Derivatives Models on Models (The Wiley Finance Series) [Hardcover]

Espen Gaarder Haug (Author)

Book Description

ISBN-10: 0470013222 | ISBN-13: 978-0470013229 | Publication Date: July 31, 2007 | Edition: 1

Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives.

The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.

The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:

• Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
• Nassim Taleb on Black Swans
• Stephen Ross on Arbitrage Pricing Theory
• Emanuel Derman the Wall Street Quant
• Edward Thorp on Gambling and Trading
• Peter Carr the Wall Street Wizard of Option Symmetry and Volatility
• Aaron Brown on Gambling, Poker and Trading
• David Bates on Crash and Jumps
• Andrei Khrennikov on Negative Probabilities
• Elie Ayache on Option Trading and Modeling
• Peter Jaeckel on Monte Carlo Simulation
• Alan Lewis on Stochastic Volatility and Jumps
• Paul Wilmott on Paul Wilmott
• Knut Aase on Catastrophes and Financial Economics
• Eduardo Schwartz the Yoga Master of Quantitative Finance
• Bruno Dupire on Local and Stochastic Volatility Models

Editorial Reviews

From the Back Cover

This book takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics is covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance.

The accompanying CD with additional Excel sheets includes the mathematical models covered in the book.

The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:

Nassim Taleb on Black Swans

Edward Thorp on Gambling and Trading

Alan Lewis on Stochastic Volatility and Jumps

Emanuel Derman, the Wall Street Quant

Peter Carr, the Wall Street Wizard of Option Symmetry and Volatility

Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration

Stephen Ross on Arbitrage Pricing Theory

Bruno Dupire on Local and Stochastic Volatility Models

Eduardo Schwartz the Yoga Master of Quantitative Finance

Aaron Brown on Gambling, Poker and Trading

Knut Aase on Catastrophes and Financial Economics

Elie Ayache on Modeling

Paul Wilmott on Paul Wilmott

Andrei Khrennikov on Negative Probabilities

David Bates on Crash and Jumps

Peter Jäckel on Monte Carlo Simulation

About the Author

Dr Espen Gaarder Haug has more than 15 years of experience in Derivatives research and trading, and has worked for more than 20 years as a trader. Until recently he worked as a proprietary trader in J.P. Morgan New York, and as a derivatives trader for two multi-billion dollar hedge funds; Amaranth Investor and Paloma Partners, located in Greenwich Connecticut. Before that he worked for Tempus Financial Engineering, Chase Manhattan Bank (now J.P. Morgan Chase) and Den Norske Bank.

He is the author of The Complete Guide of Option Pricing Formulas, which has become a reference manual among Wall Street professionals. He has a PhD from the Norwegian University of Science and Technology where he specialized in Option Valuation and Trading and has published extensively in practitioner and academic journals. He is currently considering setting up his own investment company - possibly the first Anti-Hedge fund!

Product Details

• Hardcover: 384 pages
• Publisher: Wiley; 1 edition (July 31, 2007)
• Language: English
• ISBN-10: 0470013222
• ISBN-13: 978-0470013229
• Product Dimensions: 9.9 x 7.6 x 1.1 inches
• Shipping Weight: 2.4 pounds (View shipping rates and policies)
• Average Customer Review: 3.5 out of 5 stars  See all reviews (6 customer reviews)
• Amazon Best Sellers Rank: #581,773 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

18 of 22 people found the following review helpful:

5.0 out of 5 stars Excellence in Options Trading, August 4, 2007

By 

E. Paradis "Bumblebee" (Canada) - See all my reviews
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This review is from: Derivatives Models on Models (The Wiley Finance Series) (Hardcover)

I recently purchased this book due to my positive impression from Haug's other excellent book on option formulas. For those who enjoy the history of ideas and would like to find out what is state of the art in options theory and options trading today, there is no better source than Haug's new book "Derivatives: Models on Models" I recommend this book for everyone - experts and neophytes alike.

4 of 4 people found the following review helpful:

3.0 out of 5 stars What a weird book!, January 22, 2009

By 

LJ Haasbroek (Johannesburg, Gauteng South Africa) - See all my reviews
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This review is from: Derivatives Models on Models (The Wiley Finance Series) (Hardcover)

"Models on Models" contains a number of verbatim interviews with most of the big names in quantitative finance. Emanuel Derman's interview stands out. In addition the book contains some out-of-place technical articles on selected quanty topics most of which have been taken from the author's previous published work. Some light-hearted work on trying to unify Special Relativity with Quantitative Finance and even some full-colour glossy Collector comics are included. This mix gives the book a personality crisis. As a result I really struggled to read through the book. It is not the book for someone who wants to get better in quant finance. Yet the book has some benefit in that the interviews helps you better understand who is behind the name. The interview concept is also not original - see How I Became a Quant: Insights from 25 of Wall Street's Elite. All in all the contents of the book gives you a "nice-to-know" feeling and not a "needed-to-know" satisfaction.

3 of 3 people found the following review helpful:

4.0 out of 5 stars Book Review from the Aleph Blog, January 23, 2010

By 

David Merkel "Aleph Blog" (Ellicott City, MD United States) - See all my reviews
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This review is from: Derivatives Models on Models (The Wiley Finance Series) (Hardcover)

his is not my ordinary book review. These are good books that will only appeal to a small fraction of my readers, because few will have need for the knowledge. Both are written by Espen Gaarder Haug, who is kind of a character. He collects option pricing formulas the way some people collect Barbie Dolls, Beanie Babies, or Baseball Cards. He has interacted with some of the brightest minds in the field, and collaborated with a few of them. In both books the math is significant -- it would help if your calculus was sharp, and for any value some algebraic knowledge is needed.

Let's start with the more esoteric of the two books, The Complete Guide To Option Pricing Formulas. Almost every option formula is included there, together with ways of estimating volatility, certain statistical techniques, aspects of compound interest math, etc. The book is very comprehensive, and for those that need how to estimate the value of standard and non-standard options, it is a good book to keep on hand as a reference, together with the free CD-ROM containing an Excel add-in that allows you to use the formulas inside Excel. I have used them for some of the insurance companies I have worked for; the software was easy and reliable.

The second book Derivatives, Models on Models, is different. He interviews 15 significant thinkers on options and derivatives, and presents 15 papers by them. Most of them contain tough math; some I couldn't understand. The real value of the book was in the interviews, where many of the interviewees showed significant knowledge of the limitations of their models, and how derivatives were misunderstood by the public, or by their users.

There are quirky aspects to this book, including cartoons and photos that are somewhat self-aggrandizing to the author, but make the point in a humorous way. I liked both books, but only a modest fraction of my readers should have any interest here.