Springer Finance Textbooks

A Course in Derivative Securities

Introduction to Theory and Computation

Authors: Back, Kerry

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eBook $59.99
price for USA (gross)
  • ISBN 978-3-540-27900-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.95
price for USA
  • ISBN 978-3-540-25373-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.95
price for USA
  • ISBN 978-3-642-06474-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

About the authors

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.

Reviews

From the reviews of the first edition:

"Professor Back has written a superb book on advanced derivatives. The book provides wonderfully clear explanations without sacrificing mathematical accuracy. I highly recommend this book for everyone who wants to understand more about this fascinating and important area."
(Mark Broadie, Columbia University, New York)
"
Professor Kerry Back's book fills a void in the derivative literature by providing an excellent and much needed book for a second course in derivatives. The clear presentation and the choice of VBA as the software tool makes this a perfect textbook for such a course. Using VBA via excel is an excellent choice as it exhibits an "open source" environment that is readily available for users."
(Eliezer Z. Prisman, York University, Toronto)

"This book deals with pricing and hedging financial derivatives. … Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory. … The book under review succeeds in presenting intuitively advanced derivative modelling … . In my opinion, it provides a useful bridge between introductory books and the more advanced literature." (Benjamin Jourdain, Mathematical Reviews, Issue 2006 h)

"This book contains a practical introduction to the mathematics of financial engineering. It can serve as an excellent bridge between the introductory books on derivative securities and those that provide advanced mathematical treatments. … the book presents a very wide spectrum of the problems and methods concerned with pricing and hedging derivatives in a quite accessible way. … it can be strongly recommended not only to be used as a course but also for those wishing to train themselves in this field." (Malgorzata Doman, Zentralblatt MATH, Vol. 1085, 2006)

"The strength of this book is in its clarity in exposition of the complex … modern financial mathematics. The book is self-contained, and a student can learn the key elements of the main toolkits in financial engineering … . Further, the book provides useful exercises and VBA programs so that the students can simulate the results … . I recommend the book to an MBA program … . The book could also be used in some master programs in financial engineering and mathematical finance." (Thomas S. Y. Ho, SIAM Review, Vol. 48 (3), 2006)


Table of contents (14 chapters)

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-3-540-27900-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.95
price for USA
  • ISBN 978-3-540-25373-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.95
price for USA
  • ISBN 978-3-642-06474-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
A Course in Derivative Securities
Book Subtitle
Introduction to Theory and Computation
Authors
Series Title
Springer Finance Textbooks
Copyright
2005
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-27900-6
DOI
10.1007/3-540-27900-8
Hardcover ISBN
978-3-540-25373-0
Softcover ISBN
978-3-642-06474-6
Edition Number
1
Number of Pages
XVI, 356
Topics