Course in Derivative Securities Introduction to Theory and Computation

Name: Course in Derivative Securities Introduction to Theory and Computation
Availability: InStock
ISBN: 9783540253730

ISBN-10: 3540253734

ISBN-13: 9783540253730

Edition: 2005

Authors: Kerry Back

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Description:

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.

Book details

List price: $99.99
Copyright year: 2005
Publisher: Springer Berlin / Heidelberg
Publication date: 6/8/2005
Binding: Hardcover
Pages: 356
Size: 6.10" wide x 9.25" long x 1.25" tall
Weight: 1.716




Introduction to Option Pricing: Asset Pricing Basics


Continuous-Time Models. Black-Scholes


Estimating and Modelling Volatility


Introduction to Monte Carlo and Binomial Models



Advanced Option Pricing: Foreign Exchange


Forward, Futures, and Exchange Options. Exotic Options


More on Monte Carlo and Binomial Valuation. Finite Difference Methods



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