这是springer出版的.作者是Robert J.Elliott和P.EKKehard.Kopp

Pricing by Arbitrage

1.1 Introduction: Pricing and Hedging .............

1.2 Single-Period Option Pricing Models ............

1.3 General Single-Period Model ...............

1.4 Single-Period Binomial Model ..............

1.5 Multi-Period Binomial Models ...............

1.6 Bounds on Option Prices ..................

Martingale Measures

2.1 General Discrete-Time Market Model ..........

2.2 Trading Strategies and Arbitrage Opportunities ......

2.3 Martingales and Risk-Neutral Pricing ...........

2.4 Arbitrage Pricing with Martingale Measures ........

2.5 Example: Martingale Formulation of the Binomial Market

Model .............................

2.6 From CRR to Black–Scholes .................

The Fundamental Theorem of Asset Pricing

3.1 The Separating Hyperplane Theorem in Rn ........

3.2 Construction of Martingale Measures ............

3.3 Local Form of the ‘No Arbitrage’ Condition .......

3.4 Two Simple Examples ....................

3.5 Equivalent Martingale Measures

for Discrete Market Models .................

Complete Markets and Martingale Representation

4.1 Uniqueness of the EMM ...................

4.2 Completeness and Martingale Representation .......

4.3 Martingale Representation in the CRR-Model .......

4.4 The Splitting Index and Completeness ...........

4.5 Characterisation of Attainable Claims ...........

Stopping Times and American Options

5.1 Hedging American Claims ..................

5.2 Stopping Times and Stopped Processes ..........

5.3 Uniformly Integrable Martingales ..............

5.4 Optimal Stopping: The Snell Envelope ...........

5.5 Pricing and Hedging American Options ..........

5.6 Consumption–Investment Strategies ............

Review of Continuous-Time Stochastic Calculus

6.1 Continuous-Time Processes .................

6.2 Martingales ..........................

6.3 Stochastic Integrals ......................

6.4 The ItˆCalculus .......................

6.5 Stochastic Differential Equations ..............

6.6 The Markov Property of Solutions of SDEs ........

European Options in Continuous Time

7.1 Dynamics ...........................

7.2 Girsanov’s Theorem .....................

7.3 Martingale Representation ..................

7.4 Self-Financing Strategies ...................

7.5 An Equivalent Martingale Measure .............

7.6 The Black–Scholes Formula .................

7.7 Multi-Dimensional Situation ...............

7.8 Barrier Options ........................

The American Option

8.1 Extended Trading Strategies .................

8.2 Analysis of American Put Options .............

8.3 The Perpetual Put Option ..................

8.4 Early Exercise Premium ...................

8.5 Relation to Free Boundary Problems ............

8.6 An Approximate Solution ..................

Bonds and Term Structure

9.1 Market Dynamics .......................

9.2 Future Price and Futures Contracts ............

9.3 Changing Num´eraire .....................

9.4 General Option Pricing Formula .............

9.5 Term Structure Models ...................

9.6 Diffusion Models for the Short-Term Rate Process ....

9.7 The Heath–Jarrow–Morton Model .............

9.8 Markov Chain Model ...................

10 Consumption-Investment Strategies

10.1 Utility Functions .......................

10.2 Admissible Strategies .....................

10.3 Utility Maximization from Consumption ..........

10.4 Maximization of Terminal Utility ..............

10.5 Utility Maximization for Both Consumption

and Terminal Wealth .....................

References

Index

好高深，怕了

好书，找了好久了，多谢！

好像很难啊.