Description 
1 online resource (xv, 355 pages) 
Series 
Springer finance, 16160533 

Springer finance. 16160533

Contents 
From the contents:Part I Introduction to Option Pricing: Asset Pricing Basics. ContinuousTime Models. BlackScholes. 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 ContinuousTime 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 finitedifference methods."Jacket 
Bibliography 
Includes bibliographical references (pages 349352) and index 
Notes 
English 
In 
Springer ebooks 
Subject 
Derivative securities  Mathematical models  Textbooks


Derivative securities  Mathematical models.


Derivative securities  Mathematical models.

Genre/Form 
Textbooks.


Textbooks.

Form 
Electronic book

ISBN 
3540253734 

9783540253730 

9783540279006 

3540279008 

6611329978 

9786611329976 
