A Course in Derivative Securities Introduction to Theory and Computa
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
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Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie M.H.A. Davis E. Derman C. Klüppelberg E. Kopp W. Schachermayer
Springer Finance Springer Finance is a programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.
M. Ammann, Credit Risk Valuation: Methods, Models, and Application (2001) K. Back, A Course in Derivative Securities: Introduction to Theory and Computation (2005) E. Barucci, Financial Markets Theory. Equilibrium, Efficiency and Information (2003) T.R. Bielecki and M. Rutkowski, Credit Risk: Modeling, Valuation and Hedging (2002) N.H. Bingham and R. Kiesel, Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives (1998, 2nd ed. 2004) D. Brigo and F. Mercurio, Interest Rate Models: Theory and Practice (2001) R. Buff, Uncertain Volatility Models-Theory and Application (2002) R.A. Dana and M. Jeanblanc, Financial Markets in Continuous Time (2002) G. Deboeck and T. Kohonen (Editors), Visual Explorations in Finance with Self-Organizing Maps (1998) R.J. Elliott and P.E. Kopp, Mathematics of Financial Markets (1999, 2nd ed. 2005) H. Geman, D. Madan, S.R. Pliska and T. Vorst (Editors), Mathematical FinanceBachelier Congress 2000 (2001) M. Gundlach, F. Lehrbass (Editors), CreditRisk+ in the Banking Industry (2004) B.P. Kellerhals, Asset Pricing (2004) Y.-K. Kwok, Mathematical Models of Financial Derivatives (1998) M. Külpmann, Irrational Exuberance Reconsidered (2004) P. Malliavin and A. Thalmaier, Stochastic Calculus of Variations in Mathematical Finance (2005) A. Meucci, Risk and Asset Allocation (2005) A. Pelsser, Efficient Methods for Valuing Interest Rate Derivatives (2000) J.-L. Prigent, Weak Convergence of Financial Markets (2003) B. Schmid, Credit Risk Pricing Models (2004) S.E. Shreve, Stochastic Calculus for Finance I (2004) S.E. Shreve, Stochastic Calculus for Finance II (2004) M. Yor, Exponential Functionals of Brownian Motion and Related Processes (2001) R. Zagst, Interest-Rate Management (2002) Y.-L. Zhu, X. Wu, I.-L. Chern, Derivative Securities and Difference Methods (2004) A. Ziegler, Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance (2003) A. Ziegler, A Game Theory Analysis of Options (2004)
Kerry Back
A Course in Derivative Securities Introduction to Theory and Computation
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Kerry Back Department of Finance Mays Business School Texas A&M University 306 Wehner Building College Station, TX 77843-4218 USA e-mail: [email protected]
Mathematics Subject Classification (2000): 91B28, 91B70, 9104, 65C05, 65M06, 60G44, 6004 JEL Classification: G13, C63
Library of Congress Control Number: 2005922929
ISBN-10 3-540-25373-4 Springer-Verlag Berlin Heidelberg New York ISBN-13 978-3-540-25373-0 Springer-Verlag Berlin Heidelberg New York This work is subject to copyright. All rights are re
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