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Course in Derivative Securities: Introduction to Theory and Computation

By: Series: Springer FinancePublication details: New York: Springer, 2005Description: 355ISBN:
  • 9783540253730
Subject(s): DDC classification:
  • 332.6457 BAC
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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Book Book Alliance School of Business 332.6457 BAC (Browse shelf(Opens below)) Available A27556
Total holds: 0

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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