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Cover: 9783642064746 | A Course in Derivative Securities | Kerry Back | Taschenbuch | XVI
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A Course in Derivative Securities
Introduction to Theory and Computation
Taschenbuch von Kerry Back
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor

Kerry Back holds the Jerry and Kay Cox Professorship of Business and the Thomas W. Leland Memorial Professorship of Finance at Texas A&M University. Before joining Texas A&M in 2005, he was a chaired professor at Washington University in St. Louis. His awards and honors include a Batterymarch Fellowship (1991-92), a best paper award at the Review of Financial Studies (1993) the Reid Teaching Award at Washington University in St. Louis (1997, 1998, 1999, 2001), and the Washington University Distinguished Faculty Award (1999). He is a past editor of the Review of Financial Studies and is currently co-editor of Finance and Stochastics and an associate editor of the Journal of Finance.

Zusammenfassung
The book is unusual in combining derivations of the pricing and hedging formulas, computer code implementing the formulas, and an introduction to computational methods
The computational tools supplement the theory, allowing the inclusion of exercises of a practical nature
Has a broad coverage of derivatives and can be used either for courses emphasizing computation or for courses emphasizing theory
Uses almost exclusively the probabilistic (change of numeraire) approach, which is developed in the first chapter
The VBA code is available in an Excel workbook, which includes examples of all of the functions (available on the internet)
Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2010
Fachbereich: Volkswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 372
Reihe: Springer Finance Textbooks
Inhalt: xvi
356 S.
ISBN-13: 9783642064746
ISBN-10: 3642064744
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Back, Kerry
Auflage: Softcover reprint of hardcover 1st ed. 2005
Hersteller: Springer-Verlag GmbH
Springer Berlin Heidelberg
Springer Finance Textbooks
Maße: 235 x 155 x 21 mm
Von/Mit: Kerry Back
Erscheinungsdatum: 21.10.2010
Gewicht: 0,563 kg
preigu-id: 107023161
Über den Autor

Kerry Back holds the Jerry and Kay Cox Professorship of Business and the Thomas W. Leland Memorial Professorship of Finance at Texas A&M University. Before joining Texas A&M in 2005, he was a chaired professor at Washington University in St. Louis. His awards and honors include a Batterymarch Fellowship (1991-92), a best paper award at the Review of Financial Studies (1993) the Reid Teaching Award at Washington University in St. Louis (1997, 1998, 1999, 2001), and the Washington University Distinguished Faculty Award (1999). He is a past editor of the Review of Financial Studies and is currently co-editor of Finance and Stochastics and an associate editor of the Journal of Finance.

Zusammenfassung
The book is unusual in combining derivations of the pricing and hedging formulas, computer code implementing the formulas, and an introduction to computational methods
The computational tools supplement the theory, allowing the inclusion of exercises of a practical nature
Has a broad coverage of derivatives and can be used either for courses emphasizing computation or for courses emphasizing theory
Uses almost exclusively the probabilistic (change of numeraire) approach, which is developed in the first chapter
The VBA code is available in an Excel workbook, which includes examples of all of the functions (available on the internet)
Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2010
Fachbereich: Volkswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 372
Reihe: Springer Finance Textbooks
Inhalt: xvi
356 S.
ISBN-13: 9783642064746
ISBN-10: 3642064744
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Back, Kerry
Auflage: Softcover reprint of hardcover 1st ed. 2005
Hersteller: Springer-Verlag GmbH
Springer Berlin Heidelberg
Springer Finance Textbooks
Maße: 235 x 155 x 21 mm
Von/Mit: Kerry Back
Erscheinungsdatum: 21.10.2010
Gewicht: 0,563 kg
preigu-id: 107023161
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