imperial college帝国理工大学教授金融工程专业课件。669页全,包含教材中缺失的部分证明
配套教材
https://bbs.pinggu.org/thread-3054605-1-1.html
session1: page 1-93.foundations: Ito lemma, self financing portfolio, no arbitrage
session2: page 94-423. interest rate models and curve: swap, forward, floor, cap, swaption, change of numeraire, vasicek, cir, cir++, black models, multiple curve
session3: 424-609. CDS CDO CVA DVA CCP
session4:610-669.Risk measure ,VaR under risk neutral measure