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

Book Description

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

Customer Reviews:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

An Introduction to Systems Biology: Design Principles of Biological Circuits (Chapman & Hall/Crc Mathematical and Computational Biology Series)

Average customer rating:

Clear, rigorous, fascinating
Building Mathematical Models of Cells
Great Job

An Introduction to Systems Biology: Design Principles of Biological Circuits (Chapman & Hall/Crc Mathematical and Computational Biology Series)
Uri Alon
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Paperback

Biotechnology | Biological Sciences | Science | Subjects | Books

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

General | Physics | Science | Subjects | Books

Look Inside Science Books | Trip | Specialty Stores | Books

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

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

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

Systems Biology: Properties of Reconstructed Networks
Evolutionary Dynamics: Exploring the Equations of Life
The Regulatory Genome: Gene Regulatory Networks In Development And Evolution
Stochastic Modelling for Systems Biology (Mathematical and Computational Biology)
System Modeling in Cellular Biology: From Concepts to Nuts and Bolts

ASIN: 1584886420

Book Description

Thorough and accessible, this book presents the design principles of biological systems, and highlights the recurring circuit elements that make up biological networks. It provides a simple mathematical framework which can be used to understand and even design biological circuits. The text avoids specialist terms, focusing instead on several well-studied biological systems that concisely demonstrate key principles. An Introduction to Systems Biology: Design Principles of Biological Circuits builds a solid foundation for the intuitive understanding of general principles. It encourages the reader to ask why a system is designed in a particular way and then proceeds to answer with simplified models.

Customer Reviews:

Clear, rigorous, fascinating.......2007-01-20

I'm a Ph.D. student in biophysics. This is the best treatment of systems biology that I've encountered. It treats both the math and the biology with clarity, rigor, and respect. It simplifies without dumbing down. It's beautifully written. If you doubt that systems biology is a real scientific discipline, this book will change your mind.

Building Mathematical Models of Cells.......2006-09-25

The history of science over the past few centuries is to become ever more specialized. The physicists, becomming ever more concerned with the very large (stars, galaxies, the cosmos) or the very tiny (first atoms, then atomic components, now sub-components. The biologists on the other hand were studying much larger things, such as the cells that make up life. Both sciences developed techniques to facilitate their study.

In recent years, researchers have discovered that sometimes these specialized techniques can be used to develop greater insight into what is happening in other sciences.

In this book, Dr. Alon uses his training in physics to examine certain aspects of biology and to use the terminology and mathematics to describe the way these biological networks work.

The goal of the book is to begin the formulation of general laws that apply to biological networks. This is done by providing a mathematical framework in which some of the design principles of biological systems can help to understand biological networks. In looking at the results, an underlying simplicity not seen before appears in biological systems.

Great Job.......2006-09-09

A superb intro to the field. The math is moderate and helpful. Network concepts and their ties to examples and theory are clearly and succinctly presented. This is a textbook but reads easily like a book. Covers key elements while connecting them by at least mention to up-to-date further research. The basics and the grandeur of systems biology. I am trying to remember now anything on the negative side and cannot.

Differential Equations, Dynamical Systems, and an Introduction to Chaos (Pure and Applied Mathematics (Academic Press), 60.)

Average customer rating:

A new version of a classic book
Excellent Book
good, not ideal
New Edition

Differential Equations, Dynamical Systems, and an Introduction to Chaos (Pure and Applied Mathematics (Academic Press), 60.)
Morris W. Hirsch , Stephen Smale , and Robert Devaney
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

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

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

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

Ordinary Differential Equations
A First Course in Partial Differential Equations: with Complex Variables and Transform Methods (Dover Books on Mathematics)
An Introduction to Chaotic Dynamical Systems, 2nd Edition
Applied Linear Algebra
Nonlinear Dynamics and Chaos: With Applications to Physics, Biology, Chemistry and Engineering

ASIN: 0123497035

Book Description

Thirty years in the making, this revised text by three of the world's leading mathematicians covers the dynamical aspects of ordinary differential equations. it explores the relations between dynamical systems and certain fields outside pure mathematics, and has become the standard textbook for graduate courses in this area. The Second Edition now brings students to the brink of contemporary research, starting from a background that includes only calculus and elementary linear algebra.

The authors are tops in the field of advanced mathematics, including Steve Smale who is a recipient of the Field's Medal for his work in dynamical systems.

* Developed by award-winning researchers and authors
* Provides a rigorous yet accessible introduction to differential equations and dynamical systems
* Includes bifurcation theory throughout
* Contains numerous explorations for students to embark upon

NEW IN THIS EDITION
* New contemporary material and updated applications
* Revisions throughout the text, including simplification of many theorem hypotheses
* Many new figures and illustrations
* Simplified treatment of linear algebra
* Detailed discussion of the chaotic behavior in the Lorenz attractor, the Shil'nikov systems, and the double scroll attractor
* Increased coverage of discrete dynamical systems

Customer Reviews:

A new version of a classic book.......2007-02-21

I bought a copy of this new book and I have its old version with Hirsch and Smale as its only authors. Main differences between these books are some new chapters covering chaos and the exercises. Old version has better chapters dealing with linear algebra. I find this new version hard to read and it leaves many details to be filled by the reader. I would say that the new version is still a good choice for a second course in ODE or supplementary text for a graduate course. I gave it four stars.

Excellent Book.......2006-05-05

This is a great introduction to the next stage of differential equations after a first course. Devaney is a master of presenation, and makes everything seem easy. It is not as encyclopedic as some other books on this material, such as Arnold and Perko, but it is easier to read and still covers the most important advanced material.

good, not ideal.......2005-12-08

the two books by hirsch smale, one with devaney, seem like good books, but I am not crazy about either, at least from the few pages one can search online here.

the latter book with devaney just seems a dumbed down version of the earlier book by the two more famous authors. i expected that earlier book to be far better, but found to my regret that the two books actually share almost the same first page, and the main difference noticeable in the early going is that the 2 author work is poorly written, and the 3 author one is not written much better.

it is clearer but seems to be talking down to the reader in an annoying way. so neither is the absolute pleasure to read that the wonderfully written text of arnol'd is, or the classic of hurewicz. i would skip these books and get arnold and hurewicz instead.

New Edition.......2004-02-26

You should be aware that there are two similar books with similar titles by the same authors. The old edition is a hardcover all green book by Hirsch and Smale called:

"Differential Equations, Dynamical Systems and Linear Algebra"

The second with the lorenz attractors in yellow on the cover is by Hirsch, Smale and Devaney and is called:

"Differential Equations, Dynamical Systems and an Introduction to Chaos"

Now, that may be obvious to you, but it is important to note that because those are VERY different books (which I have both of right here). The 'old' one is a more theoretical text that mainly addresses linear systems and is organized more like a math monograph than a contemporary (i.e. with pictures and examples) textbook. It is difficult for most people. The newer version is COMPLETELY different and is written for a more diverse audience. It starts with linear systems but then goes into nonlinear systems and discrete systems. It is somewhat similar in character to Strogatz's Nonlinear Dynamics and Chaos. If you do not have a very strong abstract theoretical type of math background I would not recommend you start learning about differential equations from the "old" edition. You will find it very difficult. If you are used to a general abstract presentation of results you should be fine. For the NEW edition the level is very different. I would guess that courses in multi-variable calc, elementary diff eq, and linear algebra (if you understood them) would be sufficient preparation. Both books are excellent, just be clear on what you are looking for.

An Introduction to the Bootstrap (Monographs on Statistics and Applied Probability)

Average customer rating:

It is a good introduction book
introduction to bootstrap
A great book to learn the Bootstrap method from
Not for Engineers
Great introduction by the originator of the bootstrap

An Introduction to the Bootstrap (Monographs on Statistics and Applied Probability)
Bradley Efron , and R.J. Tibshirani
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Hardcover

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

Look Inside Science Books | Trip | Specialty Stores | Books

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

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

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

Bootstrap Methods and Their Application (Cambridge Series in Statistical and Probabilistic Mathematics , No 1)
Generalized Linear Models, Second Edition (Monographs on Statistics and Applied Probability)
Monte Carlo Statistical Methods (Springer Texts in Statistics)
Bayesian Data Analysis, Second Edition (Texts in Statistical Science)
The Elements of Statistical Learning

ASIN: 0412042312

Book Description

Statistics is a subject of many uses and surprisingly few effective practitioners. The traditional road to statistical knowledge is blocked, for most, by a formidable wall of mathematics. The approach in An Introduction to the Bootstrap avoids that wall. It arms scientists and engineers, as well as statisticians, with the computational techniques they need to analyze and understand complicated data sets.

Customer Reviews:

It is a good introduction book.......2007-05-22

This book is designed for people who do not have have background in bootstrap. I found that it is easy to read and understand. You could follow the examples of this book and directly to the "R". Reader should read this book before going to read the "Bootstrap Methods and Their Application".

Dirty your hands and you will get a lot from this book.

introduction to bootstrap.......2006-03-24

As a physician I was looking for an introductory text on bootstrapping and comparative methods. This book was useful to me to get an impression. Some mathematical background is needed.

A great book to learn the Bootstrap method from.......2004-02-05

This is the best book to learn about the bootstrap. Clear style, no empty verbiage, good problems, excellent examples are some of the qualities that make this exposition of Bootstrap great. The math level is minimal - some basic statistics (perhaps at the level of Wackerly et al's book) - is all that's required.

Not for Engineers.......2002-08-07

This book provides a good coverage of the very useful bootstrap method. However, post-graduation as an engineer, I find that the method is neither well known nor happily accepted by engineers outside of academia. In the corporate world, bootstrapping is left up to degreed statisticians, as this is what management trusts. As a mechanical engineer, I find that simpler statistical techniques, even if they include broad assumptions, are much more widely accepted. If you are an engineer, leave this up to the statisticians. If you are a statistician, this book is an acceptable source for learning bootstrap.

Great introduction by the originator of the bootstrap.......1998-07-16

Brad Efron wrote the key paper rediscovering the bootstrap and putting it in its proper place with other resampling techniques in his famous 1979 paper in the Annals of Statistics. His work was a breakthrough that has now led to hundreds of other publications and several books on the bootstrap and more general resampling procedures by himself, his students and many other statisticians. In fact I am working on a book with goals similar to what he and Rob Tibshirani achieve in this monograph. It is a concise and accurate presentation of the bootstrap and its wide variety of applications and is very much up to the state-of-the-art in this rapidly growing area of statistics. It is written in an intuitive fashion and avoids much of the mathematics (Edgeworth expansions etc.) which are needed to provide formal proof that the bootstrap does what it is intended to do. Provides most of the important references up through 1993. For a similar treatment that is more current, see Davison and Hinkley (1997). Bootstrap Methods and their Application. Those interested in the theory and formal mathematics should consult Hall (1992). The Bootstrap and Edgeworth Expansion.

Introduction to the Mathematics of Financial Derivatives

Average customer rating:

Good Companion Book
Good book
Very thoughtful and clear explanation of financial math
sophisticated maths
Remarkable Introduction to Serious Math, Serious Finance, and Real-World Applications

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

Econometrics | Economics | Business & Investing | Subjects | Books

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

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

General | Business & Investing | Subjects | Books

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

General | Investing | Business & Investing | Subjects | Books

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

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

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

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

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books

Look Inside Business Books | Trip | Specialty Stores | Books

Look Inside Nonfiction Books | Trip | Specialty Stores | Books

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

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

ASIN: 0125153929

Book Description

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

Customer Reviews:

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

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

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

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

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

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

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

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

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

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

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

Remarkable Introduction to Serious Math, Serious Finance, and Real-World Applications.......2006-06-14

Neftci's book is easily grouped into a large number of texts that provide graduate level (considerable more rigorous than the MBA version) introductions to mathematical finance. Some are written for MBA with want to be exposed to as little math as possible without short changing the financial and valuation aspects and with considerable attention to a broad range of financial products and applications (Hull's classic comes to mind). Others are extremely implementation driven and are more a hybrid of finance and computer programming (Duffy, London, Wilmont). Still others are math books that speak above the heads of almost all practitioners and cover the finance topics poorly (or not at all).

Netfci's book is a rare gem in this field. Excellent coverage of financial topics and fundamentals (Arbitrage Theorem, Forwards Futures, Equity Derivatives, Interest Rate Derivatives), serious graduate level review of financial math and mathematical techniques (Probability, Numeric Processes, Binomial Methods, Stochastic Calculus, Finite Difference, Martingales, Monte Carlo methods), and applications (Bond Pricing, Term Structure Modeling, Exotic Options, Rare Event Modeling).

Best of all, it start assuming very little, builds aggressively, and progresses logically.

The biggest drawbacks are a lack of coverage for credit modeling and credit derivatives, Merton-model and contingent claim models for distressed equity, and more common financial engineering applications (hedging, rebalancing).

It is also remarkable well-written.

The Mathematics of Financial Derivatives: A Student Introduction

Average customer rating:

Good Buy
Okay but not an introduction
Introduction to partial differential equations in finance
A good introduction to the PDE approach
waste of time

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

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

Options | Investing | Business & Investing | Subjects | Books

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

Reference | Mathematics | Science | Subjects | Books

Look Inside Business Books | Trip | Specialty Stores | Books

Look Inside Science Books | Trip | Specialty Stores | Books

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

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

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

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

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

ASIN: 0521497892

Book Description

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

Customer Reviews:

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

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

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

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

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

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

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

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

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

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

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

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

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

waste of time.......2005-03-10

This book is very bad, lacks almost everything you can think of, but if you don't know any better you probably won't care. It certainly needs to be supplemented by a respectable book if you want to learn derivatives (c.f. Hull's textbook, for example), and on the other hand, the math isn't rigorous at all, so you'll need a book on stochastic calculus (e.g. Michael Steele's, actually there are tons of better books out there, it's not hard to find better).

An Introduction to Credit Risk Modeling (Chapman & Hall/Crc Financial Mathematics Series)

Average customer rating:

read this before going for it
a very good book
good combination of math and finance
Clear and comprehensive
A good read!

An Introduction to Credit Risk Modeling (Chapman & Hall/Crc Financial Mathematics Series)
Christian Bluhm , Ludger Overbeck , and Christoph Wagner
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Hardcover

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

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

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

Look Inside Business Books | Trip | Specialty Stores | Books

Look Inside Science Books | Trip | Specialty Stores | Books

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

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

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

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

The Standard & Poor's Guide to Measuring and Managing Credit Risk
Credit Derivatives Pricing Models: Model, Pricing and Implementation
Credit Risk Scorecards: Developing and Implementing Intelligent Credit Scoring (Wiley and SAS Business Series)
Credit Scoring For Risk Managers: The Handbook For Lenders
Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments

ASIN: 158488326X

Book Description

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.

Customer Reviews:

read this before going for it.......2007-04-23

Well first off I would like to tell anyone who doesn't have a solid working knowledge of calculus (including multivariate) to avoid this book as it requires multiple integrals and infinite series and sequences. Now onto the good and the bad:

THE GOOD:

This text explains concepts very well and is FULL of examples. I mean literally 3/4 of the book, maybe more, is examples. Every chapter also has a section of problems that have partial solutions, which can come in very handy. This is pretty much all that is good about this text, but keep in mind that explaination is the most important part of any textbook.

THE BAD:

The proofs skip plenty of steps. And I mean plenty, so much that a proof in the book would take 5 lines but when my professor proved it in class it would take him nearly 15. Also while there are tonnes of examples, too many are theoretical and very hard. The book costs a hefty amount of change and is suprisingly small, Author couldl have given few more examples to make it interesting. However the worst thing about this book is how the author leaves important things in with the text often. However most these things are small, and overall the text is a good intro to probability theory.

a very good book.......2006-10-31

The authors wanted to write the book that they themselves would have liked to read before starting a profession in risk management. I am working for a treasury consultancy firm. This book was the best of the five I bought. The text is very clear yet does not assume too much prior knowledge. It covers theory as well as industry practice. The book contains much advanced statistics and readers must have some background in order to handle this. The authors keep it simple but not too simple. Their approach is pragmatic throughout. I am really happy to have read this book when I started doing work in credit risk management.

good combination of math and finance.......2006-02-22

As indicated on the back of the book, the authors are aiming at audience who have some knowledge in both math and finance but may be weak in one and strong in another. Either way, this is a good book to read on credit risk.

Clear and comprehensive.......2005-10-27

This book clearly articulates basic concepts of credit risk modeling. At the same time it is mathematically rigorous. This book enables non mathematician with some (basic) knowledge in probability statistic to better understand and develop his risk management skills.

A good read!.......2004-08-19

Easy to understand with not a tremendous amount of complicated math to dicipher. Just what the doctor ordered.

The Geometry of Physics: An Introduction, Second Edition

Average customer rating:

Fantastic - for the scientist
a book worth keeping
Phenomenal
You should buy this, despite its flaws
The perfect first book in differential geometry

The Geometry of Physics: An Introduction, Second Edition
Theodore Frankel
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

General | Physics | Science | Subjects | Books

Mathematical Physics | Physics | Science | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Geometry, Topology and Physics, Second Edition (Graduate Student Series in Physics)
Geometrical Methods of Mathematical Physics
General Relativity
Lie Groups, Lie Algebras, and Some of Their Applications
Advanced Calculus: A Differential Forms Approach

ASIN: 0521833302

Book Description

Theodore Frankel explains those parts of exterior differential forms, differential geometry, algebraic and differential topology, Lie groups, vector bundles and Chern forms essential to a better understanding of classical and modern physics and engineering. Key highlights of his new edition are the inclusion of three new appendices that cover symmetries, quarks, and meson masses; representations and hyperelastic bodies; and orbits and Morse-Bott Theory in compact Lie groups. Geometric intuition is developed through a rather extensive introduction to the study of surfaces in ordinary space. First Edition Hb (1997): 0-521-38334-X First Edition Pb (1999): 0-521-38753-1

Customer Reviews:

Fantastic - for the scientist.......2007-07-18

A very good book: buy it. But only if you are a scientist or student of physics/mathematics. This is not popular-science-common-public level.

a book worth keeping.......2007-05-01

This book can be quite confusing if you start without any background on the idea of manifold or knows nothing about general relativity. However, it does have strong points:

1. The notation is very up-to-date, and is entirely coordinate-independant approach.

2. The author explains in great details of formulation of modern differential geometry, and the details are comparatively lacking in other reference books.

3. The author never hesitate to use graphs and diagrams to illustrate points, and stroke nice balance in between mathematics rigor and physical insight.

Although it appears quite verbose at some point, it is mainly because differential geometry is such a heavy subject. Another book nice to have as companion reading is Goldburg's "Tensor analysis on Manifold", a terse, well-written text book.

Phenomenal .......2006-11-13

I just finished reading this book and I found it phenomenal. The physical ideas are made very clear in a natural mathematical framework.

You should buy this, despite its flaws.......2006-03-03

The other reviews on this page give this book anywhere from 1 to 5 stars, and they are all correct in their own way. The book is inspired, deep and full of physics applications and insights. On the other hand, it skims over mathematical rigor to a large degree and focuses more on defining things, getting a feel for them and moving on to application.

My advice: buy the book for its strengths, and read other books in parallel if you need more rigor. But still, buy it.

Also, things can be confusing on the first two or three reads, but keep at it and you will be glad you did.

The perfect first book in differential geometry.......2005-01-28

Differential geometry can be a very intimidating subject due to its heavy formalism. There are complete books (such as Kobayashi& Nomizu) very good as reference books, and there very few books that show the reader the picture behind the formulas.

This is one such book. It tells you the intuition behind each construction and from this point of view it has many things in common with Arnold's famous book on Math. Methods in Classical Mechanics. But where as Arnold does not pay too much attention to formalism, this book achieves this task as well. It shows the reader how to do those impossible computations as well.

This is definitely the first place to look at if you want to really learn differential geometry. If it seems difficult it is only because the subject is so.

Average customer rating:

book is worth its weight in gold
Good Stuff
If all math texts were this good, I'd have a PhD by now!
something for everyone
The best book ever for applied math

Introduction to Applied Mathematics
Gilbert Strang
Manufacturer: Wellesley-Cambridge Press
ProductGroup: Book
Binding: Hardcover

General | Mathematics | Science | Subjects | Books

Look Inside Science Books | Trip | Specialty Stores | Books

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

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

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

Introduction to Linear Algebra, Third Edition
Linear Algebra and Its Applications
Calculus
Matrix Computations (Johns Hopkins Studies in Mathematical Sciences)(3rd Edition)
Nonlinear Dynamics and Chaos: With Applications to Physics, Biology, Chemistry and Engineering

ASIN: 0961408804

Product Description

Introduction to Applied Math offers a comprehensive introductory treatment of the subject. The authors explanations of Applied Mathematics are clearly stated and easy to understand. The reference includes a wide range of timely topics from symmetric linear systems to optimization as well as illuminating hands-on examples.

Chapter 1: Symmetric Linear Systems; Chapter 2: Equilibrium Equations; Chapter 3: Equilibrium in the Continuous Case; Chapter 4: Analytical Methods; Chapter 5: Numerical Methods; Chapter 6: Initial-Value Problems; Chapter 7: Network Flows and Combinatorics; Chapter 8: Optimization; Software for Scientific Computing.

Customer Reviews:

book is worth its weight in gold.......2007-02-06

Gilbert Strang text is by far one of the best applied math books I have come across. The author connects many different pieces of the puzzle with a common thread. The organization is very unique and the examples very clear with many exercises and solutions. The book provides a framework for applied mathematics . There are also mit opencourseware video lectures, about 60 hours or so that can supplement the text. I have been a full time university math tutor since 1994 and I strongly recommend this text to anyone that wants to master the theory and applications of applied mathematics.

Good Stuff.......2004-09-12

Strang wants to teach you the topic not prove how clever he is. Applied mathematics is about computing results. Strang gives you the theory behind the methods. If you want code, no, if you want to understand the how, yes.

If all math texts were this good, I'd have a PhD by now!.......2002-08-05

I am very impressed with how useful this book is. It is written mostly in words, not in equations. Most math texts appear to be written so as to show how smart the writer is...making the reader smarter appears to be secondary. This one assumes you know very little, and teaches you a piece at a time, skipping no steps. The examples are very illuminating.

An excellent math methods book for engineers and physicists.

something for everyone.......2001-01-09

i've read his linear algebra and its applications, and am refreshed by his choice of materials and elegance without sacrificing the details and proofs. In no way is it an introductory text in anything. Don't be fooled by the "applied" in the title, all the materials are rigorously presented without the sleigh o' hand approach in theoretical treatments engineering books tend to have. it contains a plethora of fascinating and up-to-date topics - relatively so for amateurs like me - such as kalman filtering and combinatorial optimization. a real eye-opener.

The best book ever for applied math.......2000-09-18

This is the best book I have read on applied mathematics. It simply contains everything you would need to fully understand the theory and application of applied mathematics. The book is well written, while it requires general knowledge of linear algebra and matrix computation. The explanations in the book are very clearly stated and very understandable. Very very good reference for applied math. The material really makes a wonderful grasp on why and how to apply mathematics to some very demanding and complex structures that we deal with in science. Every serious applied math person should have this book on the shelf, it really deserves it.

A Modern Introduction to Probability and Statistics: Understanding Why and How (Springer Texts in Statistics)

Average customer rating:

Great for learning if you're prepared
Starts understandable but becomes hard to read

A Modern Introduction to Probability and Statistics: Understanding Why and How (Springer Texts in Statistics)
F.M. Dekking , C. Kraaikamp , H.P. Lopuhaä , and L.E. Meester
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

Look Inside Science Books | Trip | Specialty Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

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

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

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

The Pleasures of Probability (Undergraduate Texts in Mathematics / Readings in Mathematics)
Monte Carlo Statistical Methods (Springer Texts in Statistics)
Introductory Statistics with R
Applying and Interpreting Statistics: A Comprehensive Guide (Springer Texts in Statistics)
Stat Labs: Mathematical Statistics Through Applications

Accessories:

Applied Stochastic Processes (Universitext)
Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (Springer Series in Operations Research and Financial Engineering)

ASIN: 1852338962
Release Date: 2007-02-01

Book Description

Probability and Statistics are studied by most science students, usually as a second- or third-year course. Many current texts in the area are just cookbooks and, as a result, students do not know why they perform the methods they are taught, or why the methods work. The strength of this book is that it readdresses these shortcomings; by using examples, often from real-life and using real data, the authors can show how the fundamentals of probabilistic and statistical theories arise intuitively. It provides a tried and tested, self-contained course, that can also be used for self-study.

A Modern Introduction to Probability and Statistics has numerous quick exercises to give direct feedback to the students. In addition the book contains over 350 exercises, half of which have answers, of which half have full solutions. A website at www.springeronline.com/1-85233-896-2 gives access to the data files used in the text, and, for instructors, the remaining solutions. The only pre-requisite for the book is a first course in calculus; the text covers standard statistics and probability material, and develops beyond traditional parametric models to the Poisson process, and on to useful modern methods such as the bootstrap.

This will be a key text for undergraduates in Computer Science, Physics, Mathematics, Chemistry, Biology and Business Studies who are studying a mathematical statistics course, and also for more intensive engineering statistics courses for undergraduates in all engineering subjects.

Customer Reviews:

Great for learning if you're prepared.......2007-06-08

This book reads easily because it gives many concrete examples and uses a tutorial approach to teaching. However, you still need to know some math! You don't need a math degree. A good first course in calculus covering derivatives and integrals, including logs and exponentials, and some introductory combinatorics (basic knowledge of sets, permutations and combinations) is enough. Any sophomore or, at the latest, junior majoring in engineering or hard science has the prerequisites.

An understanding of probability is necessary for understanding statistics, so the first half of this book is probability. Without probability, statistics becomes something like "here are some facts, trust me, now here are some formulas, recipes and tables and you will learn when to use each one". For many people this may be enough, especially if they just need to get something done. But if you want to know why hypothesis testing is done the way it is and how it works, buy this book. For example, many statistics books just assume a normal distribution for sampling and the only thing you need to learn is when to use a one-tailed or two-tailed test and which formula to use. This is valid when working with sufficiently large populations or samples. In contrast, the worked example in this book does not use a normal distribution and it walks you through the reasoning and calculation. The reasoning is applicable to any population and distribution. When you change to a normal distribution the principles remain the same, only the formulas change. You learn the principles.

Now to the book's style. This is a tutorial style book that teaches using examples. It doesn't skip many steps and can feel somewhat chatty. It repeats simple calculations along the way so you don't have to page back and find where that number was calculated. This keeps the flow going. Learning by example is actually a good way to learn if you are new to the material. Some however, may not like this style, so read some online first before buying. If you already have probability under your belt and are up on your math then you may find this book slow going. This book is aimed at scientists and engineers, so if you are looking for a rigorous math book with proofs, look elsewhere.

Summary: If you've got the prerequisites then this is a great book for self teaching at a good price. If you are lacking in math and you need to do statistics now, then pick up a "cookbook" statistics book and come back later when you have the math background. If you know your stuff and need a reference, look elsewhere.

Starts understandable but becomes hard to read.......2006-09-24

I really don't feel qualified to rate this book because it quickly went over my head. The first chapters were an easy read and left me wanting to read more of the subject. After that, however the equations quickly progressed to where you may have to have a degree in mathematics to understand it. Not all the variables in the equations were defined, even in the index. This may be a very good text book if taught by someone knowledgeable in the subject, however I could not understand it by reading the book.

Books:

Books Index

Books Home

Recommended Books