隨機波動金融市場衍生品(英文影印本)

Introduction
1 The Black-Scholes Theory of Derivative Pricing
1.1 Market Model
1.2 Derivative Contracts
1.3 Replicating Strategies
1.4 Risk-Neutral Pricing
1.5 Risk-Neutral Expectations and Partial Differential Equations
1.6 Complete Market
2 Introduction to Stochastic Volatility Models
2.1 Implied Volatility and the Smile Curve
2.2 Implied Deterministic Volatility
2.3 Stochastic Volatility Models
2.4 Derivative Pricing
2.5 Pricing with Equivalent Martingale Measures
2.6 Implied Volatility as a Function of Moneyness
2.7 Market Price of Volatility Risk and Data
2.8 Special Case: Uncorrelated Volatility
2.9 Summary and Conclusions
3 Scales in Mean-Reverting Stochastic Volatility
3.1 Scaling in Simple Models
3.2 Models of Clustering
3.3 Convergence to Black-Scholes under Fast Mean-Reverting Volatility
3.4 Scales in the Returns Process
4 Tools for Estimating the Rate of Mean Reversion
4.1 Model and Data
4.2 Variogram Analysis
4.3 Spectral Analysis
5 Asymptotics for Pricing European Derivatives
5.1 Preliminaries
5.2 The Formal Expansion
5.3 Implied Volatilities and Calibration
5.4 Accuracy of the Approximation
5.5 Region of Validity
6 Implementation and Stability
6.1 Step-by-Step Procedure
6.2 Comments about the Method
6.3 Dividends
6.4 The Second Correction
7 Hedging Strategies
8 Application to Exotic Derivatives
9 Application to American Derivatives
10 Generalizations
11 Applications to Interest-Rate Models
Index