An Introduction to the Mathematics of Financial Derivatives 3/e
暫譯: 金融衍生品數學入門 第三版

• 透過理論與應用的結合以及實作學習，促進讀者對基礎數學和理論模型的理解
• 以直觀的方式呈現，將複雜的數學概念拆解為易於理解的概念
• 鼓勵將各章節作為不同主題的補充閱讀，提供學習和教學的靈活性

Ali Hirsa is managing partner at Sauma Capital, LLC. Previously he was partner and head of analytical trading strategy at Caspian Capital Management, LLC. Prior to joining Caspian, Ali worked as a quant at Morgan Stanley, Banc of America Securities, and Prudential Securities. He is also an adjunct associate professor of financial engineering at Columbia University since 2000 and Courant Institute of New York University in the mathematics of finance program since 2004. Ali is the author of Computational Methods in Finance, Chapman & Hall/CRC 2012 and the co-author of An Introduction to Mathematics of Financial Derivatives, Academic Press 2013 and is the editor of Journal of Investment Strategies. He has several publications and is a frequent speaker at academic and practitioner conferences. Ali received his Ph.D. in applied mathematics from University of Maryland at College Park under the supervision of Professors Howard C. Elman and Dilip B. Madan. He currently serves as a trustee at University of Maryland College Park Foundation

阿里·希爾薩（Ali Hirsa）是 Sauma Capital, LLC 的管理合夥人。之前，他是 Caspian Capital Management, LLC 的合夥人及分析交易策略主管。在加入 Caspian 之前，阿里曾在摩根士丹利（Morgan Stanley）、美國銀行證券（Banc of America Securities）和保誠證券（Prudential Securities）擔任量化分析師。自 2000 年以來，他還擔任哥倫比亞大學（Columbia University）金融工程的兼任副教授，以及自 2004 年以來紐約大學（New York University）Courant 數學金融計畫的兼任副教授。阿里是《金融計算方法》（Computational Methods in Finance, Chapman & Hall/CRC 2012）的作者，也是《金融衍生品數學導論》（An Introduction to Mathematics of Financial Derivatives, Academic Press 2013）的共同作者，並擔任《投資策略期刊》（Journal of Investment Strategies）的編輯。他有多篇出版物，並且經常在學術和實務會議上發表演講。阿里在馬里蘭大學（University of Maryland at College Park）獲得應用數學博士學位，指導教授為霍華德·C·艾爾曼（Howard C. Elman）和迪利普·B·馬丹（Dilip B. Madan）。他目前擔任馬里蘭大學公園基金會（University of Maryland College Park Foundation）的受託人。

1: Financial Derivatives: A Brief Introduction
2: A Primer on Arbitrage Theorem
3: Review of Deterministic Calculus
4: Pricing Derivatives: Models and Notations
5: Tools in Probability Theory
6: Martingales and Martingale Representations
7: Differentiation in Stochastic Environments
8: The Wiener Process, Levy Processes, and Rare Events in Financial Markets
9: Integration in Stochastic Environments
10: Ito's Lemma
11: The dynamics of Derivatives Prices
12: Pricing Derivatives Products: Partial Differential Equations
13: PDEs and PIDEs- An Application
14: Pricing Derivatives Products: Equivalent Martingale Measures
15: Equivalent Martingale Measures
16: New Results and Tools for Interest Sensitive Securities
17: Arbitrage Theorem in a New Setting
18: Modeling Term Structure and Related Concepts
19: Classical and HJM Approach to Fixed Income
20: Classical PDE Analysis for Interest Rate Derivatives
21: Relating Conditional Expectations to PDEs
22: Pricing Derivatives Via Fourier Transform Techniques
23: Credit Spread and Credit Derivatives
24: Stopping Times and American-Type Securities
25: Overview of Calibration and Estimation Techniques

1: Financial Derivatives: A Brief Introduction

2: A Primer on Arbitrage Theorem

3: Review of Deterministic Calculus

4: Pricing Derivatives: Models and Notations

5: Tools in Probability Theory

6: Martingales and Martingale Representations

7: Differentiation in Stochastic Environments

8: The Wiener Process, Levy Processes, and Rare Events in Financial Markets

9: Integration in Stochastic Environments

10: Ito's Lemma

11: The dynamics of Derivatives Prices

12: Pricing Derivatives Products: Partial Differential Equations

13: PDEs and PIDEs- An Application

14: Pricing Derivatives Products: Equivalent Martingale Measures

15: Equivalent Martingale Measures

16: New Results and Tools for Interest Sensitive Securities

17: Arbitrage Theorem in a New Setting

18: Modeling Term Structure and Related Concepts

19: Classical and HJM Approach to Fixed Income

20: Classical PDE Analysis for Interest Rate Derivatives

21: Relating Conditional Expectations to PDEs

22: Pricing Derivatives Via Fourier Transform Techniques

23: Credit Spread and Credit Derivatives

24: Stopping Times and American-Type Securities

25: Overview of Calibration and Estimation Techniques