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:: Collaborations ::
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:: Bonds, Futures and Options ::
This book has a good balance between the theory and the more practical aspects of derivatives. Readers with a quantitative background and some financial knowledge would find this book useful. The mathematical level is what you may expect a student finishing off their degree in a mathematical subject to be familiar with. It is self-contained, that can be used both as a text book and as a reference book. The authors have carefully selected what are the essentials in the option pricing theory and how they are applied daily in major financial banks. The clarity and the range of the subject make this book a very good addition to the bookshelves of academics and practitioners in the field. The book is not recommend to people new to the subject, with little or no knowledge of finance. These people should either buy other more introductory books on the subject or acquire familiarity with basics finance first.
An excellent book for introduction to the more traditional material of financial mathematics for undergraduate in physics and mathematics. This book contains a good balance between the various aspects of derivatives. Firstly, some short basic introductory material on options is given. Then, the rest of the book is purely concerned with the mathematics required for pricing options and the computational algorithms that coincide. For the price of £16.76 (paperback) it's good value for money as well. The book may seem to be lacking on the qualitative financial side to make it more interesting at times.
Possibly one of the best book on options and futures. In its 4th edition, new chapters have been added, namely Value at Risk, GARCH models and more. Suitable (very) as a first text for those unfamiliar with derivatives at the undergraduate and graduate level. An understanding of calculus/PDEs (partial differential equations) is required. For those less confident about their mathematical knowledge and/or required a more detailed understanding of the mechanism behind the derivatives markets, the book Introduction to Options and Futures Markets, also by the same author, is probably a better option. New Excel-based DerivaGem software is dramatically improved, this software lets users calculate options prices; implied volatilities; calculate Greek letters for European options, American options, exotic options, and interest rate derivatives; value interest rate derivatives using either Black-Scholes's model or a no-arbitrage model; display binomial trees and various charts. An accompany solutions manual to the end-of-chapter questions is also available. Highly recommended.
Accompany solutions manual to the book. Recommended for self-study.
An excellent but less mathematical book than the original book by Prof. Hull. The author has managed to explain the financial concepts in valuing various futures and options without the need for an understanding of calculus. Some chapters are also devoted to explain the background of the futures and options markets (mainly US). Recommended for those wishing to gain an understanding of the markets without going too much into the underlying mathematics.
This book is a collection of papers that deal with the laws of Geometric Brownian Motion and their time-integrals with an emphasis on Asian Options. Each paper is self-contained and presents the topics at a high level. Therefore, this book requires some previous knowledge of the subject. However, it's clear style makes it more accessible then one would first anticipate provided that the reader has a good mathematical background and knowledge in probability theory. Much of the papers deal with topics in which there is a great deal of recent research being carried out. Thus, this book provides a valuable reference for people investigating and applying this mathematics to the study of Asian Options. The author begins with a short introductory chapter on functionals of Brownian Motion in Finance and gives a good account to the problems involved. The following chapters are a collection of papers written by the author and co-authors between 1988 and 1998. A list of these are: On certain exponential functions of real Brownian Motion.
This is a book consisting of a selected papers presented at the 1st World Congress in Paris on June 28 to July 1, 2000, by the Bachelier Society for Mathematical Finance, coinciding in time with the centenary of the thesis defence of Louis Bachelier. The reader this book is intended for has already an broad and indepth knowledge of the subject of mathematical finance, and would like to use the book for reference purposes. Also useful for anyone of the over 500 participants who attended the talks from all continents, and would like effectively 'a set of notes' for the event. Likewise, for anyone who would like read the material presented at the prestigious congress, but was unable to attend. The material is structured such that it serves as a history lesson of the developments and evolution of the financial mathematics - starting from Bachelier early work using Brownian motion as a tool to study financial markets, to current theories and applications. Not suitable for those with little or no knowledge in the field.
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Mathematics
of Financial Derivatives 
Options,
Futures, and Other Derivatives
Solutions
Manual to Options, Futures, and Other Derivatives
Introduction
to Futures and Options Markets
On
Exponential Functionals of Brownian Motion and Related Processes
Mathematical
Finance. Bachelier Congress 2000.