Kerry Back: A Course in Derivative Securities

Cover: 9783642064746 | A Course in Derivative Securities | Kerry Back | Taschenbuch | xvi

Rückseite: 9783642064746 | A Course in Derivative Securities | Kerry Back | Taschenbuch | xvi

Dekorationsartikel gehören nicht zum Leistungsumfang.

Sprache: Englisch

59,30 €

inkl. MwSt.

Versandkostenfrei per Post / DHL

Lieferzeit 4-7 Werktage

Kategorien:

Beschreibung

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.

Über den Autor

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.

Zusammenfassung

The book is unusual in combining derivations of the pricing and hedging formulas, computer code implementing the formulas, and an introduction to computational methods
The computational tools supplement the theory, allowing the inclusion of exercises of a practical nature
Has a broad coverage of derivatives and can be used either for courses emphasizing computation or for courses emphasizing theory
Uses almost exclusively the probabilistic (change of numeraire) approach, which is developed in the first chapter
The VBA code is available in an Excel workbook, which includes examples of all of the functions (available on the internet)

Inhaltsverzeichnis

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.

Details

Erscheinungsjahr:	2010
Fachbereich:	Volkswirtschaft
Genre:	Recht , Sozialwissenschaften , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Reihe:	Springer Finance
Inhalt:	xvi 356 S.
ISBN-13:	9783642064746
ISBN-10:	3642064744
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Back, Kerry
Auflage:	Softcover reprint of hardcover 1st edition 2005
Hersteller:	Springer Springer Finance
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 21 mm
Von/Mit:	Kerry Back
Erscheinungsdatum:	21.10.2010
Gewicht:	0,563 kg