A Course in Derivative Securities Introduction to Theory and Computation /

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 pro...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Back, Kerry (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
Edición:1st ed. 2005.
Colección:Springer Finance Textbooks,
Temas:
Finance.
Social sciences > Mathematics.
Game theory.
Mathematics > Data processing.
Probabilities.
Financial Economics.
Mathematics in Business, Economics and Finance.
Game Theory.
Computational Mathematics and Numerical Analysis.
Probability Theory.
Acceso en línea:Texto Completo

MARC

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245 1 2 |a A Course in Derivative Securities  |h [electronic resource] :  |b Introduction to Theory and Computation /  |c by Kerry Back. 
250 |a 1st ed. 2005. 
264 1 |a Berlin, Heidelberg :  |b Springer Berlin Heidelberg :  |b Imprint: Springer,  |c 2005. 
300 |a XVI, 356 p.  |b online resource. 
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490 1 |a Springer Finance Textbooks,  |x 2945-9125 
505 0 |a 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. 
520 |a 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. 
650 0 |a Finance. 
650 0 |a Social sciences  |x Mathematics. 
650 0 |a Game theory. 
650 0 |a Mathematics  |x Data processing. 
650 0 |a Probabilities. 
650 1 4 |a Financial Economics. 
650 2 4 |a Mathematics in Business, Economics and Finance. 
650 2 4 |a Game Theory. 
650 2 4 |a Computational Mathematics and Numerical Analysis. 
650 2 4 |a Probability Theory. 
710 2 |a SpringerLink (Online service) 
773 0 |t Springer Nature eBook 
776 0 8 |i Printed edition:  |z 9783540809319 
776 0 8 |i Printed edition:  |z 9783642064746 
776 0 8 |i Printed edition:  |z 9783540253730 
830 0 |a Springer Finance Textbooks,  |x 2945-9125 
856 4 0 |u https://doi.uam.elogim.com/10.1007/3-540-27900-8  |z Texto Completo 
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950 |a Mathematics and Statistics (SpringerNature-11649) 
950 |a Mathematics and Statistics (R0) (SpringerNature-43713) 

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