• Jürgen Franke
  • Wolfgang Härdle
  • Christian M. Hafner
Part of the Universitext book series (UTX)


Classical financial mathematics deals first of all with basic financial instruments like stocks, foreign currencies and bonds. A derivative (derivative security or contingent claim) is a financial instrument whose value depends on the value of others, more basic underlying variables. In this chapter we consider forward contracts, futures contracts and options as well as some combinations.


Option Price Call Option Financial Instrument Future Contract Spot Price 
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Recommended Literature

  1. Hull, J. C. (2000). Options, Futures and other Derivatives,Prentice Hall.Google Scholar
  2. Jarrow, R. (1992). Finance Theory, 2 edn, Prentice-Hall, Englewood Cliffs, NJ.Google Scholar
  3. Cox, J. and Rubinstein, M. (1985). Options Markets,Prentice-Hall, Englewood Cliffs.Google Scholar
  4. Neftci, S. (1996). An introduction to the mathematics of financial derivatives, Academic Press, San Diego.MATHGoogle Scholar
  5. Duffle, D. (1996). Dynamic asset pricing theory, 2 edn, Princeton University Press. Princeton.Google Scholar
  6. Mai, H. and de Varenne, F. (1998). Options, futures and exotic derivatives, John Wiley & Sons, Chichester.Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Härdle
    • 2
  • Christian M. Hafner
    • 3
  1. 1.University of KaiserslauternKaiserslauternGermany
  2. 2.CASE-Center for Applied Statistics and EconomicsHumboldt-Universität zu BerlinBerlinGermany
  3. 3.Econometric Institute, Faculty of EconomicsErasmus University RotterdamRotterdamThe Netherlands

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