A Course in Derivative Securities: Introduction to Theory and Computation

Front Cover
Springer Science & Business Media, Jun 8, 2005 - Business & Economics - 356 pages
0 Reviews
This book is an outgrowth of notes compiled by the author while teaching courses for undergraduate and masters/MBA ?nance students at Washi- ton University in St. Louis and the Institut fur ̈ H ̈ ohere Studien in Vienna. At onetime,acourseinOptionsandFutureswasconsideredanadvanced?nance elective, but now such a course is nearly mandatory for any ?nance major and is an elective chosen by many non-?nance majors as well. Moreover, students are exposed to derivative securities in courses on Investments, International Finance, Risk Management, Investment Banking, Fixed Income, etc. This - pansion of education in derivative securities mirrors the increased importance of derivative securities in corporate ?nance and investment management. MBA and undergraduate courses typically (and appropriately) focus on the use of derivatives for hedging and speculating. This is su?cient for many students. However, the seller of derivatives, in addition to needing to und- standbuy-sidedemands,isconfrontedwiththeneedtopriceandhedge.Mo- over,thebuyerofderivatives,dependingonthedegreeofcompetitionbetween sellers, may very likely bene?t from some knowledge of pricing as well. It is “pricing and hedging” that is the primary focus of this book. Through lea- ing the fundamentals of pricing and hedging, students also acquire a deeper understanding of the contracts themselves. Hopefully, this book will also be of use to practitioners and for students in Masters of Financial Engineering programs and, to some extent, Ph.D. students in ?nance.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

1
3
7
35
Estimating and Modelling Volatility
71
Problems
84
Problems
107
Fixed Income Concepts
237
Introduction to Fixed Income Derivatives 253
252
Valuing Derivatives in the Extended Vasicek Model
265
A Brief Survey of Term Structure Models
295
Appendices
319
B Miscellaneous Facts about ContinuousTime Models 333
332
List of Programs
346
Index
353
Copyright

Other editions - View all

Common terms and phrases

About the author (2005)

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.

Bibliographic information