A Course in Derivative Securities : Introduction to Theory and Computation (Springer Finance)
Editorial Reviews
Book 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.
From the Publisher
Endorsements:
Professor Back has written a superb book on advanced derivatives. The book provides wonderfully clear explanations without sacrificing mathematical accuracy. I highly recommend this book for everyone who wants to understand more about this fascinating and important area. Mark Broadie, Columbia University, New York
Professor Kerry Back's book fills a void in the derivative literature by providing an excellent and much needed book for a second course in derivatives. The clear presentation and the choice of VBA as the software tool makes this a perfect textbook for such a course. Using VBA via excel is an excellent choice as it exhibits an "open source" environment that is readily available for users. Eliezer Z. Prisman, York University, Toronto
A Course in Derivative Securities : Introduction to Theory and Computation (Springer Finance)
A Course in Derivative Securities : Introduction to Theory and Computation (Springer Finance),Kerry Back,Springer,3540253734,Business / Economics / Finance,Computer Books: General,Computers,Derivative securities,Finance,Game Theory,Mathematical models,Networking - General,Number Systems,Textbooks,Business & Economics / Finance,Computational finance,MSC (2000): 91B28, 91B70, 91-04, 65C05, 65M06, 60G44, 60-04,Mathematical finance,Option pricing,Term structure models
Book Details:
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