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

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

Description
Summary:	This book is an outgrowth of notes compiled by the author while teaching courses for undergraduate and masters/MBA ?nance students at Washi- ton University in St. Louis and the Institut fur ¨ H¨ ohere Studien in Vienna. At onetime,acourseinOptionsandFutureswasconsideredanadvanced?nance elective, but now such a course is nearly mandatory for any ?nance major and is an elective chosen by many non-?nance majors as well. Moreover, students are exposed to derivative securities in courses on Investments, International Finance, Risk Management, Investment Banking, Fixed Income, etc. This - pansion of education in derivative securities mirrors the increased importance of derivative securities in corporate ?nance and investment management. MBA and undergraduate courses typically (and appropriately) focus on the use of derivatives for hedging and speculating. This is su?cient for many students. However, the seller of derivatives, in addition to needing to und- standbuy-sidedemands,isconfrontedwiththeneedtopriceandhedge.Mo- over,thebuyerofderivatives,dependingonthedegreeofcompetitionbetween sellers, may very likely bene?t from some knowledge of pricing as well. It is "pricing and hedging" that is the primary focus of this book. Through lea- ing the fundamentals of pricing and hedging, students also acquire a deeper understanding of the contracts themselves. Hopefully, this book will also be of use to practitioners and for students in Masters of Financial Engineering programs and, to some extent, Ph.D. students in ?nance.
Physical Description:	1 online resource (xv, 355 p.)
Bibliography:	Includes bibliographical references (p. [349]-352) and index.
ISBN:	3540253734 9783540253730 9783540279006 3540279008 6611329978 9786611329976
ISSN:	1616-0533