A Course in Derivative Securities

Introduction to Theory and Computation

  • Kerry Back

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XV
  2. Introduction to Option Pricing

  3. Advanced Option Pricing

  4. Fixed Income

  5. Back Matter
    Pages 319-355

About this book

Introduction

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.

Keywords

Asset Pricing Derivative Securities Futures Option Pricing Options Probability theory Volatility linear optimization

Authors and affiliations

  • Kerry Back
    • 1
  1. 1.Department of Finance, Mays Business SchoolTexas A&M UniversityCollege StationUSA

Bibliographic information

  • DOI https://doi.org/10.1007/3-540-27900-8
  • Copyright Information Springer-Verlag Berlin Heidelberg 2005
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-540-25373-0
  • Online ISBN 978-3-540-27900-6
  • About this book