Product Description

This text provides a thorough treatment of futures, ′plain vanilla′ options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications.
Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy.
This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand–alone text or as a follow–on to Investments: Spot and Derivatives Markets by the same authors.
The authors adopt a real–world emphasis throughout, and include features such as:
∗ topic boxes, worked examples and learning objectives
∗ Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases
∗ supporting web site including Lecturer′s Resource Pack and Student Centre with interactive Excel and GAUSS software

Product Details

• Amazon Sales Rank: #169159 in Books
• Published on: 2001-04-24
• Original language: English
• Number of items: 1
• Binding: Paperback
• 798 pages

From the Back Cover
This text provides a thorough treatment of futures, ′plain vanilla′ options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications.
Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy.
This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand–alone text or as a follow–on to Investments: Spot and Derivatives Markets by the same authors.
The authors adopt a real–world emphasis throughout, and include features such as:
∗ topic boxes, worked examples and learning objectives
∗ Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases
∗ supporting web site including Lecturer′s Resource Pack and Student Centre with interactive Excel and GAUSS software

About the Author
KEITH CUTHBERTSON is Professor of Finance at the Management School, Imperial College. He has been an advisor to the Bank of England and UK Treasury and a visitor at the Federal Reserve. He has held chairs at the University of Newcastle and City University Business School, as well as undertaking consultancy with financial institutions.
DIRK NITSCHE is a lecturer in Finance at the Management School, Imperial College. He is also a Visiting Lecturer at City university Business School.

Customer Reviews

Good Reference and a Sound Course-oriented Introduction
I bought this book several months ago, as a novice to quantitative mathematics in finance, and I still have not finished it.

This is aimed at a post graduate audience, with sound mathematical backgound: most of the material seems to follow the taste of university course suppliment text. It is not a negative sign however, as the text is well organised, and all definitions are nicely highlighted ant presented in easy-to-remember point form.

Each chapter follows an excercise section, but sadly no answers are provided, which is again characteristic of John Hull's book as well (though he has published answers in a separate book.) I think this lack of answers the single most important improvement the author could have provided, which largely forced me to hold back the fifth star in my rating.

Compared with John Hull's book, I find Kuthbertson's marginally less readable and slightly more pendantic, but it does not anyway undermine the quality of presentation, level of details and the precision. However, I think this book comes across slightly better than Hull's as a reference with is clearer presentation, and ample margin space for reader notes..!!

In terms of the coverage, the book spans five sections; the first, second and third introducing the fundamental markets and instruments, the fourth covering the more complex dferivatives and valuation processes (eg: Ito's processes, Black-Sholes valuation), and the fifth on regulation, Value at risk (VaR) and credit risk.

I find Hull's book a better preliminary read, and this book a good reference later on. My advice in both cases is, unless you're a day-to-day savvy mathematician, to have a good statistics and calculus book (sort of engineering mathematics) handy for tackling exercises, and not to be detered by the problems that looks too complex by the first glance.

The book is fantastic and covers the basic and advanced topics
The book is fantastic and covers the basic and advanced topics related to financial engineering. Written by renowned academicians, it helps understand the topics and build good knowledge. I recommend the book. Also the delivery was very much in time as promised by Amazon.com. Thanks Amazon for your service.