Book Description
Designed to bridge the gap between theory and practice, this successful book is regarded as "the bible" in trading rooms throughout the world.
The books covers both derivatives markets and risk management, including credit risk and credit derivatives; forward, futures, and swaps; insurance, weather, and energy derivatives; and more.
For options traders, options analysts, risk managers, swaps traders, financial engineers, and corporate treasurers.
Customer Reviews:
Good.......2007-09-14
The book was in great condition. It took only five days to get the book.
The greatest concise reference for the fundamentals of financial engineering.......2007-05-30
Whilst this text was not a recommended text for my Australian investments course, it was more useful than any other reference material prescribed by my professional body and proved more than its value over the space of just a few weeks. I encourage especially those that may be sitting on the fence, thinking it is a lot of money (because it is), that this text is worth every cent if you are in need of the best derivatives pricing book that exists today - this is it.
Solid textbook.......2007-05-08
This textbook has been very helpful for my financial instruments class (MBA level). Good examples and explanation of formulas.
Good Book Humayun R Ali.......2007-03-01
I am in the first few chapters and finding the book easier to read than other financial books. I like the examples to explain the purpose of futures and options. The first few chapters introduce you to futures and options then gets into more advanced topics. I also got the student study guide. There are certain books that are well worth the price, this is one of them. It is not a "get rich quick" guide, but rather a book designed to give the reader an in depth understanding.
A PhD student's review.......2007-02-07
Like all too many PhD students trying to push their way into the already overcrowded quant. finance job-space, I too had heard that Hull is the "bible" of quant. finance, and it should be the first book you should read.
WRONG. Dead wrong. Hull should be the LAST book you should read, and I mean it literally. That is, you definitely SHOULD read Hull, but after reading some good quant. finance books and getting some intuition behind what is going on.
The good parts of Hull are:
1) breadth of topics covered - there is no other single book that covers the range of topics that Hull does.
2) some amount of feel of real markets that it gives (all this means is that it describes the mechanics of markets).
For someone just starting out learning quant. finance, however, the above two become big stumbling blocks. The breadth of topics means that several topics are covered in a, and I am being kind, patchy manner. In fact, you can go through quite a lot of Mr. Hull's babble about "worlds" (something he uses interchangeably for "measure") without understanding whatever the heck a risk-neutral measure is. There are risk-neutral worlds, forward-neutral worlds, stock-worlds...and you don't know the underlying simple, simple principle, so you just keep following him, and he goes on and on...
Another example - Black's formula in fixed income products - he just goes on and on about its applications to this that and the other (bond options, swaptions...), discusses the "validity of Black's formula" (which supposedly tells you that it is more general that it is usually believed to be, but tells you neither how general it is, nor how general it is believed to be)...All this without giving you the simple, one sentence reasoning behind the Black formula.
Time and again in the book there are formulae that seem to be just pulled out of thin air. There are better compilations of formulae (Haug, for example), so I don't quite understand what the idea is. You keep wondering HOW a valuation formula came about, because you want to know what assumptions lie behind that valuation, and how to change it if some of those assumptions change...But as frequently as not, you will be left turning pages in the vain hope of trying to find out.
Add to that a poorly composed index, ill defined terms sprinkled all over the book, hand-waving galore, and it equates to hours of frustration. Just understanding clearly what is being talked about takes a lot of page turning, searching for definitions and so on.
And don't go by people who look down folks wanting to be precise. I am not talking about any ivory tower precision - I am talking about real, practical precision. The precision you need in a book to be able to answer a non-rote question properly. That precision is not there in most of Hull.
Book Description
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.
The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.
The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Customer Reviews:
Best book on interest rate models.......2002-12-14
This is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates.
The best book I have read on the subject.......2002-05-06
With all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever read on the subject.
Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it.
I would just say that this is certainly a must have in the field.
New stuff and nice overview: hard to beat!.......2002-01-17
In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned.
I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.
Sure enough I'm not disappointed.
1-factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.
The chapter on 2-f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees!
The HJM chapter size is OK. I agree - the useful models embedded in HJM are short rate models and market models.
Market models - these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion! Smile modeling begins with a brilliant tour and ends with Brigo-Mercurio's new approach - the mixing dynamics - deserving a whole chapter if expanded.
The detailed explanation on products is a much welcome original addition. Cross currency derivatives!
Quotes - as in Brigo's old work - are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price.
Still there's room for improvements - more "CIR2++"! Something on 3-f models. Historical estimation of the correlation matrix and low-rank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9 - other interest rate models - sounds out of place and can be suppressed for other things.
This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this.
Nicely written overview of interest rate models.......2001-12-15
This recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models"
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market gave them a
practical view on the subject which markes this book very interesting.
The book contains a "rational" catalogue of models used in practice ( as opposed to models which are impossible to implement!).
In contrast with academic books on interest rate modeling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models
(BGM -Jamshidian models) which reflects the current market practice. This is a positive point since there are not many books with details on implementing and using these "market models".
Part II: Interest rate models in practice is particularly useful because it deals with implementation and calibration which, as any practitioner knows, are important and usually delicate issues.
However calibration issues are dealt with somewhat lightly, especially recent developments on modeling cap/swaption smiles
are not included here.
This book can also be used for a graduate level/PhD course on interest rate models.
There are a lot of numerical examples in the book and mathematics is kept to the necessary level while keeping the
approach both rigorous and understandable.
Overall, it is one of the best books written on the subject.
I highly recommend it to PhD students, quants and researchers interested in this field.
Well written and useful book.......2001-11-04
In my humble opinion, this is the best book on Interest Rate modeling out there. The writing style is clear and focused and the appendices are fantastic. The book is rigorous but someone with some background in Stochastic Calculus will find it easy to follow. If you need refresher, dont worry the authors have you covered, see the appendix on Stochastic Calculus. Not an introductory book. Very exciting book.
Book Description
Designed specifically for managers, this groundbreaking book emphasizes how to use derivatives to maximize firm value through risk management - instead of just using derivatives to speculate. It presents the crucial tools necessary for executives and derivatives players to effectively hedge with derivatives in order to protect firms from losses. Coverage includes all the pricing tools needed to use derivatives seriously, as well as the tools to evaluate how to use a particular derivative to reduce risk. Risk Management and Derivatives takes a general approach to derivatives, illustrating how to use existing derivatives for risk management - as well as derivatives that do not yet exist.
Customer Reviews:
Wealth of information and very detailed.......2007-01-31
This is one of the best books I ever had. Being able to understand every detail is not easy , but the author does a great job in bringing mathematical concepts with an application perspectives
One of the worst book i've ever read.......2006-04-18
Do not buy this book. It's one of the most poorly written book i've ever read. The author likes to use long winded sentenses to explain simple concepts and he does a piss poor job at it. In addition, this book lack quality example problems to help you learn the concepts. When there are examples, they are deeply burried in text rather than clearly shown in a designated area. Imagine an algebra or calculus book with examples explained in text rather than numbers. (.i.e two plus two equals four ... as opposed to 2+2=4) This is how bad this book is. This book is not worth the money. The only way that it's worth the price I paid is if I get a chance to throw it that the author.
If anyone out there know of a well written risk management book, please let me know. I'd greatly appreciate it.
Encountered feelings.......2004-04-16
I have encountered feelings about this book. I liked that it relates corporate finance topics with risk management, giving a better picture of how finance should be understood. I definitely agree that it is full of very valuable insights that increase our knowledge and understanding of finance and risk management. Some of my impressions about the book are:
-The book is sometimes easy to follow, but many times it is very difficult to follow.
-Many difficult parts to follow were unnecessarily complicated by the author.
-Many times the book didn't follow clearly an idea, as if each following sentence or paragraph was written by different people with something different in his mind each.
-Many times it used several lines and paragraphs to explain something simple that could be stated in one sentence.
-Some topics were explained very clearly but others were dreadfully explained.
-Some numeric examples were clear and some were very difficult to follow
My opinion is that you should look for another book on the subject; unfortunately I cannot give an advice about an alternative book.
Anyway, before reading this book you should have a good understanding about the CAPM, derivatives (futures, forwards, options), and basic probability.
This book could become a great book if the author took the time to improve its readability and coherence, because it has very valuable knowledge embedded in it.
Derivatives and hedging for everyone.......2003-06-26
Risk Management and Derivatives by Rene Stulz is a pioneering book into the need, value, and how to of corporate risk management. Rene Stulz is one of the leaders in this area of finance and has researched and studied it over many years, he is one of the leading experts in the understanding and managing of firm risk. The book motivates the subject by presenting existing and new arguments for the use of risk management by corporations. The book is designed to prepare current and future managers and executives for the world and value of derivatives. To assist the reader, learning objectives are presented at the beginning of each chapter. Many books approach the subject in a very technical or overly simplistic method to the use of derivatives to manage a firms risk, this book gives enough detail for a good understanding and use of derivatives for managing a firm's risk but is not to technical for the non-derivatives expert. All necessary quantitative background is provided in the book.
The book begins by discussing derivatives and how they are used to manage risks. It then goes on to look at the value of risk management from the investor as well as the firms viewpoint. The book then examines the basic derivatives tools used for managing risk, including forwards, futures and options. To help the manager in the use of these instruments the book uses many real world examples and discusses the identification and measurement of exposures. To help the reader understand the use and value of the most commonly used derivatives instruments, the author discusses their use and even explains the pricing of options using the Black-Scholes as well as the binomial pricing models. There is even a chapter on interest rate risk, which is the must common risk that is hedged. In the last several chapters of the book, the author goes beyond the basics and discusses more advanced risk management tools and instruments along with a chapter on swaps, which is a fast growing and flexible tool for hedging interest and exchange rate risks. The book concludes with an extensive discussion of the practice of risk management that examines the recent academic studies and predictions of the future of this valuable and growing field.
If you are interested in risk management or are a manager that is interested in increasing firm value and reducing risk, then this is a must read. This book is the state of the art in this exciting area of finance and is written by one of its leading pioneers.
Book Description
Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedging and arbitrage for professional traders and money managers
Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management.
Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Customer Reviews:
Dynamic Hedging...goo stuff.......2007-06-13
Great book, very easy read as it is written in a conversational tone. Covers all the issues associated with derivative trading in an intuitive manner.
Good Work.......2006-10-24
Definitely for pros. This book is one of the fewest which is concentrated on the hedging compared to the tons which explain pricing. The other pro of the book is you don't need to be a quant or a PhD guy to understand the book. If this seems what you are looking for, i recommend you get it.
the best book in options.......2006-03-24
This book is a really useful and practical introduction in derivatives from a guy who knows what he is talking about.
Plenty of illustrations and stories from real life. Mathematics is quite informal, and hence the book may not be used for PhD programs - it's a good master's level... good for a guy who wants to start trading options.
FOR EXPERIENCED TRADERS.......2006-02-27
VERY INFORMATIVE, WRITTEN BY AN ACTIVE TRADER, MANY USEFUL TIPS TO BE APPLIED ON THE JOB. ALL IN ALL AN EXCELLENT BOOK. PROVIDES REAL HELP AND KNOWLEDGE, MUST BE READ BY ACTIVE TRADERS.
Real book for traders.......2004-06-27
really great to figure out the intricacies of options. if you need something more conventional just get hull; this book is by someone who does it for a living and has different intuitions than what you get in the ivory tower.
some of the points are great but may need more updating
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!
Customer Reviews:
advanced, comprehensive treatment.......2007-07-11
As financial instruments become ever more complex, McDonald's book gives a systematic treatment of the most common forms of derivatives. Providing a unified etymology that can help you understand how they work.
He groups options (puts and calls) with forward contracts like zero coupon bonds. Through numerous simple payoff graphs, as well as explanatory accompanying text, the ideas are easily grasped. The book starts with these ideas in its early chapters. Then it builds on them, to illustrate associated and often more elaborate constructs, as in insurance strategies for hedging.
Nor is the discussion confined to minimising one's risk. There is an alternative method, of deliberately speculating on volatility, for example.
The modelling of futures and options pricing is dealt with in detail. Including the seminal Black-Scholes formula and related analysis. The assumptions behind Black-Scholes are examined in detail, given the crucial influence of this on many types of pricing. The treatment gets rather advanced, invoking ideas like Monte Carlo simulations of stock prices.
The text is well suited for a graduate program in finance.
Book Description
Paul Wilmott on Quantitative Finance, Second Edition provides a thoroughly updated look at derivatives and financial engineering, published in three volumes with additional CD-ROM.
Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return.
The reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling.
Volume 2: Exotic Contracts and Path Dependency; Fixed Income Modeling and Derivatives; Credit Risk
In this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets.
Volume 3: Advanced Topics; Numerical Methods and Programs.
In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved.
Throughout the volumes, the author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book—in cartoon form, readers will be relieved to hear—to personally highlight and explain the key sections and issues discussed.
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Customer Reviews:
If you plan to work in quant interest rate derivatives, you *must* read it.......2007-09-01
I have used this book to teach a quantitative course on Fixed Income and Interest Rate Derivatives to those Master-of-Science students who are ready to enter the job market. Several of them got jobs in the quant finance industry as a result of this course. They told me what kind of questions they had on interviews, e.g., "derive the risk-neutral drift of the general HJM model." This interview question may sound intimidating to the uninitiated. But thanks to the extraordinarily simple exposition given in Wilmott, my students were able to answer this and many other such questions.
The math in this book is not complicated, if you read the book carefully. With some modest effort, you can figure out where the equations come from. Wilmott does a great job of showing only the relevant equations and hiding the less-important intermediate steps. Of course, if a reader bounces from section to section and expects to see everything clearly at the first glance, then he/she has unrealistic expectations of a quant book.
As for the comment by one of the reviewers about Wilmott's cartoons and jokes. There are quite a few of those. But you are free to ignore them if you think they distract you. It's always up to you what to read and what not to.
A big disappointment.......2007-07-20
I bought this book following all the good reviews Turned out to be a heartbreaker.
1. Artificially bloated -- too many cartoons, flippant and unnecessary jokes mask the whole purpose of the book. Bloomberg pictures are totally unnecessary.
2. Very complicated equations suddenly pop up from nowhere. Author starts from a sound theory. All on a sudden he jumps to completely esoteric equiation and the whole explanation is completely lost. It would be better to dispense with the whole analysis and just give out the final formula.
One of well written books ever in the field of risk management.......2007-04-23
I bought tons of books before this set. This is the place to start. It is written with style and humor coupled with a pace that is simple to adjust to. I judge a book by how many equations it has - more is BETTER! This set strikes a balance. The exposition is solid. It covers many specialized topics like Energy Derivatives (just a taste, mind you, but it is there to get us thinking). I guess the bottom line is this book allowed me to start thinking like a Financial Quant and less like a mathematical physicist. I have gotten much more out of the other more mathematical works because I understand how the Quants think. I still like The Physics of Finance by Ilinsky. This is more than the past Derivatives book (that makes up the first 65% of volume 1) and sets a real tone to understanding - this is just what I was looking for as I re-tool. Buy this FIRST. Read the TOC, and Get moving!
Good summary, but of no use to a job seeker.......2007-04-01
I totally agree with the review of James Ward below. It really doesn't make sense to complain that a SUMMARY of any kind "doesn't cover x" or "glosses over y" because that's unavoidable.
However, I'd like to shed some light of how large the "non-coverage" can be. For instance, you may think that if you have read what Wilmott has to say on Fixed Income Securities, you are at least familiar with the basics, but that's not the case. If you are an entry-level quant looking for a job who claimed to "know the fixed income" you are likely to answer the first 2-3 fixed income interview questions, but fail the rest - unless you add, like, 500 or more pages of fixed income material to what is given in Wilmott.
So if your goal is to be able to claim (even a basic) knowledge of a certain QF topic in your resume, it's necessary to purchase a few good books dedicated entirely to that topic. And to find out what books are good, you don't really need Wilmott's references - using Amazon search and customer reviews should do the job.
A must have for anyone interested in finance.......2007-03-08
I'm only through the first book of the set, and already can't wait to start the second one. This is the best book I've read on quantitative finance (and I thought Hull was pretty good). The language is easy, the math is not cumbersome, everything is clear.
If I had to make a suggestion, it would be in text references. They specify the author and publishing year, but often omit the name of the book (e.g. Wilmott refers to Neftci's 1996 book as the best on stochastic calculus for beginners, yet Amazon doesn't show anything by this author from that year)
Customer Reviews:
Justin London did it again.......2007-07-19
I highlight two points:
1. The inclusion of Matlab and Excel code in almost all topics of the book.
2. All the content is new and more advanced, there is no recovered topics of his previous book.
Offers prebuilt code for immediate use.......2007-06-29
This book offers prebuilt, modifiable code that you can use for energy, power, weather and many other derivatives applications. The download process is fast and easy. For those who use Matlab, C++, or Excel, there is no competition. A great book with unique content and code.
Excellent resource for coding derivatives.......2007-06-16
This book was my ultimate go-to resource on several financial engineering projects (on the buy side). It covers many different derivatives and provides example MatLab and C++ code that is easy to modify and extend.
The instructions for setup and downloading the code could be more clear, perhaps on a CD.
State of the art derivative modeling book.......2007-04-10
Great book. But the code downloading process is a bit weird. Don't know why they just attach a CD.
Describes the Modelling Procedure and Gives the Code.......2007-02-08
Derivatives are not simple things. It almost seems that complexity was a design goal when they were being set up. In order to determine their real value either today or in the future you almost have to model them on a computer.
This book covers dozens of different types of derivatives, including the common ones and some of the new even more esoteric ones. It talks about the structure of the derivative, and then presents models of them. The models are presented in the most common modelling 'languages' in use today. There is a lot of code involved, but there is not a CD included with the book. Instead, an access code providing a one time download for the code. Note, a one time download. Be sure and save the code quickly and on several media. This procedure allows the models to be updated as needed without regard to the time it takes for the book to move from being written to being published, but if you have a disk crash....
The biggest things this book provides are: first, you get to see what an expert in the field has done, and second, you get the code to run his models on your system, and of course you can modify them if you find some other aspect suits your needs better.
This is a new book, first printed in December 2006, so it is current with the derivatives being marketing at that time.
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.
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.
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