Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

Book Description

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.

Customer Reviews:

Mathematics for Finance: A useful tool for the unskillled investor.......2007-03-19

I enjoyed reading the book and solving exercises in it. I have a Ph.D.in chemistry and my wife and I did our his and her's MBA in the 1990s. I wanted to learn more concepts in finance and needed an easy entry, something I could enjoy, and without spending much money. The book by Capinski came recommended from a friend who teaches Economics at Cal State. I can speak for myself: I feel reasonably informed and I feel the book gave me concepts I can use to handle my own portfolio.

In the future, this text should be offered with an interactive CD that contains Xls, matrix, calculus, and graphing capabilities so one (I) can visualize the outcomes of proposed solutions.

Incoherent.......2007-01-18

Anyone can scribble a bunch of equations on paper and call it a book. Without sufficient context, they are useless.

Insufficient and disappointing. Not even a good introductury text........2006-05-15

As a graduate student in Financial Engineering I have found this book useless.
The title of the book is "Mathematics for Finance", but can you find in it even an elementary introduction to the stochastic processes? No. Ditto for the Ito's lemma and many other topics. The derivation of the Black Scholes formula is just sketched, and the insight that you can get from it is very limited.

Nevertheless, I wouldn't mind these limitations if this book provided a clear introduction to more advanced topics: unfortunately this book is not good even in that. In comparison to other textbooks the theorems and definitions are convoluted and do not go straight to the point. For example, in Shreve's "Stochastic Calculus for Finance" or Baxter & Rennie "Financial Calculus" the Fundamental Theorem of Asset Pricing is stated in this way: "In a market with risk neutral probability there is no arbitrage". Can you find such a simple and explanatory definition in Capinski's book? Not at all. The theorem at page 83 (you can see it yourself by searching inside the book) basically says the same thing using 8 lines of text and little financial intuition.
The only good thing that I can say about this book is that all exercises are resolved.
Overall, "Mathematics for Finance" has been a big disappointment: it doesn't have either the mathematical depth of Shreve's books or the conciseness in explaining financial concepts of Baxter & Rennie.
Whatever is the level of education that you are pursuing, graduate or undergraduate, I don't see any point in using it.

Great Book for Undergrad Quants.......2005-08-29

Mathematics for Finance (An Introduction to Financial Engineering) is a book intended for undergrad students "IN MATHEMATICS" or other discipline with a relative high mathematical content.

The book assumes some basic notion of Calculus and Probability Theory and it is focused more on the mathematics than in its theory and application of Finance. If you are looking to dwell into the mathematics (Proof of Equations) this is a great book, but if you are looking for a book that is rich in theory and in application then you should consider "Option, Future and Other Derivatives" or "Quantitative Methods for Finance" as an alternative. Both books are "a most" for any finance student and are of great help. Now if you want an introduction into the mathematics behind Finance then this book is a perfect purchase.

Important to state that all the problems presented in this book are solved meaning that it is great for self teaching. Marek Capinsi and Thomas Zastawniak have done a great job on this book.

I gave it four stars, because it has room for impovement.

Joining the chorus.......2005-08-03

I can only echo the other reviewers. As far as I can tell this book has no serious competition. This is an excellent introduction to mathematical finance for those with a solid undergraduate level understanding of higher math but without graduate level exposure. I agree that it is ideal for self study as that is exactly what I am using it for. The price is right especially in contrast with its overpriced brethren. Five stars!

The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk)

Average customer rating:

An excellent starting point. ...
Very Good
Very useful book
If you already know the field
This is a highly recommended work for any quant.

The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk)
Mark S. Joshi
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

Mathematical Analysis | Mathematics | Science | Subjects | Books

Reference | Mathematics | Science | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Options, Futures and Other Derivatives (6th Edition)

ASIN: 0521823552

Book Description

This introductory text provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. M. Joshi covers the strengths and weaknesses of such models as stochastic volatility, jump diffusion, and variance gamma, as well as the Black-Scholes. Examples and exercises, with answers, as well as computer projects, challenge the mind and encourage learning how to become a good quantitative analyst.

Customer Reviews:

An excellent starting point. ... .......2007-01-24

This book is excellent for a deeper introductory look at mathematical
finance. It is well-written, and strikes a nice balance
between sophistication and accessiblity. Its companion volume on
C++ development in the context of quantitative finance is also well
worth examining. I look forward to seeing the follow up volume, which
will cover additional, more advanced topics.

Very Good.......2006-11-03

I'm totally satisfied. About the timing of the shipment, to me very quick and about the quality of the product, that was in good condition.

Very useful book.......2006-02-01

This is a great book for those who want to learn quantitative finance, but don't have the benefit of being enrolled in a financial engineering program. It has the advantage of being self-contained and begins instruction from the ground up: you can "cold start" on the subject with this book. Just a basic knowledge of differential equations (non-stochastic) is required.

It is natural to compare Joshi's book with Hull, but I would recommend reading them together as they have complementary strengths. Hull is over-simplified but provides financial intuition and descriptions of real-world practices. However it does not have modern notation. It also does not teach you how to solve actual pricing problems from the mathematical or computational point of view. Joshi's book does all of that and even helps you develop some mathematical intuition for the models. It also has some computing projects in c++ that a student could do.

The real comparison should be with Neftci's mathematical finance book and Baxter and Rennie. I think Joshi's book is much better than either of the two. I could barely read Neftci after a while because of the errors and bad organization. B&R is way too formal in my opinion for such an applied subject. Joshi's book has good notation and organization which builds confidence in the author, plus it is very applied so you feel you are learning something useful. It has none of that lemma-proof style which can be so unappealing to non-pure mathematicians.

If you already know the field.......2005-10-11

If you already know almost everything it is a very good book. No error and the guy knows what he is doing. However, if you know everything, why do you want to buy this book?

Unfortunately, if you do not know everything, the book is very difficult to understand. At a first lecture I never get the point. After reading some others books and implement the problem, I can indeed understand the chapter... but what is the use? Maybe we (the author and me) do not have the same way of thinking...

Another bad point is that there is no implementation. So if you are blocked somewhere you are dead.
Moreover the authors spend 16 chapter of 18 on equities and 2 on interest rate. But this last field correspond to 90% of the market! ...

Well,..., However,... not so bad ... so, 3 stars

This is a highly recommended work for any quant........2005-06-18

As I write this in June of 2005, quantitative finance has grown up. What was once a cross-over subfield of finance with a veneer of mathematics is now a field unto itself, and hence, in the past decade there have been an explosion of books which often replicate or restate what has been said before with little new to add. Also, there remains an unforgiving gap between introductory texts that are too superficial and specialists' mathematics books that are rigorous and difficult works beyond the commitment for mastery of the busy, intelligent, practical front-line quant. In addition, works that were once adequate are now simplistic and under serve their readers by lulling them into false confidence. Into this fray Dr. Mark S. Joshi's "The Concepts and Practice of Mathematical Finance" enters with a modern voice and delivers what previous texts have only promised and failed to. The work lives up to its title by presenting both concepts and practicalities, and makes other works that do neither well obsolete. Those familiar with my other reviews on quantitative finance texts know that I place a premium on clarity, and on this front Joshi deserves six stars, for he is a master of what William Strunk called "the plain style." I am always sensitive to the fact that many of the world's best quants come from nations where English is not the first language. Readers from China, France, Germany, Greece, Italy, Norway, Sweden, Russia and eastern Europe will enjoy Joshi's clarity and find his English easy to follow. It would be impossible to cover everything in quanfin in a single volume, however there is nothing horribly glossed over here and neither is there a single wasted word or equation.
I recommend Amazon review readers refer to the table of contents in the "Look Inside" feature to see what Joshi covers, but my own highlight is how welcome it is that Joshi focuses on risk from the very first word. Since Louis Bachelier risk measurement is what separates quantitative finance from "finance." Other books, including some quantitative finance works, start with cash flows, valuation, and discounting, and only add risk as an antecedent. Joshi correctly emphasizes risk first, last, and always, and for that elevation alone his work deserves five stars. From this foundation Joshi then covers very well pricing methods and arbitrage, simple and high dimensional trees, and the useful shortcuts of Ito calculus that makes tractable Zeno's paradox. Joshi also covers risk neutral and martingale methods, continuous barrier options, multi-look exotic options and incomplete markets and jump processes with an aim of showing these as typical problems for the working quant. Joshi's own references, index, and footnotes testify that by no means is he offering the first, nor the last, word on these knotty subjects, but his treatment is welcome just the same.
The target audience who would benefit from this text over others is four-fold. The primary audience is for first semester students in a graduate financial engineering program, for Joshi's "Concepts and Practice" will be handy throughout his or her studies and career. For those students unsure of their skills and with a limited budget considering between this and an introductory quantitative finance text I recommend Joshi over, say, Wilmott, for this work is more rigorous and in the long run will provide the better value as a practical companion. Within this audience I include professors looking for a high level foundational text for teaching practical risk management and derivatives pricing: this is the book to adopt, yes, even over Hull.
The second audience is for those trained in other science fields: pure mathematics, statistics, physics, etc. who are moving to finance jobs. This volume is an easy "one-stop shop" for you to re-tool your own background towards those topics and techniques used on a quant desk. While by no means covering everything, Joshi speaks your language and after digesting this work all else will fall into place and be understood and used with greater efficiency.
The third and broadest audience is one I am a member of: the already trained and practical "quant." Why should we need this book? My observation is that between reading (for example) Hull and Wilmott, Joshi's "Concepts" unavoidably covers many of the same topics, but also some things they do not and in ways they never could. Joshi is an expert practitioner at the top of his art, and that practical spirit is in every single page. For example, while Hull and Wilmott cover the concept and mathematics of stochastic volatility, Joshi writes from the point of view of the coding quant and discusses the issues of implementation. Joshi's "Concepts and Practice" serves a two fold purpose for a qaunt: it provides an additional voice and explanation of inescapably fundamental material, while bridging the gap of technical deployment for front line practitioners. This is not to say that Joshi offers us up a cookbook, for by no means is this such. Anyone who thinks they can simply buy this book and in a sleepy afternoon plug away code and technique and be done is missing the point: for this is a teaching text. Moreover, each house and set of problems and instruments and structured products to offer are different, to say nothing of the platforms one will be working on. That is why they call it "work." Therefore the practical quant should look to this text as a reference guidebook in a tool box.
As a fourth audience I cautiously recommend this book for those who are going into exotic product sales, but only those who have a good grounding in upper level calculus, linear and matrix algebra, time series analysis, and trees. Why? Simply put, you will be offering products built by quants who simply assume the knowledge in this book is a given. In addition, your better clients will (or should) have quants speaking this language, and the greater your own understanding of the concerns of your team and your clients the better your sales. If this work is too rigorous, then Wilmott's "Introduction to Quantitative Finance" quickly followed by Joshi's "Concepts and Techniques" is the course to follow.
Who is this work not for? Here are some tests. If you are a quant who can type at five lines of code a minute and can read Shreve and Karatzas drinking beer, then this work is too redundant for you. On my desk is a paper on a stochastic process with drift and viscosity under regime switching. If you are reading the same journal, then this work is too simple for you. If you have no idea what I've written about in the past three sentences, then this work is too hard for you.
In summary, Dr. Mark Joshi advances his excellent reputation as an intelligent, practical, and generous quant in offering "The Concepts and Practice of Mathematical Finance" and I recommend this book's wide adoption in graduate programs and its addition to reference libraries.

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)

Average customer rating:

Review for Monte Carlo Methods... by P. Glasserman
Best financial engineering book on MC
good book on Monte Carlo in Finance
Excelent choice on finance Monte Carlo
Brilliant

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
Paul Glasserman
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Mathematics | Science | Subjects | Books

Look Inside Science Books | Trip | Specialty Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
The Volatility Surface: A Practitioner's Guide (Wiley Finance)
Heard on the Street: Quantitative Questions from Wall Street Job Interviews

Accessories:

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

ASIN: 0387004513

Book Description

Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques.

This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios.

The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential.

The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry.

Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."

Customer Reviews:

Review for Monte Carlo Methods... by P. Glasserman.......2007-07-16

The book is just right for a reader who is looking for state-of-the-art techniques in Monte-Carlo methods in general. The fact that the book is specific to financial systems does not limit the usability of the book in the manner it is written. There are a lots of useful references one can get out of this book.
The book is for advanced readers in the sense that it requires rigorous mathematical ability to understand all the concepts. It is by no means for a novice reader and requires background in computational mathematics.

Best financial engineering book on MC.......2007-06-29

This is like the bible of Monte Carlo methods in financing. Both a good read and a good reference book. Must have! for any quant on wall street.

good book on Monte Carlo in Finance.......2007-04-02

But it seems the author is a little focused on selling his ideas, but not a very subjective overview of all topics in M-C method in finance.

Excelent choice on finance Monte Carlo.......2007-03-08

Clear and sound theoretical background on applied Monte Carlo for finance.

Brilliant.......2006-12-26

Almost everything related to Monte Carlo in Financial Engineering is covered at just the right level of detail. Quite easy to read too.

Introduction to the Mathematics of Financial Derivatives

Average customer rating:

Detailed but Comprehensible
Good Companion Book
Good book
Very thoughtful and clear explanation of financial math
sophisticated maths

Introduction to the Mathematics of Financial Derivatives
Salih N. Neftci
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

Econometrics | Economics | Business & Investing | Subjects | Books

Public Finance | Economics | Business & Investing | Subjects | Books

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Banks & Banking | Industries & Professions | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

General | Business & Finance | New & Used Textbooks | Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books

Look Inside Nonfiction Books | Trip | Specialty Stores | Books

Look Inside Science Books | Trip | Specialty Stores | Books
Similar Items:

Options, Futures and Other Derivatives (6th Edition)
Principles of Financial Engineering (Academic Press Advanced Finance)
Financial Calculus : An Introduction to Derivative Pricing
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

ASIN: 0125153929

Book Description

This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals.

Customer Reviews:

Detailed but Comprehensible.......2007-10-14

This booke really helped me understand topics for a class I was taking. After reading it i almost felt like i understood change of measure and numeraire. one of the few books i'd recommend buying.

Good Companion Book.......2007-08-29

good companion book for the other book "Principles of Financial Engineering" by the same author
Clear and easy to understand treatment. The author does not assume a high level of math knowledge of the reader.

Good book.......2007-05-09

As title states this is a good Introduction to the mathematics of derivatives.
If you're looking for some book with C/C++/C#/Java code samples this isn't the book. Indeed a good mathematical introduction; its pre-requirements are a good mathematical and statistical ones.

Very thoughtful and clear explanation of financial math.......2007-02-05

I turn to this book after I get frustrated with Tomas Bojork's book "Arbitrage Theory in Continuous Time." As I am not from a strict math background, this Neftci's book makes much more sense to me. What I particularly like about this book is explanation in plain English of why the mathematical formulae are so, and how they are connected to the bigger picture. Also Neftci has a good grasp of how many real-life examples included in this book so that it doesn't lose its focus on the real math in finance.

sophisticated maths.......2006-06-16

Neftci takes us on a mathematically sophisticated tour of financial derivatives. The treatment is on a level akin to a senior-level undergrad text on physics or engineering. Indeed, to a reader who might come from that background, there will be a lot of similarities and familiar ideas.

For example, partial differential equations arise naturally in the pricing of derivative assets. But unlike many places in physics, here it is not sufficient to assume smoothly varying variables. The inherently discrete nature of most financial variables means that derivatives have to be approximated numerically.

Neftci also describes the various types of options, like basket, knock-out, multi-asset and so on. Each has a slightly different modelling. Another key idea involves the time aspect of pricing. So Wiener processes naturally arise, and the text shows how to handle these.

Much more is covered in the book. Perhaps just as importantly, it gives you enough maths preparation that you should be able to analyse other new types of financial instruments. Maybe even ones that you create yourself.

The Mathematics of Financial Derivatives: A Student Introduction

Average customer rating:

Not bad... but there is better out there
Good Buy
Okay but not an introduction
Introduction to partial differential equations in finance
A good introduction to the PDE approach

The Mathematics of Financial Derivatives: A Student Introduction
Paul Wilmott , Sam Howison , and Jeff Dewynne
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books

Options | Investing | Business & Investing | Subjects | Books

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

Reference | Mathematics | Science | Subjects | Books

Look Inside Science Books | Trip | Specialty Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Options, Futures and Other Derivatives (6th Edition)
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Financial Calculus : An Introduction to Derivative Pricing
Introduction to the Mathematics of Financial Derivatives
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)

ASIN: 0521497892

Book Description

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.

Customer Reviews:

Not bad... but there is better out there.......2007-10-23

A per its title, this is an applied mathematics book, and therefore a minimal level of math is expected from the reader. Taking a PDE approach, the book aims at presenting various methods for pricing financial options. While the first few chapters are pretty good at skimming the surface of the theory and laying down the key principles of options pricing, I find that in general, the book lacks depth. Many results (prices of barrier, lookback, asian, etc...) are simply given without real development (or simply with a little of "hand-waving") while the section on the linearity complementarity problem for the American Option is quite muddled... The book does not provide any new insight into the more difficult areas of option pricing and in that sense, simply goes through the typical presentation without adding much value.

It is nonetheless an acceptable and quick overview if you are looking for a refresher of key concepts. If you are looking for a thorough mathematical introduction to options pricing, You-Lan Zhu's book (for example) does a much better job at covering the PDE approach much more rigorously (proving for example some of the convergence criterias for the finite difference method, covering the linear complementarity approach in much more details as well as presenting other numerical techniques) without being overly formal.

Good Buy.......2007-08-29

maps one to one with many chapters in Hull. more elaborate derivations than Hull. Fixed income area treatment is very slim though. Good Buy for the Price.

Okay but not an introduction.......2006-07-31

If you want an introduction, read another book like Hull. If you want to learn how to apply Partial Differential Equations (PDEs) approach to finance then it is a useful book. However, it is better to read an elementary PDEs book before reading this book. At least, learn how to solve parabolic PDEs analytically because the technical notes in the book would not help much.

Introduction to partial differential equations in finance.......2005-10-13

This book treats only the partial differential equations
in Finance and how to treat them using Finite Differences
and Tree. For this purpose it is very well written and
understandable. A very good beginning for student. Even
undergraduate.

Now after reading it you should understand the martingales reading the baxter and how to implement Monte Carlo using, for example Glasserman (see my reviews)

A good introduction to the PDE approach.......2005-10-10

Contrary to what many readers believe, this book explains the pricing of derivatives much better than Hull. Hull gives an overview of the mechanics and properties of the derivative pricing industry, along with its pricing methodologies, and this book provides an in depth method to one of the pricing methods.

Financial derivatives can be priced by a wide range of methodologies, among some the elegant equivalent martingale measure approach (or risk-neutral pricing), replication, multinomial tree approximation, Monte Carlo simulation, partial differential equations etc etc.

This book gives an excellent introduction, and an insight to the PDE approach. Although being a big fan of the Girsanov-change-of-measure method myself, these analytical methods often fail in the valuation of highly complex derivatives like the exotics. Pricing americans prove to be hard and inefficient too, even with simulation and the risk-neutral approach.

This is where PDE methods come in. Since most derivatives (or term structures) have a PDE describing its evolution, solving the PDE seems to be a good (or sometimes the best) way, no matter how complex the derivative can get. PDEs on the other hand, have very robust and easy methods for solving. Therefore, this book brings the reader through basic PDE solving methods, analytical solutions, techniques for fast and efficient numerical approximations as well as rigorous technical explanations for some of the mathematics of partial differential equations (which arise in the financial industry).

The authors are famous for their research in the field of Industrial and Applied Mathematics, and this book continues to be a classic for undergraduates in mathematics in Oxford. If you want to have an overview of the pde approach to option valuation, without the hassle of learning up Radon-Nikodým and martingales, I highly recommend this book!

Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability)

Average customer rating:

Excellent introductory book to financial math
At the Forefront of Modern Mathematical Finance
Martingales & Finance
yes, but ...
excellent book for post-John-Hull readers

Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability)
Marek Musiela , and Marek Rutkowski
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

Econometrics | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

Options | Investing | Business & Investing | Subjects | Books

General | Mathematics | Science | Subjects | Books

Look Inside Nonfiction Books | Trip | Specialty Stores | Books

Look Inside Science Books | Trip | Specialty Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Stochastic Differential Equations: An Introduction with Applications (Universitext)
Arbitrage Theory in Continuous Time (Oxford Finance)

Accessories:

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

ASIN: 3540209662

Book Description

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.

The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

Customer Reviews:

Excellent introductory book to financial math.......2006-11-03

This book takes you through the math of finance step-by-step, passing through very simple examples first and then slowly adding complexity to the models studied. It is written very clearly and the prerequisites to reading this book are only some basic notions of probabilities (sigma-fields, probability measures).

Sometimes, the problem with math books is that they are "dry" and contain only a succession of theorems and proofs. In this one, the authors make a point of explaining in detail how different theorems and models relate to each other, and make extensive comparisons between them so that you get a better feel for how they work in practice.

The book is primarily a math book and can be light on market specifics. Do not buy this book as a practical "howto" in derivatives trading.

At the Forefront of Modern Mathematical Finance.......2005-05-23

This advanced text provides an excellent account of the current state-of-the art of options pricing/hedging models and interest rate term structure models. The book is accessible to both advanced practitioners of mathematical finance as well as to pure researchers in the field.

The book is in written in a mathematical style and contains rigorous proofs of many results. However, the main focus of the text is to describe the frontier of knowledge in the subject. Each section contains copious references to the literature and is so current that several references are to working papers. Many sections detail open problems and other areas suitable for scholarly research.

In their second edition, the authors provide an extremely useful critique of each modeling paradigm that they investigate. They also provide evidence for their position in the form of literature references which instruct the reader as to the shortcomings/limitations of a particular model. This information should prove quite valuable to model practitioners and implementers.

The authors assume an advanced background from the field of stochastic analysis, although they do provide an appendix which summarizes key results needed from the field. For the stochastic calculus prerequisites, I recommend Rogers & Williams "Diffusions, Markov Processes and Martingales" volumes I and II. Suitable prerequisites are also covered by Karatzas and Shreve in "Brownian Motion and Stochastic Calculus" 2nd edition. A good foundation in arbitrage pricing theory is also needed. I recommend the nice treatment by Bjork in "Arbitrage Theory in Continuous Time" 2nd edition.

The book is divided into two parts. The first part deals with options pricing in equity markets. Chapter 1 sets premlinaries required for the arbitrage theoretic framework, while Chapter 2 has a very nice treatment of discrete time models and finite financial markets.

In Chapter 3, the authors develop the Black-Scholes model along with the Bachelier model using arbitrage techniques. The models are compared and used as benchmark continuous time models and form the basis for all subsequent analysis.

Chapter 4 provides a nice survey of techniques used to price/hedge options in foreign equity and currency markets. The authors assume familarity of the basic workings of foriegn markets.

Chapter 5 is a terrific chapter on valuing American-style options. The American call option is thoroughly studied and approximation techniques for the American put option are introduced. The explicit derivations of the formulas are referenced to the literature.

Chapter 6 provides an introduction to exotic options, although the authors vary their use of the term 'exotic' to meaning 'not a standard European-style or American-style' in this chapter to meaning 'no readily available liquid market' in Chapter 7. The descriptions are quite accessible and the basic properties of the options are described along with pricing formulas (assuming the Black-Scholes framework).

Chapter 7 provides as complete an accounting as I have ever seen of the generalizations of the Black-Scholes model and motivates this from the point of view of volatility surfaces. Many of the well-known models are studied in detail, such as CEV, local volatility, and mixture models. The strengths and weaknesses of each model are analyzed. The stochastic volatility models of Wiggins (via Orenstien-Uhlenbeck processes), Hull-White, and Heston are studied, as is the SABR model. The chapter wraps up with a study of the SIV models, describes how the stochastic volatility models can be obtained via limits of GARCH models and surveys Jump-diffusion processes and Levy processes.

The second part of the book is concerned with term structure models and interest rate derivatives. The authors are quite well-know for their many contributions to this study and their treatment is authoritative.

Martingales & Finance.......2003-04-12

I have used this book for two courses in my MSc degree in Financial Maths...well this book is hard to understand at first glance, but, once you are introduced with a good course on stochastic analysis and applied probability, this is an illuminating book...I particularly enjoyed the part on foreing equity derivatives and exotic derivatives.....Harmed with patience this is definitely the book by which you can effectively gain a sound a knowledge on modern mathematical finance theory....reading in conjunction with Bingham-Kiesel book, could help understanding the foundation of the subject.

yes, but ..........2000-03-17

I've been using this book on and off over the last year. At first I was very impressed with the level of detail in the mathematics, especially as it was the only book at the time focussing on risk-neutral methods and covering BGM. But I've become increasing disillusioned with it of late. It's difficult to explain, but although the whole book is written in traditional theorem-proof style, there are no real proofs! (I have a PhD in math and have done research for 10 years so I should know a little about proofs.) The only "proofs" provided are basically symbol shifting, but the heart of the math is strangely absent. This is especially strange given the Springer series in which it appears.

In short, if you want a catalogue of methods this book does the job, but if you want a deeper understanding try Lars Nielsens book.

excellent book for post-John-Hull readers.......1999-08-17

This book covers essentially everything needed for a serious financial math study. It captures the spirit of modern financial math. For people with math, physics or engineering background, when you feel comfortable woth John Hull's books, then this book is right one, and a must one.

C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

Average customer rating:

An excellent short course in OOP
Benchmark book on Computational Finance
Full of OOP Wisdom!
depends what you are looking at
From particular to general: design patterns in c++

C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)
Mark S. Joshi
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

General | Business & Investing | Subjects | Books

General | Software | Computers & Internet | Subjects | Books

General | Mathematics | Science | Subjects | Books

Look Inside Computer Books | Trip | Specialty Stores | Books

Look Inside Science Books | Trip | Specialty Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Computers & Internet | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk)
Financial Instrument Pricing Using C++ (The Wiley Finance Series)
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
Modeling Derivatives in C++ (Wiley Finance)
Options, Futures and Other Derivatives (6th Edition)

ASIN: 0521832357

Book Description

Combining mathematical finance with C++ and object-oriented programming (00P), M. Joshi demonstrates the relevance and use of OOP in financial mathematics by describing how to use price derivatives to obtain reusable and extensible code. A large part of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Readers knowing the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this analysis.

Customer Reviews:

An excellent short course in OOP.......2007-10-04

Do not be put off by the above-average price/page-count multiple: it will take a lot of time and work to go through the book's 200 pages, and you won't regret the effort. This is not one's introduction to C++, nor is it a collection of ready-to-use code. Instead, the book sets out to demonstrate why you need OOP, and does that in the context of a single, progressively expanding, exercise.

Benchmark book on Computational Finance.......2006-06-26

Mark has produced a marvel. The book introduces practical C++ programming with such spontaneity. The author sets the pitch beautifully with a step-by-step introduction of the need of advanced computing. It handholds reader as it expands from basic oops programming to designs and patterns in computing while mentioning rare tips on efficiency requirements when pricing derivatives versus robust programming.

The book is elegantly written with precise explanations and very concise (and very practical). It comes with the code as well.

As the other reviewer pointed out, the book has written for specific purpose and the focus is not diluted throughout (for example, it did not expand on quantitative issues which could have taken the book out of bounds which is a very big plus point). Even though the book is concise, it would require quite a lot of time to get the best out of it, because it is very dense on issues.

A must have book for anyone who is interested in Computational Finance (Quantitative Analyst/Developers, Financial Engineers, and Risk Managers). It filled a very big gap in this arena.

And this is written by a Practitioner Quant. Very well done Mark.

Full of OOP Wisdom!.......2005-10-15

In terms of programming concepts and OOP design for financial engineering, this book has no equals. We have Daniel Duffy's Financial Instrument Pricing Using C++, but it takes a different approach (i.e. generic programming based in STL). All through the book, the author introduces improvements sequentially and doesn't start from the best design from the outset in order to demonstrate the flaws of a less general/useful/reusable program. In this sense, this is mainly a conceptual book, not an example book. For example, it deals with and develops vanilla-option pricing using Monte Carlo simulation over the first five chapters. A reader looking for a cookbook that gives programs to implement a large number of financial-derivative models would be well-advised to look elsewhere (e.g. Justin London's Modeling Derivatives in C++). However, someone looking for OOP wisdom would be generously rewarded for buying this book.

depends what you are looking at.......2005-10-13

This small book (192 pages) is pretty expensive but if it brings you a lot it is OK.

It depends what you are looking at:

If you want a book "how to write a clean C++ program", this book is for you. The authors enhance the formal (and correct) writing you should have when coding.

If you are interested in understand and solve the various problems you encounter implementing derivatives with numerous examples, it is not the good book for you. There are few programs so few examples and solutions. Moreover I have to dig in his classes to understand them. I would have preferred static functions, even if I have to do a little work to implement them in my library.

However from my point of view, the biggest reproach to this book is that it does not treat the interest rate derivatives at all, which is really problematic.

So it was not really interesting. The Clewlow was much better for me.

From particular to general: design patterns in c++.......2005-08-23

In principle, it seems that this book is a very specialized one: design patterns in derivatives pricing. However, Mark Joshi has been able to give ideas that are generalizable to many other fields. For example, I have developed a trading simulator in c++ using several of the ideas of the book. The ideas in the book are so general, that very often one can do simply a copy and paste and just change the names of the classes and variables.

The only complaint to the writer is that he does not supply the answers to the questions of the book. This is standard practice in academia (and there is a good reason for it), but this book is designed mainly for practitioners, that probably do not have too much time to solve difficult questions.

The writer is widely known in forums like nuclearphynance and wilmott for his deep comments about derivatives pricing.

Disclosure: I only know Mark Joshi because I have sent him an email with some questions about the book. He very kindly has replied to me. I do not have any other kind of relation with him.

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)

Average customer rating:

Good book
Nice book
Good for finanical mathematics graduates
Very good to understand the basics of pricing-theory.
Interesting Read

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
Steven E. Shreve
Manufacturer: Springer
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books

General | Science | Subjects | Books

Look Inside Science Books | Trip | Specialty Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Options, Futures and Other Derivatives (6th Edition)
Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
Financial Calculus : An Introduction to Derivative Pricing

Accessories:

Applied Partial Differential Equations:: A Visual Approach
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

ASIN: 0387249680

Book Description

Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.

This book is being published in two volumes. The first volume presents the binomial asset-pricing model primarily as a vehicle for introducing in the simple setting the concepts needed for the continuous-time theory in the second volume.

Chapter summaries and detailed illustrations are included. Classroom tested exercises conclude every chapter. Some of these extend the theory and others are drawn from practical problems in quantitative finance.

Advanced undergraduates and Masters level students in mathematical finance and financial engineering will find this book useful.

Steven E. Shreve is Co-Founder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for sustained contributions to education.

Customer Reviews:

Good book.......2007-10-01

I agree that most concepts are clearly explained....emphasis on *most*. OK, I'll nitpick. And I admit I'm nitpicking. For example, the proof of Jensen's inequality (which he oddly dives into without defining convex functions), is rather non-intuitive, and seems to be more an appeal to the accompanying picture rather than a proof. The proof given under the Wikipedia entry for "Jensen's Inequality" is much clearer, and makes much more sense, at least to my way of thinking. Other than the occassional gaffe such as this, it is a highly readable, informative, and dare I say enjoyable text!

Nice book.......2007-03-08

I think its a very good book for fundamental concepts in stocastic calculus.

Good for finanical mathematics graduates.......2007-01-10

clear explanations on binomial models for European and American options. Abstract concepts also included such as change of measures, martingales, stopping times. Proofs in book assumed no knowledge on sigma fields or measure theory.

Very good to understand the basics of pricing-theory........2006-03-04

This book is great book about theory. Using a simple binomial tree as asset evolution model, all key notions are introduced. Neutral-risk probabilities come up in a simple, natural way, and I never found such a clear explanation of the the change of measure and its meaning in finances. Examples help to understand every ussue.

The only case in which you should not buy it: if you are looking for real-market instruments and techniques.

Interesting Read.......2006-02-17

I found this book to be a very interesting and fun read. A very helpful introduction to binomimal models and basic stopping time principals. It also provides a great refresher to Martingale principals. If you are having trouble with Shreve's volume II then have a look at this book first.

Financial Engineering and Computation: Principles, Mathematics, and Algorithms

Average customer rating:

Most impressive extension of the term
Integrated treatment

Financial Engineering and Computation: Principles, Mathematics, and Algorithms
Yuh-Dauh Lyuu
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

General | Investing | Business & Investing | Subjects | Books

General | Programming | Computers & Internet | Subjects | Books

General | Engineering | Professional & Technical | Subjects | Books

Economics | Engineering | Professional & Technical | Subjects | Books

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

Algorithms | Computer Science & Information Systems | New & Used Textbooks | Stores | Books

General | Engineering | New & Used Textbooks | Stores | Books

General | Business & Finance | New & Used Textbooks | Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Computers & Internet | Amazon Upgrade | Stores | Books

Engineering | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Computers & Internet | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books

Look Inside Computer Books | Trip | Specialty Stores | Books

Look Inside Science Books | Trip | Specialty Stores | Books
Similar Items:

Principles of Financial Engineering (Academic Press Advanced Finance)
Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Options, Futures and Other Derivatives (6th Edition)

ASIN: 052178171X

Book Description

Nowadays students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practiced in today's capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more. Each instrument is treated in a short, self-contained chapter for ready reference use. Many of these algorithms are coded in Java as programs for the Web, available from the book's home page (www.csie.ntu.edu/~lyuu/Capitals/capitals.htm)

Customer Reviews:

Most impressive extension of the term.......2004-02-17

The term financial engineering is appearing increasingly in the title of various works. What it actually means remains nebulous, for even natural sciences and engineering remain irresolvable at their respective cores. This is evidently addressing another boon of the digital age, where equations and approximations can be done both automatically, and with extreme rapidity. It is only natural for the advantages of this to trickle into research of finance and economics, only now it is becoming a steady stream, and, with the inclusion of this work, a most sound one at that.

It is inferred that the author views this phrase, "financial engineering," as the level of control over precision of computation, and then the resulting accuracy of projected results (with an occasional forecast of unanticipated outcome). His credentials validate this as well.

The tools utilized include the complete discipline of algorithmics, and numerous branches of mathematics, along with tools assisting with and automating graphics and formatting, such as Latex and Mathematica, all channelled into this most profitable and competitive field of finance.

The approach for most sections begins with a brief discussion of motivation, typically condensed to one or a few paragraphs, followed by an equation representing an historical approach to the problem. This is followed by one or more expanded sections building algorithms, expressed in mathematics and pseudocode, as well as plots of typical results. The section then concludes with a broader discussion of how computation and finance become intertwined through this particular application. The author is extremely well versed in both. There are numerous exercises as well.

The book has the look and feel of an adept computer scientist, applying his honed skills to the financial realm. The typesetting is extremely well done, and even for sections initially unfamiliar, the reader feels confident and motivated to become fluent in time. Many of the exercises have solutions provided in an appendix.

At the time of its original publish date the book was unique in the field due to its approach and concise depth of mathematics, all available from a single resource. The author clearly exerted an extraordinary amount of time and energy to producing this work, and each section attests to this meticulous attention detail.

This work is highly-recommended as a reference, for a plethora of well-constructed algorithms in pseudocode are provided; Java examples are also provided via a website. Some considerable level of sophistication in topics typically relegated to computer science and mathematics are required, for which the intrepid reader can find additional resources. When time and motivation are sufficient, there is a wealth of mathematically sound information, providing depth of understanding and a mature foundation to build upon just what financial engineering means.

Integrated treatment.......2002-12-02

The text covers quite a broad range of topics. It assumes that the reader has a fairly good grasp of statistics and mathematics (senior undergraduate level). Introductory financial material reads ok. The algorithmic approach is useful and so are the answers to select problems. However, some could find the material too tightly packed.

Average customer rating:

A fascinating look at making randomness differentiable
No answers to the exercises

A Course in Financial Calculus
Alison Etheridge
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

Stocks | Investing | Business & Investing | Subjects | Books

General | Mathematics | Science | Subjects | Books

Look Inside Science Books | Trip | Specialty Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

An Elementary Introduction to Mathematical Finance: Options and other Topics
Financial Calculus : An Introduction to Derivative Pricing
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
The Mathematics of Financial Derivatives: A Student Introduction

ASIN: 0521890772

Book Description

This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.

Customer Reviews:

A fascinating look at making randomness differentiable.......2003-07-08

The behavior of large economic systems is by necessity unpredictable, for if it was, then the making of speculative profit would be impossible. The movement of markets is modeled as an example of Brownian motion, which is a consequence of the random motion of molecules. This is a complex process, where the only hope to predict the future is to apply statistical methods. Therefore, this book is largely a lesson in creating statistical models of random processes that allow for calculus methods to be used to analyze them.
The primary model is that of a discrete parameter martingale, which is where different price possibilities are computed based on probabilities that the parameter will have certain values. After years of teaching calculus, this is the first book that I have read where the concentration is on using calculus to model financial systems. Without question, I learned more new material from this book than I have in at least 90% of the math books that I have read. It was fascinating to see how a non-differentiable system is modeled so that it is then possible to use the continuous methods of calculus in working with it.
This book is perfect for advanced courses in the modeling of financial markets. The amount of calculus knowledge needed to understand the material is that of the standard three course sequence that is the start of nearly all undergraduate majors. A course in statistics based on calculus is also essential, and experience in differential equations would also be helpful, although not required.

The only reason that it does not get a fifth star is that there are no solutions to the exercises. I am a firm believer that solutions to at least 1/3 the problems should be included in any mathematics book.

Published in the recreational mathematics e-mail newsletter, reprinted with permission.

No answers to the exercises.......2003-06-15

They claim there are more than 130 exercises, but don't provide solutions. You need to be a teacher to get a password from their web site to get an access to them. It's very dissapointing. What use of them?

Books:

Books Index

Books Home

Recommended Books