Abstract
Classical financial mathematics deals first of all with basic financial instruments like stocks, foreign currencies and bonds. A derivative (derivative security or contingent claim) is a financial instrument whose value depends on the value of others, more basic underlying variables. In this chapter we consider forward contracts, futures contracts and options as well as some combinations.
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Recommended Literature
Hull, J. C. (2000). Options, Futures and other Derivatives,Prentice Hall.
Jarrow, R. (1992). Finance Theory, 2 edn, Prentice-Hall, Englewood Cliffs, NJ.
Cox, J. and Rubinstein, M. (1985). Options Markets,Prentice-Hall, Englewood Cliffs.
Neftci, S. (1996). An introduction to the mathematics of financial derivatives, Academic Press, San Diego.
Duffle, D. (1996). Dynamic asset pricing theory, 2 edn, Princeton University Press. Princeton.
Mai, H. and de Varenne, F. (1998). Options, futures and exotic derivatives, John Wiley & Sons, Chichester.
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© 2004 Springer-Verlag Berlin Heidelberg
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Franke, J., Härdle, W., Hafner, C.M. (2004). Derivatives. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-10026-4_1
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DOI: https://doi.org/10.1007/978-3-662-10026-4_1
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-21675-9
Online ISBN: 978-3-662-10026-4
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