at Brooks/Cole for their continuous and timely help. In particular, Gary Ostedt and Carol Benedict did everything an editorial team can do and more. Several unexpected crises arose as the book progressed, and Gary guided us through them with patience. wisdom,and humor. We would also like to thank the other members of the Brooks/Cole team:Mary Vezilich, Production Coordinator; Karin Sandberg. Marketing Manager; Sue Ewing, Permissions Editor; and Samantha Cabaluna, Marketing Communications.
We would also like to thank Kris Engberg of Publication Services, who helped us solve hundreds of problems, both large and small; Jerome Colburn, whose contributions as copy editor turned limp doggerel into sparkling prose; and Jason Brown and his production team.
Since the appearance of the Black-Scholes formula in l973, the financial community has embraced an abundant and ever-expanding array of mathematical tools and models. Enrollment in courses presenting these applications of mathematical finance has exploded at schools everywhere. It is driven by the attraction of the material, coupled with enormous employment demand. We expect that the twenty-first century will see even greater growth in these areas, following Kurzweil's law of accelerating returns. The practical analysis of a broad range of market transactions and activities has converted many market devotees to this mode of thinking.
This textbook explains the basic financial and mathematical concepts used in modeling and hedging. Each topic is introduced with the assumption that the reader has had little or no previous exposure to financial matters or to the activities that are common to major equity markets. Exercises and examples illustrate these topics.
Often an exercise or example uses real market data.
To the Instructor
A complete. well-balanced course at the undergraduate level can be based on Chapters 2, 3, 5, 6. 7. 8, and 9. An instructor might touch only briefly on Chapter l as an introduction to the financial terminology and to strategies that are employed in trading equity shares. You might wish to retum to Chapter l repeatedly as you progress through the textbook; the chapter is always there as a convenient reference for market transactions and terminology.,Most undergraduate students seem to be very comfortable with computers, and they appear to pick up the ins and outs of software packages such as MapleTM, MathematicaTM, and Microsoft Excel very quickly. Each instructor will have to evaluate the proficiency of his or her own students in this area. For example, we have found that Excel is readily available on the Indiana University campus and that students are comfortable in preparing data and reports using this software.
Acknowledgments
We would like to thank the National Science Foundation for support while preparing some of the material used in this textbook. In pariicular, we owe a great debt of gratitude to Dan Maki and Bart Ng, principal investigator on the NSF grant, "Mathematics Throughout the Curriculum," for encouraging us to write the book and for their continued support, financial and personal, during the period of creation. We wish to thank our reviewers: Rich Sowers, University of Illinois; William Yin. La Grange College; and John Chadam, University of Pittsburgh.
In November l999, Joseph Stampfli presented several lectures on financial mathematics at a workshop on this topic in Bangkok, Thailand, sponsored by Mahidol University. We would like to thank the university and, in particular, Professor Yongwemon Lenbury and Ponchai Matangkasombut, then Dean and now President of the university, for their gracious hospitality throughout the visit. It was a truly memorable experience.
We would also like to thank the editorial and production teams at Brooks/Cole for their continuous and timely help. In particular, Gary Ostedt and Carol Benedict did everything an editorial team can do and more. Several unexpected crises arose as the book progressed, and Gary guided us through them with patience. wisdom,and humor. We would also like to thank the other members of the Brooks/Cole team:Mary Vezilich, Production Coordinator; Karin Sandberg. Marketing Manager; Sue Ewing, Permissions Editor; and Samantha Cabaluna, Marketing Communications.
We would also like to thank Kris Engberg of Publication Services, who helped us solve hundreds of problems, both large and small; Jerome Colburn, whose contributions as copy editor turned limp doggerel into sparkling prose; and Jason Brown and his production team.
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发表于：2004-1-21 19:39:00
The book is a good book for readers who have a good command of financial mathematics. Exactly speaking, a clear picture of the introduction to mathematics of financial derivatives. If you have no such knowledge, it maybe not easy to you. It is the fact that the book has serval errors. But they are not very important. With the background, you could correct it by yourself.
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