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A Course in Derivative Securities : Introduction to Theory and Computation /

By: Back, Kerry [author.].
Contributor(s): SpringerLink (Online service).
Material type: materialTypeLabelBookSeries: Springer Finance: Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.Description: XVI, 356 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783540279006.Subject(s): Finance | Game theory | Economics, Mathematical | Computer mathematics | Probabilities | Finance | Finance, general | Quantitative Finance | Game Theory, Economics, Social and Behav. Sciences | Computational Mathematics and Numerical Analysis | Probability Theory and Stochastic ProcessesDDC classification: 332 Online resources: Click here to access online
Contents:
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.
In: Springer eBooksSummary: 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.
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Item type Current location Call number Status Date due Barcode Item holds
E books E books PK Kelkar Library, IIT Kanpur
Available EBK6440
Total holds: 0

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.

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.

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