Contents Preface xi 1 Introduction 1 1.1 Basic Description 1 1.2 Simple Descriptive Techniques 5 1.2.1 Trends 5 1.2.2 Seasonal Cycles 8 1.3 Transformations 9 1.4 Example 9 1.5 Conclusions 13 1.6 Exercises 13 2 Probability Models 15 2.1 Int...

Paul Wilmott Contents 1.Products and markets 2.Derivatives 3.Predicting the markets? A small digression...

Content 1. Discrete-time- Markov chains 1.1 Definition and basic properties 1.2 Class structure 1.3 Hitting times and absorption probabilities 1.4 Strong Markov property 1.5 Recurrence and transience 1.6 Recurrence and transience of random...

Contents Preface General Notation Contents of Volume 1 10 Auxiliary Results In Partial Differential Equations 1. Schauder's estimates for elliptic and parabolic equations 2. Sobolev's inequality 3. Lp estimates for elliptic equations 4. Lp...

Contents Preface ix General Notation xi Contents of Volume 2 xiii 1 Stochastic Processes 1. The Kolmogorov construction of a stochastic process 1 2. Separable and continuous processes 6 3. Martingales and stopping times 9 Problems 15 2 Mar...

I. Foundations II. First Applications III. Interest rate structures, Interest rate products and analytic pricing formulas IV. Discretization and Numerical Valuation methods V .Pricing models for interest rate derivatives VI.Extended models...

Preface Acknowledgements Mathematical Notation Introduction The Mathematics Behind Monte Carlo Methods Stochastic Dynamics Process-driven Sampling Correlation and Co-movement Salvaging a Linear Correlation Matrix Pseudo-random Numbers Low-...

Contents Preface v Notation xii I What This Book Is About 1 1 An Illustrative Example: The Single-Server Queue . . . 1 2 TheMonte CarloMethod . . . . . . . . . . . . . . . . 5 3 Second Example: Option Pricing . . . . . . . . . . . . . 6 4...

Contents iii 1 Concepts, models and de.nitions 1 1.1 De.ning nonlinearity . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 Where does nonlinearity come from? . . . . . . . . . . . . . . 2 1.3 Stationarity and nonstationarity . . . . . ....

内容： ch0-金融计量分析引论 ch1-金融数据的统计分析 ch2-自回归移动平均模型 ch3-资产报酬的预测力 ch4-事件研究 ch5-capm检验 ch6-单位根检验 ch7-协整分析 ch8-自回归条件异方差模型 ch9-金融风险管理...