A course in derivative securities: introduction to theory and computation
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2005
|
| Series: | Springer Finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XV, 355 S. 235 mm x 155 mm |
| ISBN: | 3540253734 9783540253730 |
Staff View
MARC
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| 245 | 1 | 0 | |a A course in derivative securities |b introduction to theory and computation |c Kerry Back |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2005 | |
| 300 | |a XV, 355 S. |c 235 mm x 155 mm | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Springer Finance | |
| 650 | 4 | |a Instruments dérivés (Finances) - Modèles mathématiques - Manuels d'enseignement supérieur | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Derivative securities |x Mathematical models |v Textbooks | |
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Record in the Search Index
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| adam_text | Contents
Part I Introduction to Option Pricing
Asset Pricing Basics
....................................... 3
1.1
Fundamental Concepts
.................................. 3
1.2
State Prices in a One-Period Binomial Model
.............. 11
1.3
Probabilities and Numeraires
............................. 14
1.4
Asset Pricing with a Continuum of States
................. 17
1.5
Introduction to Option Pricing
........................... 21
1.6
An Incomplete Markets Example
......................... 24
Problems
................................................... 25
Continuous-Time Models
.................................. 27
2.1
Simulating a Brownian Motion
........................... 28
2.2
Quadratic Variation
..................................... 29
2.3
Ito
Processes
........................................... 31
2.4
Itô s
Formula
.......................................... 33
2.5
Multiple
Ito
Processes
................................... 35
2.6
Examples of
Itô s
Formula
............................... 37
2.7
Reinvesting Dividends
................................... 38
2.8
Geometric Brownian Motion
............................. 39
2.9
Numeraires and Probabilities
............................. 41
2.10
Tail Probabilities of Geometric Brownian Motions
.......... 44
2.11
Volatilities
............................................. 46
Problems
................................................... 48
Black-Scholes
.............................................. 49
3.1
Digital Options
......................................... 49
3.2
Share Digitals
.......................................... 51
3.3
Puts and Calls
......................................... 52
3.4
Greeks
................................................ 53
3.5
Delta Hedging
.......................................... 55
XII Contents
3.6
Gamma Hedging
....................................... 57
3.7
Implied Volatilities
..................................... 58
3.8
Term Structure of Volatility
.............................. 58
3.9
Smiles and Smirks
...................................... 60
ЗЛО
Calculations in VBA
.................................... 60
Problems
................................................... 67
4
Estimating and Modelling Volatility
....................... 71
4.1
Statistics Review
....................................... 71
4.2
Estimating a Constant Volatility and Mean
................ 73
4.3
Estimating a Changing Volatility
......................... 75
4.4
GARCH Models
........................................ 77
4.5
Stochastic Volatility Models
.............................. 79
4.6
Smiles and Smirks Again
................................ 82
4.7
Hedging and Market Completeness
........................ 83
Problems
................................................... 84
5
Introduction to Monte Carlo and Binomial Models
........ 87
5.1
Introduction to Monte Carlo
............................. 87
5.2
Introduction to Binomial Models
......................... 89
5.3
Binomial Models for American Options
.................... 91
5.4
Binomial Parameters
.................................... 92
5.5
Binomial Greeks
........................................ 94
5.6
Monte Carlo Greeks I: Difference Ratios
................... 96
5.7
Monte Carlo Greeks II: Pathwise Estimates
................ 98
5.8
Calculations in VBA
....................................101
Problems
...................................................107
Part II Advanced Option Pricing
6
Foreign Exchange
..........................................
Ill
6.1
Currency Options
......................................112
6.2
Options on Foreign Assets Struck in Foreign Currency
.......112
6.3
Options on Foreign Assets Struck in Domestic Currency
.....112
6.4
Currency Forwards and Futures
..........................113
6.5
Quantos
...............................................116
6.6
Replicating
Quantos
....................................118
6.7
Quanto
Forwards
.......................................121
6.8
Quanto
Options
........................................121
6.9
Return Swaps
..........................................123
6.10
Uncovered Interest Parity
................................125
Problems
...................................................125
Contents XIII
7
Forward, Futures, and Exchange Options
..................129
7.1
Margrabe s Formula
....................................130
7.2
Black s Formula
........................................132
7.3
Merton s Formula
......................................136
7.4
Deferred Exchange Options
..............................139
7.5
Calculations in VBA
.....................................140
7.6
Greeks and Hedging
....................................142
7.7
The Relation of Futures Prices to Forward Prices
...........144
7.8
Futures Options
........................................145
7.9
Time-Varying Volatility
.................................147
7.10
Hedging with Forwards and Futures
.......................147
7.11
Market Completeness
...................................150
Problems
...................................................152
8
Exotic Options
............................................155
8.1
Forward-Start Options
..................................155
8.2
Compound Options
.....................................158
8.3
American Calls with Discrete Dividends
...................162
8.4
Choosers
..............................................166
8.5
Options on the Max or
Min
..............................168
8.6
Barrier Options
........................................171
8.7
Lookbacks
.............................................175
8.8
Basket and Spread Options
..............................176
8.9
Asian Options
..........................................178
8.10
Calculations in VBA
....................................183
Problems
...................................................193
9
More on Monte Carlo and Binomial Valuation
.............197
9.1
Monte Carlo Models for Path-Dependent Options
...........197
9.2
Binomial Valuation of Basket and Spread Options
..........198
9.3
Monte Carlo Valuation of Basket and Spread Options
.......200
9.4
Antithetic
Variâtes
in Monte Carlo
.......................202
9.5
Control
Variâtes
in Monte Carlo
..........................203
9.6
Accelerating Binomial Convergence
.......................205
9.7
Calculations in VBA
....................................207
Problems
...................................................216
10
Finite Difference Methods
.................................219
10.1
Fundamental PDE
......................................219
10.2
Discretizing the PDE
...................................221
10.3
Explicit and Implicit Methods
............................222
10.4
Crank-Nicolson
.........................................225
10.5
European Options
......................................226
10.6
American Options
......................................227
10.7
Barrier Options
........................................227
XIV Contents
10.8
Calculations in
VBA....................................227
Problems
...................................................233
Part III Fixed Income
11
Fixed Income Concepts
....................................237
11.1
The Yield Curve
.......................................237
11.2
LIBOR
................................................239
11.3
Swaps
.................................................240
11.4
Yield to Maturity, Duration, and Convexity
................242
11.5
Principal Components
...................................245
11.6
Hedging Principal Components
...........................248
Problems
...................................................249
12
Introduction to Fixed Income Derivatives
..................253
12.1
Caps and Floors
........................................253
12.2
Forward Rates
.........................................254
12.3
Portfolios that Pay Spot Rates
...........................254
12.4
The Market Model for Caps and Floors
...................255
12.5
The Market Model for European Swaptions
................257
12.6
A Comment on Consistency
..............................259
12.7
Caplets as Puts on Discount Bonds
.......................260
12.8
Swaptions as Options on Coupon Bonds
...................260
12.9
Calculations in VBA
....................................261
Problems
...................................................262
13
Valuing Derivatives in the Extended Vasicek Model
.......265
13.1
The Short Rate and Discount Bond Prices
.................265
13.2
The Vasicek Model
.....................................266
13.3
Estimating the Vasicek Model
............................269
13.4
Hedging in the Vasicek Model
............................271
13.5
Extensions of the Vasicek Model
..........................273
13.6
Fitting Discount Bond Prices and Forward Rates
...........275
13.7
Discount Bond Options, Caps and Floors
..................277
13.8
Coupon Bond Options and Swaptions
.....................280
13.9
Captions and Floortions
.................................283
13.10
Yields and Yield Volatilities
..............................284
13.11
The General Hull-White Model
...........................285
13.12
Calculations in VBA
....................................289
Problems
...................................................293
Contents
XV
14
A
Brief
Survey of Term Structure Models
.................295
14.1
Но
-Lee
................................................
295
14.2
Black-Derman-Toy
......................................300
14.3
Black-Karasinski
.......................................302
14.4
Cox-Ingersoll-Ross
......................................302
14.5
Longstaff-Schwartz
.....................................307
14.6
Heath-Jarrow-Morton
...................................310
14.7
Market Models Again
...................................312
Problems
...................................................316
Appendices
A Programming in VBA
.....................................319
A.I VBA Editor and Modules
................................319
A.
2
Subroutines and Functions
...............................320
A.3 Message Box and Input Box
.............................321
A.4 Writing to and Reading from Cells
........................322
A.
5
Variables and Assignments
...............................323
A.
6
Mathematical Operations
................................324
A.
7
Random Numbers
......................................324
A.8 For Loops
.............................................325
A.
9
While Loops and Logical Expressions
.....................326
A.
10
If, Else, and Elself Statements
............................326
A.
11
Variable Declarations
...................................327
A.12 Variable Passing
........................................328
A.13 Arrays
................................................329
A.
14
Debugging
.............................................331
В
Miscellaneous Facts about Continuous-Time Models
.......333
B.I Girsanov s Theorem
....................................333
B.2 The Minimum of a Geometric Brownian Motion
............336
B.3 Bessel Squared Processes and the
CIR
Model
..............340
List of Programs
...............................................346
List of Symbols
................................................347
References
.....................................................349
Index
..........................................................353
|
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57 |
| dewey-search | 332.64/57 |
| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV019805972 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T20:06:33Z |
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| isbn | 3540253734 9783540253730 |
| language | English |
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| physical | XV, 355 S. 235 mm x 155 mm |
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| spelling | Back, Kerry E. Verfasser (DE-588)129613835 aut A course in derivative securities introduction to theory and computation Kerry Back Berlin [u.a.] Springer 2005 XV, 355 S. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Springer Finance Instruments dérivés (Finances) - Modèles mathématiques - Manuels d'enseignement supérieur Mathematisches Modell Derivative securities Mathematical models Textbooks Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Wertpapieranalyse (DE-588)4124458-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Wertpapieranalyse (DE-588)4124458-8 s Optionspreistheorie (DE-588)4135346-8 s Finanzmathematik (DE-588)4017195-4 s DE-604 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013131470&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Back, Kerry E. A course in derivative securities introduction to theory and computation Instruments dérivés (Finances) - Modèles mathématiques - Manuels d'enseignement supérieur Mathematisches Modell Derivative securities Mathematical models Textbooks Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd Wertpapieranalyse (DE-588)4124458-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4135346-8 (DE-588)4124458-8 (DE-588)4017195-4 |
| title | A course in derivative securities introduction to theory and computation |
| title_auth | A course in derivative securities introduction to theory and computation |
| title_exact_search | A course in derivative securities introduction to theory and computation |
| title_full | A course in derivative securities introduction to theory and computation Kerry Back |
| title_fullStr | A course in derivative securities introduction to theory and computation Kerry Back |
| title_full_unstemmed | A course in derivative securities introduction to theory and computation Kerry Back |
| title_short | A course in derivative securities |
| title_sort | a course in derivative securities introduction to theory and computation |
| title_sub | introduction to theory and computation |
| topic | Instruments dérivés (Finances) - Modèles mathématiques - Manuels d'enseignement supérieur Mathematisches Modell Derivative securities Mathematical models Textbooks Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd Wertpapieranalyse (DE-588)4124458-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Instruments dérivés (Finances) - Modèles mathématiques - Manuels d'enseignement supérieur Mathematisches Modell Derivative securities Mathematical models Textbooks Derivat Wertpapier Optionspreistheorie Wertpapieranalyse Finanzmathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013131470&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT backkerrye acourseinderivativesecuritiesintroductiontotheoryandcomputation |