Product Description

A handy guide/reference for investors, analysts, and students, Mathematics for Derivatives provides an integrated approach to the valuation of financial derivative instruments for a wide range of asset classes. Featuring a user–friendly format, it was designed to be used as both a step–by–step guide to derivative pricing for beginners, and a handy quick–reference for experienced market practitioners in need of a refresher on the intricacies of a specific instrument. Offering comprehensive coverage of derivative instruments, simple valuation methods, and many detailed examples, this book is sure to be warmly received by professional investors, fund managers, brokers, risk managers, analysts, financial software developers, and all who need a working knowledge of the mathematical techniques used in the derivatives industry.
John Martin (Australia) has worked, taught and published extensively in the areas of treasury, derivatives and financial risk management. He was closely involved in the development of the derivatives industry in Australia in roles varying from market trader, risk manager, regulator and educator. He is a Partner at PricewaterhouseCoopers in Australia.

Product Details

• Amazon Sales Rank: #902523 in Books
• Published on: 2001-08-10
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 480 pages

From the Inside Flap
Applied Math for derivatives offers a guide to the economics and valuation of financial derivative instruments which does not require a math degree to understand. It is deliberately targeted at those practitioners and students who wish to move beyond the algebra to the actual implementation of pricing and valuation models – often the difficult part of any derivative modelling exercise. Detailed coverage is provided for forwards, futures, swaps and options across interest rate, currency and equity markets.The book provides a hands on guide to the deconstruction of derivative instruments into their underlying building books based on the fundamental principals of valuation: the law of equivalent value; the time value of money; and modelling uncertainty.The book develops more than eighty operational derivative valuation models from first principals covering forwards, swaps and options.

A disk accompanies the book, which provides working spreadsheet models for all of the major instruments as well as addressing risk management issues such as delta hedge effectiveness and new issue arbitrage. In addition to the detailed information on valuation, the book also provides insights into the drivers behind the development of derivative markets and handy hints on the construction of valuation models.

About the Author
John Martin is the partner responsible for PricewaterhouseCoopers’ Australian/NZ Financial Risk Management practice. He has been extensively involved in the development of the risk management and derivatives industry in Australia and has written numerous publications in the areas of risk management, derivatives, real options, deregulation of the electricity industry and performance measurement. John has undertaken consultancy assignments with major corporations and Government instrumentalities in the Asia Pacific region. John has also been a pioneer in the development and implementation of at risk measurement methodologies for non–financial corporations.Before joining PwC, John has held positions with the Reserve Bank of Australia, Commonwealth Bank, TNT Limited, Sydney Futures Exchange, Oakvale Capital. These roles have varied from economist, derivatives trader, risk manager, quantitative analyst to consultant.John has a Bachelor of Economics with Honors and has held positions as a National Council member of the Finance and Treasury Association, Chair of the Securities Institute Financial Risk Management Masters Program and Lecturer at the University of NSW School of Banking & Finance, Master of Finance Program.

Customer Reviews

Good idea, Sloppy execution
This is a potentially very useful handbook for finance professionals (but not for quants), which addresses routine financial calculation and saves you the trouble of re-inventing bicycle every time you build a new excel table. The trouble is, it is full of typos. My confidence in the book was shattered soon after starting reading it and I was dismayed when the disk proved to be virtually unusable with half files corrupt or for outdated excel version. Maybe the floppy got the beating during shipping, but why did they not issue a CD instead? I am used to good quality of books from John Wiley, but they failed to provide minimal degree of editing and proofreading. For people with solid math background experience can be somewhat aggravating also because of frequent oversimplification