目录 1 The Binomial No-Arbitrage Pricing Model 1.1 One-Period Binomial Model 1.2 Multiperiod Binomial Model 1.3 Computational Considerations 1.4 Summary 1.5 Notes 1.6 Exercises 2 Probability Theory on Coin Toss Space 2.1 Finite Probability Spaces 2.2 Random Variables, Distributions, and Expectations 2.3 Conditional Expectations 2.4 Martingales 2.5 Markov Processes 2.6 Summary 2.7 Notes 2.8 Exercises 3 State Prices 3.1 Change of Measure 3.2 Radon-Nikodym Derivative Process 3.3 Capital Asset Pricing Model 3.4 Summary 3.5 Notes 3.6 Exercises 4 American Derivative Securities 4.1 Introduction 4.2 Non-Path-Dependent American Derivatives 4.3 Stopping Times 4.4 General American Derivatives 4.5 American Call Options 4.6 Summary 4.7 Notes 4.8 Exercises 5 Random Walk 5.1 Introduction 5.2 First Passage Times 5.3 Reflection Principle 5.4 Perpetual American Put: An Example 5.5 Summary 5.6 Notes 5.7 Exercises 6 Interest-Rate-Dependent Assets 6.1 Introduction 6.2 Binomial Model for Interest Rates 6.3 Fixed-Income Derivatives 6.4 Forward Measures 6.5 Futures 6.6 Summary 6.7 Notes 6.8 Exercises Proof of Fundamental Properties of Conditional Expectations References Index
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