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A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance)

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A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS

About the Author

Kerry Back holds the Jerry and Kay Cox Professorship of Business and the Thomas W. Leland Memorial Professorship of Finance at Texas A&M University. Before joining Texas A&M in 2005, he was a chaired professor at Washington University in St. Louis. His awards and honors include a Batterymarch Fellowship (1991-92), a best paper award at the Review of Financial Studies (1993) the Reid Teaching Award at Washington University in St. Louis (1997, 1998, 1999, 2001), and the Washington University Distinguished Faculty Award (1999). He is a past editor of the Review of Financial Studies and is currently co-editor of Finance and Stochastics and an associate editor of the Journal of Finance.

Table of Contents

From the contents: Part I Introduction to Option Pricing: Asset Pricing Basics. Continuous-Time Models. Black-Scholes. Estimating and Modelling Volatility. Introduction to Monte Carlo and Binomial Models.- Part II Advanced Option Pricing: Foreign Exchange. Forward, Futures, and Exchange Options. Exotic Options. More on Monte Carlo and Binomial Valuation. Finite Difference Methods.- Part III Fixed Income: Fixed Income Concepts. Introduction to Fixed Income Derivatives. Valuing Derivatives in the Extended Vasicek Model. A Brief Survey of Term Structure Models.- Appendices: A: Programming in VBA. B: Miscellaneous Facts about Continuous-Time Models.- List of Programs. List of Symbols. References. Index.

Product Details

ISBN:
9783642064746
Author:
Back, Kerry
Publisher:
Springer
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Subject:
Computational finance
Subject:
Derivative securities
Subject:
MSC (2000): 91B28, 91B70, 91-04, 65C05, 65M06, 60G44, 60-04
Subject:
Mathematical finance
Subject:
Option Pricing
Subject:
Term structure models
Subject:
Quantitative Finance
Subject:
Game Theory, Economics, Social and Behav. Sciences
Subject:
Computational Mathematics and Numerical Analysis
Subject:
Probability Theory and Stochastic Processes
Edition Description:
Softcover reprint of hardcover 1st ed. 2005
Series:
Springer Finance / Springer Finance Textbooks
Publication Date:
20101031
Binding:
TRADE PAPER
Language:
English
Pages:
370
Dimensions:
235 x 155 mm 556 gr

Related Subjects

Business » Accounting and Finance
Business » Investing
Science and Mathematics » Mathematics » Foundations and Logic
Science and Mathematics » Mathematics » Introduction
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Physics » Astrophysics

A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance) New Trade Paper
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Product details 370 pages Not Avail - English 9783642064746 Reviews:
"Synopsis" by , "Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS
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