Principles of Financial Engineering: No-Arbitrage Equilibrium Analysis

Author: Song Fengming
Publisher:
Publish Date: 2003-09-01
Features: This book comprehensively and systematically discusses the principles of financial engineering around the fundamental methodology of modern finance—arbitrage-free equilibrium analysis. The book is divided into ten chapters. Chapter 1 introduces the basic arbitrage-free equilibrium analysis method; Chapter 2 discusses the term structure of interest rates to establish the concept of the time value of money; Chapters 3 and 4 introduce basic investment and asset pricing theories; Chapters 5 and 6 discuss dynamic arbitrage-free equilibrium. Brief Table of Contents:
1. Arbitrage-Free Equilibrium Analysis Method
2. Term Structure of Interest Rates
3. Two-Fund Separation Theorem and Capital Asset Pricing Model
4. Index Models and Arbitrage Pricing Theory
5. Option Pricing and Dynamic Arbitrage-Free Equilibrium Analysis
6. Black-Scholes Option Pricing Model
7. Equivalent Martingale Measure Model and Fundamental Theorem of Arbitrage-Free Equilibrium
8. Valuation of Contingent Claims
9. Market Environment, Trading Methods, and Asset Pricing
10. Overview of Risk Management
References
Afterword: Prospects for the Development of Financial Engineering