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Book Cover
Author Back, K. (Kerry)

Title A course in derivative securities : introduction to theory and computation / Kerry Back
Published Berlin ; New York : Springer, ©2005


Description 1 online resource (xv, 355 pages)
Series Springer finance, 1616-0533
Springer finance. 1616-0533
Contents From the contents:Part I Introduction to Option Pricing: Asset Pricing Basics. Continuous-Time Models. Black-Scholes. Estimating and Modelling Volatility. Introduction to Monte Carlo and Binomial Models -- Part II Advanced Option Pricing: Foreign Exchange. Forward, Futures, and Exchange Options. Exotic Options. More on Monte Carlo and Binomial Valuation. Finite Difference Methods -- Part III Fixed Income: Fixed Income Concepts. Introduction to Fixed Income Derivatives. Valuing Derivatives in the Extended Vasicek Model. A Brief Survey of Term Structure Models -- Appendices: A: Programming in VBA. B: Miscellaneous Facts about Continuous-Time Models -- List of Programs. List of Symbols. References. Index
Summary "This book aims at a middle ground between the introductory books on derivative securities and those that provide advanced mathematical treatments. It is written for mathematically capable students who have not necessarily had prior exposure to probability theory, stochastic calculus, or computer programming. It provides derivations of pricing and hedging formulas (using the probabilistic change of numeraire technique) for standard options, exchange options, options on forwards and futures, quanto options, exotic options, caps, floors and swaptions, as well as VBA code implementing the formulas. It also contains an introduction to Monte Carlo, binomial models, and finite-difference methods."--Jacket
Bibliography Includes bibliographical references (pages 349-352) and index
Notes English
In Springer e-books
Subject Derivative securities -- Mathematical models -- Textbooks
Derivative securities -- Mathematical models.
Derivative securities -- Mathematical models.
Genre/Form Textbooks.
Form Electronic book
ISBN 3540253734