A Course in Derivative Securities
Subtitle: Introduction to Theory and Computation (Springer Finance)
Edition: 1 edition
Publisher: Springer
Published: July 21, 2005
Language: eng
Format: Hardcover
Number of pages: 372
ISBN-13: 9783540253730
Subjects: Investment & securities; Mathematical models; Derivative securities; Computers; Business / Economics / Finance; Textbooks; Computer Books: General; Networking - General; Finance; Game Theory; Number Systems; Business & Economics / Finance; Computational finance; MSC (2000): 91B28, 91B70, 91-04, 65C05, 65M06, 60G44, 60-04; Mathematical finance; Mathematics : Game Theory; Mathematics : Number Systems; Option pricing; Term structure models
First sentence: This chapter introduces the "change of numeraire" (or "martingale" ) method for valuing derivative securities.
Description: 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.