E Book

A Course in Derivative Securities

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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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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

Berlin, Heidelberg : Springer., 2005

Deskripsi Fisik

XVI, 356 p.online resource.

Bahasa

English

ISBN/ISSN

9783540279006

Klasifikasi

332

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

1st ed. 2005.

Subjek

Computer mathematics.
Probabilities.
Probability Theory and Stochastic Processes.
Finance.
Finance, general.
Game theory.
Game Theory, Economics, Social and Behav. Sciences.
Computational Mathematics and Numerical Analysis.
Economics, Mathematical .
Quantitative Finance.

Info Detail Spesifik

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Pernyataan Tanggungjawab

Kerry Back.

Versi lain/terkait

Lampiran Berkas

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