A course in derivative securities : introduction to theory and computation /

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Bibliographic Details
Author / Creator:	Back, K. (Kerry)
Imprint:	Berlin ; New York : Springer, c2005.
Description:	1 online resource (xv, 355 p.)
Language:	English
Series:	Springer finance, 1616-0533 Springer finance.
Subject:	Derivative securities -- Mathematical models -- Textbooks. Derivative securities -- Mathematical models. Textbooks.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/8875541

Hidden Bibliographic Details
ISBN:	3540253734 (hd. bd.) 9783540253730 (hd. bd.) 9783540279006 3540279008 6611329978 9786611329976
Notes:	Includes bibliographical references (p. [349]-352) and index.
Summary:	"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."--Jacket.
Other form:	Print version: Back, K. (Kerry). Course in derivative securities. Berlin ; New York : Springer, c2005 3540253734 9783540253730

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