A Course in Derivative Securities
Introduction to Theory and Computation (Springer Finance)
by Kerry Back
- 1 Want to read
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.
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Subjects
Textbooks, Mathematical models, Derivative securities, Instruments dérivés (Finances), Manuels d'enseignement supérieur, Modèles mathématiques, Finanzmathematik, Derivat <Wertpapier>, Wertpapieranalyse, Optionspreistheorie, Computer science, Mathematics, Distribution (Probability theory), Finance| Edition | Availability |
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A Course in Derivative Securities: Introduction to Theory and Computation
Oct 21, 2010, Springer
paperback
3642064744 9783642064746
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A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance)
July 21, 2005, Springer
Hardcover
in English
- 1 edition
3540253734 9783540253730
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Book Details
First Sentence
"This chapter introduces the "change of numeraire" (or "martingale" ) method for valuing derivative securities."
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| April 18, 2025 | Edited by MARC Bot | import existing book |
| December 14, 2022 | Edited by MARC Bot | import existing book |
| July 28, 2014 | Edited by ImportBot | import new book |
| April 28, 2010 | Edited by Open Library Bot | Linked existing covers to the work. |
| December 10, 2009 | Created by WorkBot | add works page |