Kerry Back
A Course in Derivative Securities
Introduction to Theory and Computation
Paperback Engels 2010 9783642064746Levertijd ± 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9783642064746
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:356
Uitgever:Springer Berlin Heidelberg
Hoofdrubriek:, Financieel management
Serie:Springer Finance
Thema:
K Economie, Financiën, Bedrijf en Management
Lezersrecensies
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Inhoudsopgave
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.
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