A course in derivative securities : introduction to theory and computation
著者
書誌事項
A course in derivative securities : introduction to theory and computation
（Springer finance, Textbooks）
Springer, 2005
- : pbk
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注記
"Softcover reprint of the hardcover 1st edition 2005"--T.p. verso
Includes bibliographical references (p. [349]-352) and index
内容説明・目次
内容説明
"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...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS
目次
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.
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