| View Larger Image | Mathematical Techniques in Finance: Tools for Incomplete Markets | Paperbackby Ales Cerny (Author)
| List Price: | $55.00 | |
| | Binding: | Paperback | | Publisher: | Princeton University Press | | Edition: | illustrated editionth Edition | | Page Count: | 352 Pages | | Publication Date: | November 03, 2003 | | Sales Rank: | 651,931st |
|
EDITORIAL REVIEWS |
Product Description
Modern finance overlaps with many fields of mathematics, and for students this can represent considerable strain. Mathematical Techniques in Finance is an ideal textbook for Masters finance courses with a significant quantitative element while also being suitable for finance Ph.D. students. Developed for the highly acclaimed Master of Science in Finance program at Imperial College London, it offers a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics. In the best engineering tradition, Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. Eighty figures, over 70 worked examples, 25 simple ready-to-run computer programs, and several spreadsheets further enhance the learning experience. Each chapter is followed by a number of classroom-tested exercises with solutions available on the book's web site. Applied mathematics is a craft that requires practice--this textbook provides plenty of opportunities to practice it and teaches cutting-edge finance into the bargain. Asset pricing is a common theme throughout the book; and readers can follow the development from discrete one-period models to continuous time stochastic processes. This textbook sets itself apart by the comprehensive treatment of pricing and risk measurement in incomplete markets, an area of current research that represents the future in risk management and investment performance evaluation. |
CUSTOMER REVIEWS (Average Customer Rating: 5.0 based on 5 reviews)
|
One of the best books written on asset pricing by C. Ang (Chicago, IL)  5 Stars
July 31, 2009
Mathematical Techniques in Finance ranks as one of the best finance texts I've ever read. This book provides a good mix of theory and application which is well-suited for a master's level course and for practitioners. It fills the gap between undergraduate/MBA finance texts that focus on applications and Ph.D.-level texts that are in the theorem-proof style. To appreciate this book, I think the reader only needs to know calculus and a little linear algebra. The author is able to describe complex mathematical techniques in relatively easy, understandable terms. More importantly, the author highlights the important things to remember for each of the important concepts. For example, whether the absence of a Type I or Type II arbitrage is necessary for the existence of a solution when markets are complete or incomplete or which state variables play an important role in certain models. Moreoever, I have read many finance books, and this text's discussion of risk-neutral pricing and continuous time finance is one of the best. Aside from providing proofs for the more important concepts, Cerny also provides many numerical examples and MATLAB code (the MATLAB programs are available on the author's website) to implement many of the examples.
| |
An excellent introduction to financial mathematics by Aleksander Breian Hansen (London, UK) 5 Stars
January 06, 2007
I had the great pleasure of attending Dr. Cerny's lectures in mathematical techniques in finance. The lectures were structured around this book and were accordingly brilliant. The book starts off gently, to great relief for those who need to cover more basic mathematics in discrete time, before moving on to continous time and later introducing concepts such as Matingales and Browninan Motion. The book shows you how to derive such as the Black Scholes Formula, and introduces the Ito formula which is extensively used in pricing options.
Importantly, the book is clearly written and 'recycles' the exercises as it progresses from simple to more complex topics. I found this to be of great use since you already have an understanding of what the exercise is all about, intuitively and 'mechanically', and you can compare the methods and more readily understand what is going on in the more complex examples.
This book does not require a heave maths background. As always, the more the better, however, you can easily make great use of this book only with an understanding of simple calculus like derivatives and integrals. A basic understanding of linear algebra will also prove beneficial.
If you are looking for a book that will explain important concepts in finance, then this book is exactly what you are looking for.
| |
The Best Option Pricing book I've read!, by CGS (London, UK) 5 Stars
October 14, 2004
After reading million books on derivative pricing, this one is the only one which defenitely combines a practical approach to it. You'll start learning about all the maths you need and all the building blocks, all by examples. And suddenly on Chapter 11, it puts it all together and effortless you can price any option with any payoff you can imagine, I got impress withmyself. I work at Credit Suisse First Boston and we have it in all the Quant's desks.
| |
Hands-on & easy to read by Bernard VdS  4 Stars
May 24, 2004
This is a great little book. I would put it in my category of 'original' books on quant finance, which includes books written by Paul Wilmott, Mark Joshi, Rick Osband and Neftci.The reason being that the author uses a more informal style than most quant books and is very hands-on. If you're interested in understanding quant models and eventually applying them in the real world, then this is the kind of book you want. If you're looking for mathematical beauty and formalism, then look elsewhere.The editors could have done a better job with some of the flow and formatting - maybe next edition (it is sometimes hard to link the text to the figures and tables).Great book.
| |
Very good coverage, practical orientation 5 Stars
January 09, 2004
Consider first, this book's subtitle, "Tools for Incomplete Markets." A "complete market" (the kind assumed by the Black-Scholes-Merton model) is one in which any derivative product can be dynamically replicated by means of cash and the underlying asset. An incomplete market, then, is one is which the world of derivatives and their underlyings do not match each other in the point-by-point replicable manner implied by that definition of completeness. This failure to match makes for a necessary imperfection in hedging. That, of course, is the real world, where traders practice, as Scholes and Merton famously discovered in Greenwich, CT not long ago!A variety of illustrations of this practical emphasis might be adduced. In the preface, for example, Dr. Cerný tells us frankly that in his experience "is it hard to understand the Itô calculus, but it is possible to get used to it and to apply it quickly and consistently...." [italics in original.]
| |
SIMILAR PRODUCTS |
| Interest Rate Swaps and Their Derivatives: A Practitioner's Guide (Wiley Finance)
by Amir Sadr (Author)
An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts...
| 
| Inside the Black Box: The Simple Truth About Quantitative Trading (Wiley Finance)
by Rishi K Narang (Author)
Inside The Black Box The Simple Truth About Quantitative Trading Rishi K Narang Praise for Inside the Black Box "In Inside the Black Box: The Simple Truth About Quantitative Trading, Rishi Narang demystifies quantitative trading. His explanation and classification of alpha will enlighten even a seasoned veteran."
—Blair Hull, Founder, Hull Trading & Matlock Trading "Rishi provides a comprehensive overview of quantitative...
| 
| This Time is Different: Eight Centuries of Financial Folly
by Carmen M. Reinhart (Author), Kenneth Rogoff (Author)
Throughout history, rich and poor countries alike have been lending, borrowing, crashing--and recovering--their way through an extraordinary range of financial crises. Each time, the experts have chimed, "this time is different"--claiming that the old rules of valuation no longer apply and that the new situation bears little similarity to past disasters. This book proves that premise wrong. Covering sixty-six countries across five continents, This Time Is Different presents a comprehensive...
| 
| Frequently Asked Questions in Quantitative Finance
by Paul P. Wilmott (Author)
“Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such that the outstanding notional of all contracts is now many multiples of the underlying world economy. No longer are derivatives for helping people control and manage their financial risks from other business and industries, no, it seems that the people are toiling away in the fields to keep the derivatives market...
| 
| Term-Structure Models: A Graduate Course (Springer Finance)
by Damir Filipovic (Author)
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models;...
|
|
|
