Book Description
Bestselling author Salih Neftci presents a fresh, original, informative, and up-to-date introduction to financial engineering. The book offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. Also included are end-of-chapter exercises and case studies.
In a market characterized by the existence of large pools of liquid funds willing to go anywhere, anytime in search of a few points of advantage, there are new risks. Lacking experience with these new risks, firms, governmental entities, and other investors have been surprised by unexpected and often disastrous financial losses. Managers and analysts seeking to employ these new instruments and strategies to make pricing, hedging, trading, and portfolio management decisions require a mature understanding of theoretical finance and sophisticated mathematical and computer modeling skills.
Important and useful because it analyzes financial assets and derivatives from the financial engineering perspective, this book offers a different approach than the existing finance literature in financial asset and derivative analysis. Seeking not to introduce financial instruments but instead to describe the methods of synthetically creating assets in static and in dynamic environments and to show how to use them, his book complements all currently available textbooks. It emphasizes developing methods that can be used in order to solve risk management, taxation, regulation, and above all, pricing problems.
This perspective forms the basis of practical risk management. It will be useful for anyone learning about practical elements of financial engineering.
* Exercises and case studies at end of each chapter and on-line Solutions Manual provided
* Explains issues involved in day-to-day life of traders, using language other than mathematics
* Careful and concise analysis of the LIBOR market model and of volatility engineering problems
Customer Reviews:
great book.......2007-05-07
Prof. Neftci gave one of our mandatory course - Financial Engineering, in HEC Lausanne. This book is the reference book for this course. His lecture is great, a lot of jokes and funny stories as well as insights about financial engineering. However, I find out that the book is even better than his lecture.
Simply a must own for anyone with any use for Quant Finance.......2006-08-26
Neftci is one of those rare authors who can begin at the begining, explain his major point and logic without excessive jargon or short-cuts, and do so without sacrificing depth and substance.
In a field were the readable texts are for MBAs or elementary practioneers or for the initiated members of the priesthood, here is one of a few handful of authors (Wilmott and Joshi as well) that are both clear and serious, rigorous and accessible, insightful and a plerasure to read.
I can't praise this book too highly!.......2005-12-09
As someone who teaches derivatives to practitioners and in a Masters program, I can't praise this book too highly. It is clear, comprehensive and, most importantly, concentrates on practical applications. I was particularly pleased with the chapter on repo, which is usually underestimated in importance, without requiring a whole, specialist book.
For someone with a fundamental, but non-quantitative background in financial markets (MBA or CFA level), this is the ideal place to go next before more specialised and quantitative books. The advantage of having studied this book first will be to have a clear picture of the forest for the trees.
My only (small) criticism is that the book would have been even better if it had included a chapter (or two) on the multi-tranche asset backed security structure followed by cash and then synthetic CDOs. I do hope that might be rectified in the next edition.
Bravo!
This is one of the top books on quantitative finance.......2005-11-22
I am a student of Prof Neftci in the Applied Math for Finance MS program at Baruch College. He is a great teacher and has written this wonderful book. This is the text book for the Calibration course he teaches at baruch.
The best thing about it is in the practical approach it is written with. It tries to explain the finance as interpreted by practioners like traders...the engineering of finance rather than the science of it. Knowledge of basic parobability thoery, martingales, PDE and some stochastic calculus is assumed. The book itself has less emphasis on mathematical rigour but there are plenty of other references for that.
The strength of this book is in its practical utility in understanding the market and the rational behind the products that exist in it and the priciples of pricing and hedging those.
Chapter 11 on the Fundamental Asset prcing theory is a gem and is the workhorse for pricing many of the products like swaps or swaptions.
Great!.......2005-11-20
A wonderful book with a great didactic approach! Very clear but never mundane. The best introduction to the field so far. It's only drawback is the sometimes slightly unintuitive notation.
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!
Average customer rating:
- the right book, at the right time, in the right place... dubai
- What a Phenomenal Job!
- MBA student
- A first class book on Real Estate Development
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Construction Funding: The Process of Real Estate Development, Appraisal, and Finance
Nathan S. Collier ,
Courtland A. Collier , and
Don A. Halperin
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Similar Items:
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Real Estate Development: Principles and Process 3rd Edition
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Professional Real Estate Development 2nd Edition
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Land Developer's Checklists and Forms
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Land Development Calculations: Interactive Tools and Techniques for Site Planning, Analysis and Design
-
Getting Financing & Developing Land
ASIN: 0471394661 |
Book Description
This updated classic is unrivaled in its complete, single-volume coverage of financing real estate development
This thoroughly revised Third Edition of Construction Funding provides professional and student readers alike with the critical tools needed for developing any successful real estate venture. Using a case example of a 260-unit apartment development, the authors walk the reader through each project phase, offering invaluable guidance on raising capital, selecting markets, rating sites, securing insurance, creating joint ventures, understanding loan options, and mastering cash flow management.
Beginning with an overview of today's real estate industry, Construction Funding acquaints readers with various types of business organizations in real estate, including the advantages and disadvantages of each. An entire chapter in this first section is devoted to the most critical tool of them all: negotiation. The second section of the book provides a step-by-step outline of the typical development process from start to finish. Included in this section are guidelines for:
- Creating a pro forma that will make projects profitable, not a loss
- Understanding the appraisal-the key to financing real estate
- Navigating a loan application
- Correctly completing all required documents to close a construction loan
- Writing a commitment letter that can seal a $15 million deal
The final, third section addresses the mathematical and technical tools of construction, including chapters on forecasting cash flow needs, calculating the time value of money, and funding and feasibility problems. Also provided are appendices containing loan forms, interest rate tables, and valuable information on federal construction programs.
Written by a team of authors with broad experience in the construction and real estate industries, Construction Funding is the book to guide undergraduate and graduate students in construction programs, as well as an invaluable reference for professional developers, planners, and contractors.
Customer Reviews:
the right book, at the right time, in the right place... dubai.......2006-08-17
the right book, at the right time, in the right place... dubai
What a Phenomenal Job!.......2005-04-14
I read construction funding, prematurely perhaps, as one of my first ever real estate books - and I loved it! The book takes the reader through several once-real-life scenarios and explains the construction process step by step. I think that both ambitious beginners and more seasoned loan officers and developers would benefit from reading this book.
MBA student.......2002-03-05
Very interesting book; very easy to read.
As a small real estate investor I found it very helpful in understanding many of the ins and outs of real estate and financing, especially on the scale i would like to grow to.
A first class book on Real Estate Development.......2002-02-05
The third edition of Construction Funding by Nathan S. Collier et al is a remarkable demonstration of insight and expertise. Collier and colleagues provide an exceptionally lucid description and analysis of the process of real estate development that is accessible to non-experts while being authoritative at the same time. In addition to being an excellent text for students and others interested in careers in real estate development, this book serves as essential background for all those whose responsibilities include any part of the development process.
Book Description
Get the easy-to-use, illustrated guide to the 2006 International Building Code®.
As the building industry moves toward a single set of construction codes that have no regional limitations, architects, builders, engineers, and interior designers need an interpretive guide to help them better understand how the code affects their practices. The seond edition of Building Codes Illustrated fills this need by interpreting the updated 2006 International Building Code® (IBC) in a visual format that designers both need and understand.
This unique marriage of bestselling author Francis D.K. Ching's illustrative talent and Steven Winkel's code expertise provides an accessible, time-saving companion guide to the latest code. The visual presentation of information extracts the core portions of the building code that are most relevant for professionals and hones building codes down to the essentials. Organized to correspond with related subject matter in the IBC, Building Codes Illustrated enables architects, engineers, and other design professionals to quickly find clarifying information on the nonstructural provision of the IBC. You'll gain a clear and complete understanding of those sections at a glance through enlightening computer-rendered illustrations and succinct yet thorough interpretations.
There's no excuse for not being up to code. Avoid costly mistakes with the invaluable help of Building Codes Illustrated, Second Edition.
Customer Reviews:
Excellent resource for understanding the code.......2007-09-22
This text does a very good job of breaking the code down into understandable chunks. The addition of graphics helps to understand the verbiage. It is probably best suited to architectural students rather than construction workers, since it spends a lot of time on big picture issues: when do you need to sprinkle, where do you need fire dampers, how many square feet are allowed for Type III construction, etc. Still, it provides the reasoning behind why architects design as they do, so it's still very useful to the non-architect.
Don't go near the code without it.
A great book!.......2007-06-04
Ching did a great job again! The line drawings clarified the codes and made it easy to understand.
Gang Chen, author of Planting Design Illustrated
Evaluating Code Compliance in Design.......2007-01-10
This book is a great tool to use during the design of a building. It applies more to commercial, but is also useful to residential buildings. Using this book will sharpen your code skills and avoid some costly design errors. You will need to have a copy of the 2006 IBC at your disposal if you are going to use this book in any serious way. It is organized in a logical format, but you can easily skip around and cover critical sections. The only thing that I think should be added to this book is a checklist for each type of construction that could be used for plan review. All of my work is in residential so a checklist would help me focus on the pertinent sections of the book.
Excellent Code Understanding.......2006-11-05
Great visual graphics which aid in NC Building Codes along with clear explainations
Excellent Guide to the Codes........2006-03-11
Being an architecture student, this book, and others by Frank Ching, are more than helpful. It really clarifies the IBC and makes design for studio projects go a lot quicker. Definitely get this book if you're studying architecture.
Average customer rating:
- Utter shambles
- Awesome
- very good book.
- Computational Finance made efficient
- The best book in c++ instrument pricing, period.
|
Financial Instrument Pricing Using C++ (The Wiley Finance Series)
Daniel J. Duffy
Manufacturer: Wiley
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Similar Items:
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Modeling Derivatives in C++ (Wiley Finance)
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C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)
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Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
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Heard on the Street: Quantitative Questions from Wall Street Job Interviews
-
Options, Futures and Other Derivatives (6th Edition)
ASIN: 0470855096 |
Book Description
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (write once) and support for legacy C applications.
In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra )
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the Gang of Four Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries.
'Unique... Let's all give a warm welcome to modern pricing tools.'
-- Paul Wilmott, mathematician, author and fund manager
Download Description
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (¿write once¿) and support for legacy C applications.
In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra ¿)
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the ¿Gang of Four¿ Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
Customer Reviews:
Utter shambles.......2007-08-16
The code is a real mess. Source files are missing, class member variables not defined, calls made to misspelled functions, basic syntax errors. Here are a few of the problems I have run into:
- Missing Source Files:: BVPmechanisms.hpp. So files like BVPSOlver.cpp can't compile
- Undefined members variables: AssocArray::contents. Can't build without it
- Basic syntax errors: (if ass2 == this). Should be if(ass2 == this)
- Incorrect function calls: standardDeviation(). Should be standardDeviation(x)
Aside from all the kindergarten errors, the author over uses templates to such an extent that simple routines are hopelessly obfuscated.
I think he built it on an old version of Visual C++. This is because the code fails to build on modern compilers with tighter error checking.
I have no idea why the other guys love this book so much, they must never have tried to build any of the examples in it ... which is weird because the whole reason I bought the book was to begin building a library of financial tools.
Awesome.......2007-01-11
Extremely accessible and professional, both math and software side are very well done, one of the best intro books about numerical modeling and software design. The finite difference methods in this book are very powerful.
very good book........2006-03-12
implementation and design of classes wise this book is replete with ideas. Since this book dealt with FDM, which are either cubbersome or difficult to program say american options, better is to deal with FE methods.
Computational Finance made efficient.......2005-09-25
This book encapsulates all that is wonderful about OOP and shows how generic programming techniques (based on the STL) can be effectively applied to financial engineering and numerical analytic problems. The book requires only a first-course level knowledge of C++ (at the level of for example Ivor Horton's Beginning C++) and a first course level knowledge of Financial Mathematics (at the level of for example John Hull's masterpiece) and takes the reader on an entertaining journey through the basics of the STL and the applications of STL constructs to computational-financial and numerical-analytic problems, especially those relating to the numerical solution of partial differential equations. Also, the author makes a persuasive case for finite-difference methods and deals with a few subtleties of the Crank-Nicholson algorithm. For best results, it should be read along with a decent book on the Standard Library (for example the one by Nicolai Josuttis). Overall, it's a pleasure to read and learn from, on a par with Mark Joshi's little design-patterns volume, and more detailed!
The best book in c++ instrument pricing, period........2004-09-30
Let me just say that I have a few financial modelling books, from Dr. Brooks to Mr. Joshi, and this is the best book by far. It clearly explain how to price a particular instruments using this poweful language. The book uses Standard Template Language (STL), by doing so your code are more readable and much faster. If I only had this book a few years back. Now I must say this book is for C++ programmers and Quants you really need to know C++ from beginning to end, templates, pointers, references, classes or that stuff you need it. This is the only book that comes with working code, it doesn't matter what type of compiler you have the code in the CD will work. Mr. Duffy explains how to model one factor and two factor Black-Scholes equations using finite differences, options(vanilla, exotic),interest rate and much more. The CD even comes with an Excel driver to transfer your data to Excel. Quant superstar Justin London is coming with his new book in a few months, and that book might over take this one, but as of right now this is the best C++ financial pricing book around. You can't go wrong with this one.
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.
Average customer rating:
- A lot of questions answered
- The Best
- Great Book
|
Principles of Project Finance
E. R. Yescombe
Manufacturer: Academic Press
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Similar Items:
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Modern Project Finance: A Casebook
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Project Financing: Asset-Based Financial Engineering (Wiley Finance)
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Introduction to Structured Finance (Frank J. Fabozzi Series)
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Financing Large Projects: Using Project Finance Techniques and Practices
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Public Private Partnerships: The Worldwide Revolution in Infrastructure Provision and Project Finance
ASIN: 0127708510 |
Book Description
This introduction for practitioners offers a balanced view of project financing, integrating legal, contractual, scheduling, and other areas that participate in large multiparty projects, large single-asset purchases, and broad-based financing programs for fleets of assets. It mixes theories and case studies but avoids becoming too oriented toward applications in any one particular industry. It focuses on the concepts and techniques required by project finance people without being overly academic or beset by case studies. The author, who has a legal background, recognizes that some legal information is necessary, but he doesn't attempt to write a law book.
Project Finance refers to the techniques of financing projects which are dependent on cash flows for repayment, as defined by the contractual relationships within each project. By their very nature, these types of projects rely on a large number of integrated contractual arrangements for successful completion and operation. Project finance is an element within the larger field of project management. Many organizations around the world utilize project management to enable innovative processes, to plan, organize, and control strategic initiatives, to monitor enterprise performance, to analyze significant deviations, and to forecast their impact on the organization and project(s). Project management can be found in many industries today, from construction and information systems to healthcare, financial services, education, and training.
Key Features:
-A comprehensive and authoritative guide to the theory and practice of project finance.
-An international scope, covering projects in both the developed and developing worlds.
-The book describes and explains:
-Sources of project finance.
-Typical commercial contracts (such as those for construction of the project and sale of its product or services) and their impact on the project finance structure.
-Project finance risk assessment from the points of view of lenders, investors, and other project parties.
-Structuring the project finance debt.
-The key issues in negotiating a project finance debt facility.
-Extensive glossary and cross-referencing.
-No prior knowledge of project finance or financing techniques is assumed.
Customer Reviews:
A lot of questions answered.......2007-01-05
Very comprehensive and very clear; after reading this book you know what project finance involves at a good level.
The Best .......2006-03-17
The Best book for fundamental theory of project finance, integrated and described overall, a guidance to plan a project finance.
Great Book.......2005-03-31
This book is a great reference .....the tables, the schematic drawings...great tool for finance professionals.
Book Description
Implementing Derivatives Models Les Clewlow and Chris Strickland Derivatives markets, particularly the over-the-counter market in complex or exotic options, are continuing to expand rapidly on a global scale, However, the availability of information regarding the theory and applications of the numerical techniques required to succeed in these markets is limited. This lack of information is extremely damaging to all kinds of financial institutions and consequently there is enormous demand for a source of sound numerical methods for pricing and hedging. Implementing Derivatives Models answers this demand, providing comprehensive coverage of practical pricing and hedging techniques for complex options. Highly accessible to practitioners seeking the latest methods and uses of models, including
* The Binomial Method
* Trinomial Trees and Finite Difference Methods
* Monte Carlo Simulation
* Implied Trees and Exotic Options
* Option Pricing, Hedging and Numerical Techniques for Pricing Interest Rate Derivatives
* Term Structure Consistent Short Rate Models
* The Heath, Jarrow and Morton Model
Implementing Derivatives Models is also a potent resource for financial academics who need to implement, compare, and empirically estimate the behaviour of various option pricing models. Finance/Investment
Customer Reviews:
Best book of implementing IR option models.......2007-09-18
Best book of implementing IR option models that I found while I was writing my masters thesis. It has full algorithms for most of the models presented and also simulations of the results. This book complemented with Interest-Rate Option Models: Understanding, Analysing, and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering)is a good set to IR Option background.
Great book.......2007-01-31
Learnt a great deal from this book. I bought this because I had to learn some stuff for work, on a project. The book helped me learn the concept easily and understand the content.
good introduction.......2006-02-14
Very good introduction or summary for the most basic models that are used in the industry. However, it is not very detailed for more complicated models.
You can do it but you do not understand.......2005-10-11
This books is very valuable for equities derivatives. In particular the implementations are very clear even if it is only sketch and not real implementations.
Unfortunately it does not explain the real points behind (martingale, risk neutral). So you know how to do it but you do not know why you do it. For this you should read the Baxter.
Another bad point is that the interest rate derivatives are covered just for the single factor rate models and the HJM model and not the LIBOR-Market model which is the most useful model.
Fills a gap, but needs polish.......1999-10-13
Even more than Wilmott's book, C&S's book gets into the details of pricing derivatives. The choice of topics is truly excellent, and the copious source code included is a superb move. I am currently using this book (and others) to teach a class in Financial Programming.On the other hand, errors are frustratingly frequent. Not so much in the source code, but in the prose. It would be nice to see a floppy disk of code come with the book, a la Hull. There are no exercises in the text, which I consider to be an egregious error, because exercises are really the only way to learn the material.C&S try to make finite difference schemes seem less intimidating by expressing them in terms of probabilities (to stress the link between trees and more general lattices). This works OK for explicit schemes, but for the more important implicit and Crank Nicolson schemes is weird and unnatural. It fails to give the reader any clue as to how to do finite differencing on his own. (Their odd changes of variables don't help, either.) Wilmott's treatment of the subject of finite differencing is far superior.
Book Description
This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required. - experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book:
- C++ fundamentals and object-oriented thinking in QF
- Advanced object-oriented features such as inheritance and polymorphism
- Template programming and the Standard Template Library (STL)
- An introduction to GOF design patterns and their applications in QF Applications
The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods.
This book contains a CD with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF.
This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Customer Reviews:
Disappointing quant C++ book.......2007-08-31
The motivation and objective of the book are quite appealing, teaching C++ to people who want to move to quant finance. However, the job is not well implemented. I read through most of the book and were quite surprised on the number of chapters and how few contents each chapter contains. Each chapter just gently touches the surface of the subject and it hardly covers much useful knowledge of C++ compared to C++ primer and effective C++ books. If one is new to C++, do not expect to learn much from the book. If one is quite familar to C++ but has not much experience on applying C++ to quant finance, the use of this book is quite limited. Although some example codes are printed in the book, there are really few further explanation on the design and syntax of the codes.
Moreover, the book is way overpriced given its limited value. I still regret much spending 70 bucks on it.
In conclusion, it has an attractive title but is not well designed and written.
A rather pointless and useless book.......2007-03-18
According to the author this text is supposed to serve as a self-contained introduction to C++ for beginners without any prior experience in C or C++. Unfortunately, the author's lack of didactic talent and even more so his negligence to introduce and explain key concepts like e.g. the "this" pointer (all the while making extensive use of it in his examples) would probably foil any attempt of using it in that way.
Initially, I thought the text might still be useful for people hoping to refresh prior knowledge. That is until I happened to come across the code excerpt on page 107 that almost made me fall off my chair. There, the author instead of employing a simple do-while loop actually constructs a loop using goto! On top of that, he fails to initialize a member variable (tol) in the constructor that he merrily goes on to use later on. At the same time he introduces and increments count variable (n) that has no practical use at all.
Another reviewer referred to the book as having the feel of a student's scratch pad. I have to disagree. This text is nothing but an utter embarrassment.
The first step to learn C++ in quantitative finance.......2007-02-23
Well, this book has listed out the essential elements for option pricing using C++. You are assumed to have a basic background of C++ programming up to OOP and simple STL. All materials covered in part I and II are well written for sharpening your knowledge in STL, inheritance, polymorphism and data structures which are useful for filling the gap between C++ language and application in computational finance. In part III, a core section of this book, it lists out the most popular techniques for pricing derivatives products such as tree method, Finite difference scheme and Monte Carlo method. This book is highly recommended for the first glance in computational finance. With the full source code in the attached CD, you can self-study easily. In addition, another Duffy's book - Financial Instrument Pricing Using C++ and Justin 's book - Modeling Derivatives in C++ are good references for intermediate level learning.
A great introduction.......2007-02-18
This book is a great introduction to C++ for people working with or studying Quantitative Finance. I strongly recommend this book. The author is taking you from novice to a good level of understanding of C++ in a few hundred pages. I especially like the introduction to STL and the chapter on Design Patterns and how to apply them. In short a very good book.
A very good introduction into C++ from a quant finance point of view.......2007-02-14
A reviewer below quotes the phrase "After completing the reading, you will earn a 'black belt' in C++ for financial engineering" like as it was a promise made by the author of the book. This phrase in fact belongs to one of the reviewers of this book and has nothing to do with the author's own opinion. In section 0.1 the author says "After having read this book, studied the code and done the exercises you will be in a position to appreciate how to use C++ for Quantitative Finance". So, the author's promise is far more modest than a 'black belt'.
After almost having read the book I see it as an introduction into object-oriented C++ in which explanations are made through examples from quant finance. The book doesn't teach you anything but C++, so don't expect a derivation of the Black-Scholes formula or explanations of how Binomial methods work. It assumes that you know this stuff. I think this book is the best for someone who already knows a little bit about derivative pricing, but has a limited programming experience. It will give you a quick introduction into C++ and the ability to start reading more advanced literature on the subject.
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