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A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance / Springer Finance Textbooks) [Paperback]

Kerry Back
5.0 out of 5 stars  See all reviews (1 customer review)
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Book Description

21 Oct 2010 3642064744 978-3642064746 Softcover reprint of hardcover 1st ed. 2005

"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


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Product details

  • Paperback: 372 pages
  • Publisher: Springer; Softcover reprint of hardcover 1st ed. 2005 edition (21 Oct 2010)
  • Language: English
  • ISBN-10: 3642064744
  • ISBN-13: 978-3642064746
  • Product Dimensions: 23.4 x 15.6 x 2 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Bestsellers Rank: 1,712,445 in Books (See Top 100 in Books)
  • See Complete Table of Contents

Product Description

Review

From the reviews of the first edition:

"Professor Back has written a superb book on advanced derivatives. The book provides wonderfully clear explanations without sacrificing mathematical accuracy. I highly recommend this book for everyone who wants to understand more about this fascinating and important area."
(Mark Broadie, Columbia University, New York)
"
Professor Kerry Back's book fills a void in the derivative literature by providing an excellent and much needed book for a second course in derivatives. The clear presentation and the choice of VBA as the software tool makes this a perfect textbook for such a course. Using VBA via excel is an excellent choice as it exhibits an "open source" environment that is readily available for users."
(Eliezer Z. Prisman, York University, Toronto)

"This book 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 under review succeeds in presenting intuitively advanced derivative modelling … . In my opinion, it provides a useful bridge between introductory books and the more advanced literature." (Benjamin Jourdain, Mathematical Reviews, Issue 2006 h)

"This book contains a practical introduction to the mathematics of financial engineering. It can serve as an excellent bridge between the introductory books on derivative securities and those that provide advanced mathematical treatments. … the book presents a very wide spectrum of the problems and methods concerned with pricing and hedging derivatives in a quite accessible way. … it can be strongly recommended not only to be used as a course but also for those wishing to train themselves in this field." (Malgorzata Doman, Zentralblatt MATH, Vol. 1085, 2006)

"The strength of this book is in its clarity in exposition of the complex … modern financial mathematics. The book is self-contained, and a student can learn the key elements of the main toolkits in financial engineering … . Further, the book provides useful exercises and VBA programs so that the students can simulate the results … . I recommend the book to an MBA program … . The book could also be used in some master programs in financial engineering and mathematical finance." (Thomas S. Y. Ho, SIAM Review, Vol. 48 (3), 2006)

From the Back Cover

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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Most Helpful Customer Reviews
5.0 out of 5 stars It has a number of virtues. 15 Oct 2011
Format:Paperback
I have been teaching from the book, and found a number of virtues. I used it in a beginning graduate course, but one which was very interdisciplinary. I aimed at covering all the relevant topics for the subject, not stressing one (too much!) over the others.
Now the book is aimed at MBA students, and I used it in a course with students from a handful of departments.

But for this purpose the level and the details in Kerry Back's book was on target.
It helps student who come with a minimal mathematical background to be able quickly to absorb some main principles.
And at the same time it helps math students to understand ideas from economics and from finance.
The book offers an effective entry into the fundamentals of probability space, random variables, and Black-Scholes.

In particular, it offers insight into Black-Scholes, that doesn't presuppose, on the part of readers, a lot of PDE theory.
Kerry Back's choice of VBA/Excel offers way students can easily start to play with examples, and to generate their own examples.

For my use in a math course, I picked a number of books to use as supplementary reading, for example Oksendal et al, Krylov, Shreve, Wilmott et al, and Baz et al.
Review by Palle Jorgensen, October 2011.
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Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 5.0 out of 5 stars  3 reviews
1 of 1 people found the following review helpful
5.0 out of 5 stars It has a number of virtues. 15 Oct 2011
By Palle E T Jorgensen - Published on Amazon.com
Format:Paperback|Verified Purchase
I have been teaching from the book, and found a number of virtues. I used it in a beginning graduate course, but one which was very interdisciplinary. I aimed at covering all the relevant topics for the subject, not stressing one (too much!) over the others.
Now the book is aimed at MBA students, and I used it in a course with students from a handful of departments.

But for this purpose the level and the details in Kerry Back's book was on target.
It helps student who come with a minimal mathematical background to be able quickly to absorb some main principles.

And at the same time it helps math students to understand ideas from economics and from finance.
The book offers an effective entry into the fundamentals of probability space, random variables, and Black-Scholes.

In particular, it offers insight into Black-Scholes, that doesn't presuppose, on the part of readers, a lot of PDE theory.
Kerry Back's choice of VBA/Excel offers way students can easily start to play with examples, and to generate their own examples.

For my use in a math course, I picked a number of books to use as supplementary reading, for example Oksendal et al, Krylov, Shreve, Wilmott et al, and Baz et al.
Review by Palle Jorgensen, October 2011.
5.0 out of 5 stars excellent book 5 Dec 2011
By rajan S. - Published on Amazon.com
Format:Paperback|Verified Purchase
very practical for financial engineering. you definitely need to have read a beginning book on derivatives before tackling this book. i love this book because it focuses on implementation a lot and also gives a lot of intuition. overall, an excellent book
5.0 out of 5 stars An excellent tool 17 Feb 2011
By Iliakis - Published on Amazon.com
Format:Paperback|Verified Purchase
I found that this book is very useful for someone who wants to acquire an in depth understanding of financial derivatives without having advanced mathematical knowledge. The author is presenting all the fundamental issues related to financial derivatives in a simple and straigthforward manner and the reader has the opportunity to develop flexible vba codes in order to understand the material. I think that someone having worked on this book will be easier to procceed to more advanced books like Willmot's Quantitative Finance.
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