A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance)

by Kerry Back

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Product 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.

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Average Customer Review: 4.5 out of 5 stars

1 of 1 people found the following review helpful:

5 out of 5 stars

very good book, highly recommended, 2008-06-29
I definitely agree with other reviewers, besides answers are available. As a matter of fact, I request professor Back whether he has solutions somewhere. He prepared them and emailed to me. What a great person. As a non-quant, I find this book very accessible and clear. Also VBA examples provide useful insight into implementing models, also something I value highly.

2 of 2 people found the following review helpful:

4 out of 5 stars

Can you use change of numeraire technique? , 2008-01-30
I have read literally dozens of books on stochastic calculus and derivatives. This one is different in one aspect. It uses the change of numeraire technique wherever it is possible, to make complicated things simple. Most of the books treat it (and use it) only in a small chapter or only refer to the paper of Geman, Jamshidian, El Karoui. I understood this technique before, but here it is used so often that it actually becomes your technique and your weapon. Very powerful, I would like to thank the author. One star less because there are no solutions to exercises.

14 of 14 people found the following review helpful:

5 out of 5 stars

Most Practical Financial Engineering textbook, 2006-02-13
Dr Kerry Back in my opinion wrote one the best if not the best practical book in financial Derivatives. In such a crowded field where books are published at an exponential rate; finding a practical book is often a challenge especially since many of them repeat the same information over and over. The best feature of this textbook lies in the problems at the end of chapters. The problems are well chosen and very practical and require the use of VBA/Excel. This book does not get involved with complicated math as so many books in financial engineering do. I am doing a Phd degree in math, I deal with abstract mathematics on a daily basis so am looking for a textbook that will provide a good intuition to the concept of Derivative Securities without sacrificing too much Mathematical rigor. In this regard Dr Kerry Back did a very good job, the book requires only an understanding of non-measure probability theory, calculus, linear algebra and differential equations making it accessible to MBA students and undergraduates as well. I strongly recommend this book to math majors who want a textbook that explain Financial Derivatives well. I also recommend Stochastic Calculus for Finance II by Shreve for readers who want a measure theoric and PDE approcah to Financial Derivatives.

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