Mathematics of Derivative Securities

作者：Peter Bloomfield, M. A. H. Dempster, Stanley R. Pliska · 发表于：Journal of the American Statistical Association · 年份：1998 · DOI：10.2307/2670076 · 被引用次数：339 · 研究领域：Stochastic processes and financial applications

Foreword R. C. Merton Part I. Introduction: 1. Editors' introduction 2. Stochastic calculus and Markov methods L. C. G. Rogers 3. The risk premium in trading equilibria which support Black-Scholes option pricing S. D. Hodges and M. J. P. Selby 4. On the numeraire portfolio P. Artzner Part II. Option Pricing and Hedging: 5. Convergence of Snell envelopes and critical prices in the American Put N. J. Cutland, P. E. Kopp, W. Willinger and M. C. Wyman 6. Some combination of Asian, Parisian and Barrier options M. Yor, M. Chesnay, H. Geman and M. Jeanblanc-Pique 7. Co-movement term structure and the valuation of crack energy spread options A. Mbanefo 8. Pricing and hedging with Smiles B. Dupire 9. Filtering derivative security valuations from market prices R. J. Elliott, C. H. Lahaie and D. B. Madan 10. Option pricing in the presence of extreme fluctuations J.-P. Bouchard, D. Sornette and M. Potters 11. Hedging long maturity commodity commitments with short-dated futures contracts M. J. Brennan and N. I. Crew 12. Nonlinear financial markets: hedging and portfolio optimization J. Cvitanic 13. Semimartingales and asset pricing under constraints M. Frittelli 14. Option pricing in incomplete markets M. H. A. Davis 15. Option pricing and hedging in discrete time with transaction costs F. Mercurio and T. C. F. Vorst Part III. Term Structure and Interest Rate Derivatives: 16. Bond and bond option pricing based on the current term structure P. H. Dybvig 17. Dynamic models for yield curve e...