A Course in Derivative Securities: Introduction to Theory and Computation Paperback - 2010
by Kerry Back
From the publisher
From the rear cover
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.
Details
- Title A Course in Derivative Securities: Introduction to Theory and Computation
- Author Kerry Back
- Binding Paperback
- Edition Softcover reprin
- Pages 356
- Volumes 1
- Language ENG
- Publisher Springer
- Date 2010-10-21
- ISBN 9783642064746 / 3642064744
- Weight 1.15 lbs (0.52 kg)
- Dimensions 9.21 x 6.14 x 0.77 in (23.39 x 15.60 x 1.96 cm)
- Dewey Decimal Code 332.645
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