本书由剑桥大学出版社出版,原书名为:Financial Engineering and Computation: Principles, Mathematics, and Algorithms,是一本非常**的有关金融计算的图书。 如今打算在金融领域工作的学生和专家不仅要掌握先进的概念和数学模型,还要学会如何在计算上实现这些模型。《金融风险和衍生证券定价理论》内容广泛,不仅介绍了金融工程背后的理论和数学,并把**放在了计算上,以便和金融工程在今天资本市场的实际运作保持一致。《金融风险和衍生证券定价理论》不同于大多数的有关投资、金融工程或者衍生证券方面的书,而是从金融的基本想法开始,逐步建立理论。作者提供了很多定价、风险评估以及项目组合管理的算法和理论。

Preface
1 Probability theory: basic notions
2 Maximum and addition of random variables
3 Continuous time limit, Ito calculus and path integrals
4 Analysis of empirical data
5 Financial products and financial markets
6 Statistics of real prices: basic results
7 Non-linear correlations and volatility fluctuations
8 Skewness and price-volatility correlations
9 Cross-correlations
10 Risk measures
11 Extreme correlations and variety
12 Optimal portfolios
13 Futures and options: fundamental concepts
14 Options: hedging and residual risk
15 Options: the role of drift and correlations
16 Options: the Black and Scholes model
17 Options: some more specific
18 Options: minimum variance Monte-Carlo
19 The yield curve
20 Simple mechanisms for anomalous price statistics
Index of most important symbols
Index