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Course in Derivative Securities

Name: Course in Derivative Securities
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 01560496
Price: 84.72 EUR
Availability: InStock
Author: Kerry Back
ISBN: 9783540253730

Introduction to Theory and Computation

Kerry Back

Language

English

Book Hardback

Libristo code: 01560496

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, June 2005

This book aims at a middle ground between the introductory books on derivative securities and those... Full description

Libristo code: 01560496

207 b

84.72 €

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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.