Option Pricing: Mathematical Models and Computation
By Paul Wilmott, Jeff Dewynne, Sam Howison

Publisher:   Oxford Financial Press
Number Of Pages:   457
Publication Date:   1994-05-01
ISBN-10 / ASIN:   0952208202
ISBN-13 / EAN:   9780952208204
Binding:   Hardcover

质量相当不错的扫描本，即使放大看也非常清楚。

 

这本是Wilomtt丛书中最强最贵的一本，其实Wilmott就是靠这本书起家的，但是已经不再发行，主要是从PDE的角度来写，重点讲了有限差分，本书号称是Derivatives Trader人手一册，非常实用感兴趣的来看看。

Contents of Option Pricing

1. An Introduction to Options and Markets 2. The Random Nature of the Stock Market 3. Basic Option Theory 4. Partial Differential Equations 5. Explicit Solutions of the Diffusion Equation in Fixed Domains 6. American Options as Free Boundary Problems 7. American Options as Variational Inequalities 8. Dividends and Time-dependent Parameters 9. Exotic Options 10. Barrier Options 11. Asian Options 12. Lookback Options 13. Options with Transaction Costs 14. Interest Rate Derivative Products 15. Convertible Bonds 16. Numerical Methods 17. Finite-difference Approximations 18. The Explicit Finite-difference Method 19. Implicit Finite-difference Methods 20. Methods for Free Boundary Problems 21. Methods for American Options 22. Methods for Exotic Options Appendix a. The Probability Density Function Appendix b. First Exit Times Appendix c. Lattice Methods Appendix d. Finite-element Methods Appendix e. Summary of Differential Equations Appendix f. Bibliography

[此贴子已经被作者于2008-6-25 10:54:04编辑过]