Implementing Derivative Models (Wiley Series in Financial Engineering) [Hardcover]

Les Clewlow (Author), Chris Strickland (Author)

Book Description

ISBN-10: 0471966517 | ISBN-13: 978-0471966517 | Publication Date: June 1998 | Edition: 1

Implementing Derivatives Models Les Clewlow and Chris Strickland Derivatives markets, particularly the over-the-counter market in complex or exotic options, are continuing to expand rapidly on a global scale, However, the availability of information regarding the theory and applications of the numerical techniques required to succeed in these markets is limited. This lack of information is extremely damaging to all kinds of financial institutions and consequently there is enormous demand for a source of sound numerical methods for pricing and hedging. Implementing Derivatives Models answers this demand, providing comprehensive coverage of practical pricing and hedging techniques for complex options. Highly accessible to practitioners seeking the latest methods and uses of models, including
* The Binomial Method
* Trinomial Trees and Finite Difference Methods
* Monte Carlo Simulation
* Implied Trees and Exotic Options
* Option Pricing, Hedging and Numerical Techniques for Pricing Interest Rate Derivatives
* Term Structure Consistent Short Rate Models
* The Heath, Jarrow and Morton Model
Implementing Derivatives Models is also a potent resource for financial academics who need to implement, compare, and empirically estimate the behaviour of various option pricing models. Finance/Investment

Editorial Reviews

From the Publisher

As the market for new derivative instruments continues to expand both in volume and complexity, traders and brokers everywhere are clamoring for sound, numerical techniques to model, price and comfortably hedge complex, exotic options. Highly accessible to practitioners seeking the latest uses of Monte Carlo and Binomial methods, this book is also a potent resource for financial academics who need to implement, examine and empirically estimate the behavior of various options pricing models.

From the Inside Flap

As the market for new derivative instruments continues to expand both in volume and complexity, traders and brokers everywhere are clamouring for sound numerical techniques to model, price and comfortably hedge complex, exotic options. Implementing Derivatives Models is the single comprehensive source of this application-oriented guidance. Written in a highly accessible style, it is of great assistance to practitioners and finance academics who need to implement models, examine their behaviour, compare with new models, and perform empirical estimation of the models.

See all Editorial Reviews

Product Details

• Hardcover: 330 pages
• Publisher: Wiley; 1 edition (June 1998)
• Language: English
• ISBN-10: 0471966517
• ISBN-13: 978-0471966517
• Product Dimensions: 7 x 1 x 10 inches
• Shipping Weight: 1.7 pounds (View shipping rates and policies)
• Average Customer Review: 4.4 out of 5 stars  See all reviews (9 customer reviews)
• Amazon Best Sellers Rank: #270,456 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

16 of 16 people found the following review helpful:

5.0 out of 5 stars Excellent Applied Derivatives Book !!!, January 26, 1999

By 

Sami Järvinen - See all my reviews

This review is from: Implementing Derivative Models (Wiley Series in Financial Engineering) (Hardcover)

Authors have succeeded remarkably well in providing studends and practitioners with a book on derivatives concentrating purely on numerical methods. The writing and notation is clear and free of unnecessary staff. Focus is never lost. Almost all aspects that are relevant are covered. However, for the next edition to make the book perfect, I suggest that authors add little more on newer term structure models; HJM, BGM, etc. Also a short chapter on zero estimation would be great, since the building block of term structure derivatives needs to be supplied before derivative price calculations start. Probably even credit derivatives, since that area is currently blossoming. Authors do a particularly outstanding job in presenting the more difficult term structure calculations and they give an excellent treatment of the forward algorithm. Well, what can I say ? In conclusion, an outstanding book, well worth the price.

48 of 56 people found the following review helpful:

3.0 out of 5 stars Fills a gap, but needs polish, October 12, 1999

By A Customer

This review is from: Implementing Derivative Models (Wiley Series in Financial Engineering) (Hardcover)

Even more than Wilmott's book, C&S's book gets into the details of pricing derivatives. The choice of topics is truly excellent, and the copious source code included is a superb move. I am currently using this book (and others) to teach a class in Financial Programming.On the other hand, errors are frustratingly frequent. Not so much in the source code, but in the prose. It would be nice to see a floppy disk of code come with the book, a la Hull. There are no exercises in the text, which I consider to be an egregious error, because exercises are really the only way to learn the material.C&S try to make finite difference schemes seem less intimidating by expressing them in terms of probabilities (to stress the link between trees and more general lattices). This works OK for explicit schemes, but for the more important implicit and Crank Nicolson schemes is weird and unnatural. It fails to give the reader any clue as to how to do finite differencing on his own. (Their odd changes of variables don't help, either.) Wilmott's treatment of the subject of finite differencing is far superior.

5 of 5 people found the following review helpful:

4.0 out of 5 stars You can do it but you do not understand, October 11, 2005

By 

Charle Dupond (London) - See all my reviews

This review is from: Implementing Derivative Models (Wiley Series in Financial Engineering) (Hardcover)

This books is very valuable for equities derivatives. In particular the implementations are very clear even if it is only sketch and not real implementations.

Unfortunately it does not explain the real points behind (martingale, risk neutral). So you know how to do it but you do not know why you do it. For this you should read the Baxter.

Another bad point is that the interest rate derivatives are covered just for the single factor rate models and the HJM model and not the LIBOR-Market model which is the most useful model.