A Course in Derivative Securities Introduction to Theory and Computation için kapak resmi
Başlık:
A Course in Derivative Securities Introduction to Theory and Computation
Dil:
English
ISBN:
9783540279006
Yayın Bilgileri:
Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
Fiziksel Tanımlama:
XVI, 356 p. online resource.
Seri:
Springer Finance
İçerik:
to Option Pricing -- Asset Pricing Basics -- Continuous-Time Models -- Black-Scholes -- Estimating and Modelling Volatility -- 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 -- to Fixed Income Derivatives -- Valuing Derivatives in the Extended Vasicek Model -- A Brief Survey of Term Structure Models.
Özet:
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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"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS


Yazar Notları

Kerry Back holds the Jerry and Kay Cox Professorship of Business and the Thomas W. Leland Memorial Professorship of Finance at Texas A&M University. Before joining Texas A&M in 2005, he was a chaired professor at Washington University in St. Louis. His awards and honors include a Batterymarch Fellowship (1991-92), a best paper award at the Review of Financial Studies (1993) the Reid Teaching Award at Washington University in St. Louis (1997, 1998, 1999, 2001), and the Washington University Distinguished Faculty Award (1999). He is a past editor of the Review of Financial Studies and is currently co-editor of Finance and Stochastics and an associate editor of the Journal of Finance.


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"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 JACKET.