TY  - BOOK
AU  - Back,Kerry
ED  - SpringerLink (Online service)
TI  - A Course in Derivative Securities: Introduction to Theory and Computation 
T2  - Springer Finance
SN  - 9783540279006
AV  - HG1-HG9999 
U1  - 332 23
PY  - 2005///
CY  - Berlin, Heidelberg
PB  - Springer Berlin Heidelberg
KW  - Finance
KW  - Game theory
KW  - Economics, Mathematical
KW  - Computer mathematics
KW  - Probabilities
KW  - Finance, general
KW  - Quantitative Finance
KW  - Game Theory, Economics, Social and Behav. Sciences
KW  - Computational Mathematics and Numerical Analysis
KW  - Probability Theory and Stochastic Processes
N1  - 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
N2  - 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
UR  - http://dx.doi.org/10.1007/3-540-27900-8
ER  -