Product 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; the area is an expanding source for novel and relevant ‘real-world’ mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician’s viewpoint, from modelling through analysis to elementary computation. A unified approach to modelling derivative products as partial differential equations is presented, using numerical solutions where appropriate. Some mathematics is assumed, but clear explanations are provided for material beyond elementary calculus, probability, and algebra. Over 140 exercises are included. This volume will become the standard introduction to this exciting new field for advanced undergraduate students.

Product Details

• Amazon Sales Rank: #175298 in Books
• Published on: 1995-09-29
• Original language: English
• Number of items: 1
• Binding: Paperback
• 317 pages

Review
‘The layout is good and clear, so is the style of notation … overall this is an excellent tool for both mathematicians interested in the world of finance as well as finance practitioners keen to rebuild the foundations of their knowledge.’ Rudi Bogni, Times Higher Education Supplement

‘The book is pleasantly readable and gives a good introduction.’ C. Praagman, ITW Nieuws

Customer Reviews

Excellent but highly mathematical introduction
This is an excellent introduction to pricing financial derivatives. The authors' background is clearly in solving partial differential equations (PDEs) and there is a great deal of material on this approach. Half the book is devoted to numerical methods for solving PDEs with non-analytic solutions which will prove useful to implementors. A word of warning: I found this book heavy going mathematically - and I have a PhD in Maths! I would only recommend it to someone with at least a degree in a highly quantitative subject. You should preferably already be familiar with solving simple PDEs such as the diffusion (heat) equation. Each chapter has numerous problems for the reader and working through these is extremely educational, although in many cases extremely challenging. Not a light read but a good one.

A Good Mathematical Introduction to Financial Maths
Being a novice to financial quantitative mathematics, I find this book a good, but a pretty heavy introduction. Depending on the level of mathematical background that you are coming from, you may find having an alternative math reference and detailed financial concepts reference very handy, when reading this book.

Personally, I find this book complement very well with other texts that are more descriptive on the business aspects, such as John C Hull’s book. The approach of this book to mathematical treatment is very direct, and to a large degree unsympathetic, in that it assumes your familiarity with the engineering calculus, probability and statistics, and do not waste time repeating them. Consequently, you really must have am alternative text handy for maths, where necessary: The essential pre-requisites being, solution of linear partial differential equations (especially parabolic equations), integration techniques, basic probability theory, and statistical maths.

Although I am still in the process of grasping more advanced concepts, I see this book to be a good reference to the readers who are more experienced in financial mathematics. (Or you may also opt for the “non-student” version of this book, which includes advanced topics, but at a considerably more expensive price.)

Highly recommended to the readers who are keen on delving to the details of quantitative mathematics, who are ready to be first bewildered by their intricacies, and then be patient enough to understand the mathematical treatment from alternative math texts, and finally to relate the business concepts treated in other text, such as John C Hull’s. It’s definitely not a light read, but I think is a very good investment upfront indeed.

Incomprehensible unless you already know most of it
I regret buying this book. I used to think that one day I might be able to understand it but as I've learned more about mathematical writing I've realised that this book is heavy going due to poor explanations, not just the material covered. It's not suitable as a 'student introduction' as claimed on the cover.

Having said that, I've not seen these topics explained well by anyone so far, though I have seen better than this.