Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance
||List Price: $79.95
Amazon.com Price: $55.97
- Media: Hardcover
Publisher: John Wiley & Sons (19 April, 2002)
- Average Customer Review:
Based on 7 reviews.
Amazon.com Sales Rank: 156,544
Good but similar to other works and you'll need more.
This book covers the formulas describing the mathematics of derivatives, and is reminiscent of Paul Willmott's approach. It introduces the basic concepts in a fairly comprehens. While I like this book, I gave it only three stars, because Wilmott did it first, and it falls short on practical applications and descriptions of current products.
For example, I bought and recommend "Credit Derivatives" by Tavakoli, since I was looking for material on this subject, and this book didn't give any description of the types of products.
Recycled material light on application limitations
I gave this book only two stars because the sections on stochastic calculus and risk free rates are presented elsewhere, and those sections were the highlights.
The limitations of the models in practical applications aren't well discussed, so this reads like a regurgitation of calculations, and there are dozens of books and references of this ilk currently available. One more doesn't add much incremental value.
The proof is in the reading!
Over 100 students in Berkeley's Master's in Financial Engineering Program have so far successfully mastered state-of-the-art derivatives pricing using the material in this textbook. In "The proof of the pudding is in the eating" test, this book earns an A+.
John O'Brien, Executive Director MFE Program, U.C. Berkeley
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