A Course in Derivative Securities: Introduction to Theory and Computation

 

This Springer book is a textbook for a second course in derivatives at the undergraduate or MBA level or for a first course in a financial engineering program.  It was selected by riskbook.com as one of the top ten finance books of 2005.  According to riskbook.com, "this book is an outstanding portal to the mathematics of financial engineering as it is practiced today."  Here is riskbook.com's Best of 2005 list and here is their review of A Course in Derivative Securities.

 

Here are some other recommendations:

 

"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 available for users." Eliezer Z. Prisman, York University, Toronto.

 

The option pricing functions in the book (including worksheet examples and the VBA source code) are available in this Excel workbook. Here is the data for Problem 3.9, and here is a list of errata.  I would be grateful if you would notify me of any other errors.

Kerry Back

Jerry and Kay Cox Chair in Business

  and Thomas W. Leland Memorial Chair in Finance

Mays Business School

Texas A&M University