ENGLISH

A course in derivative securities

By Kerry Back

Book information

Publisher
Springer
Year
2005
ISBN
3540253734, 9783540253730
Open Library ID
OL9055463M
Language
english
Format
PDF
Filesize
1 MB (1416584 bytes)
Series
Springer Finance
Edition
1
Pages
357\357
Topic
Economy
Library
Kolxo3
Time added
2010-07-29 05:14:56

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.

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