Derivative Securities

  • Tomas Cipra


Chapter 10 deals with term trading and derivative securities: 10.1. General Classification, 10.2. Forwards, 10.3. Futures, 10.4. Swaps, 10.5. Options.


Interest Rate Option Price Call Option Future Contract Underlying Asset 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Further Reading

  1. Baxter, M., Rennie, A.: Financial Calculus. An Introduction to Derivative Pricing. Cambridge University Press, Cambridge (1996)MATHGoogle Scholar
  2. Black, F., Scholes, M.: The pricing of options and corporate liabilities. Journal of Political Economy 81, 637–654 (1973)CrossRefGoogle Scholar
  3. Brealey, R.A., Myers, S.C.: Principles of Corporate Finance. McGraw-Hill, New York (1988)Google Scholar
  4. Duffie, D.: Security Markets: Stochastic Models. Academic Press, New York (1988)MATHGoogle Scholar
  5. Dupacova, J., Hurt, J., Stepan, J.: Stochastic Modeling in Economics and Finance. Kluwer, Dordrecht (2002)MATHGoogle Scholar
  6. Elliot, R.J., Kopp, P.E.: Mathematics of Financial Markets. Springer, New York (2004)Google Scholar
  7. Hull, J.: Options, Futures, and Other Derivative Securities. Prentice Hall, Englewood Cliffs, NJ (1993)Google Scholar
  8. Karatzas, I., Shreve, S.E.: Methods of Mathematical Finance. Springer, New York (1999)Google Scholar
  9. Knox, D.M., Zima, P., Brown, R.L.: Mathematics of Finance. McGraw-Hill, Sydney, NSW (1984)Google Scholar
  10. Kwok, Y.-K.: Mathematical Models of Financial Derivatives. Springer, Singapore (1998)MATHGoogle Scholar
  11. Malliaris, A.G., Brock, W.A.: Stochastic Methods in Economics and Finance. North-Holland, Amsterdam (1982)Google Scholar
  12. Musiela, M., Rutkowski, M.: Martingale Methods in Financial Modelling. Springer, New York (2004)Google Scholar
  13. Neftci, S.N.: Mathematics of Financial Derivatives. Academic Press, San Diego, CA (2000)MATHGoogle Scholar
  14. Pelsser, A.: Efficient Methods for Valuing Interest Rate Derivatives. Springer, London (2000)MATHCrossRefGoogle Scholar
  15. Roman, S.: Introduction to the Mathematics of Finance. Springer, New York (2004)MATHCrossRefGoogle Scholar
  16. Santomero, A.M., Babbel, D.F.: Financial Markets, Instruments, and Institutions. McGraw-Hill (Irwin), Chicago, IL (1997)Google Scholar
  17. Sharpe, W.F., Alexander, G.J.: Investments. Prentice Hall, Englewood Cliffs, NJ (1990)Google Scholar
  18. Steele, J.M.: Stochastic Calculus and Financial Applications. Springer, New York (2001)MATHCrossRefGoogle Scholar
  19. Wilmott, P., Howison, S., Dewynne, J.: The Mathematics of Financial Derivatives. Cambridge University Press, Cambridge (1995)MATHGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.Dept. of Statistics, Faculty of Mathematics and PhysicsCharles University of PraguePragueCzech Republic

Personalised recommendations