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

Kerry Back (Author)

Book Description

ISBN-10: 3540253734 | ISBN-13: 978-3540253730 | Publication Date: July 21, 2005 | Edition: 1

"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

Editorial Reviews

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 Publisher

Endorsements:

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

See all Editorial Reviews

Product Details

• Hardcover: 370 pages
• Publisher: Springer; 1 edition (July 21, 2005)
• Language: English
• ISBN-10: 3540253734
• ISBN-13: 978-3540253730
• Product Dimensions: 9.4 x 6.2 x 1 inches
• Shipping Weight: 1.5 pounds (View shipping rates and policies)
• Average Customer Review: 4.9 out of 5 stars  See all reviews (7 customer reviews)
• Amazon Best Sellers Rank: #432,524 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

19 of 20 people found the following review helpful:

5.0 out of 5 stars Most Practical Financial Engineering textbook, February 13, 2006

By 

Quant_wanabe (Lake Grove, NY United States) - See all my reviews

This review is from: A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance) (Hardcover)

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.

3 of 3 people found the following review helpful:

5.0 out of 5 stars very good book, highly recommended, June 29, 2008

By 

Jukka Taskinen "jt" - See all my reviews
(REAL NAME)   

This review is from: A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance) (Hardcover)

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.

5 of 6 people found the following review helpful:

4.0 out of 5 stars Can you use change of numeraire technique?, January 30, 2008

By 

Freddy (UK) - See all my reviews

This review is from: A Course in Derivative Securities: Introduction to Theory and Computation (Springer Finance) (Hardcover)

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.