Customer Reviews

Implementing Derivative Models (Wiley Series in Financial Engineering)

5 star:		(5)
4 star:		(3)
3 star:		(1)
2 star:		(0)
1 star:		(0)

 

 

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.

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.

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.

This is a much needed resource for financial engineers which provides the step by step details with repeatable examples necessary to implement the models covered in the book. Far too many authors and academics show their arrogance and lack of interest in providing the level of information needed by their readers to actually implement the material covered in their books on derivatives models. This book is the exception.

I read this book based on a recommendation given by my Numerical Methods Course Instructor. Eventhough, one can get hundreds of books on derivative modelling related topics, this one stands out because of its treatment and practical focus. It helps in understanding several of the Numerical Methods applied in financial engineering world, and as such the name of the book is a misnomer. The speciality of the book is the way it explains each method: first explains the theory, followed by a detailed example, then a psuedocode. The book can be used by anyone working in the financial engineering world and not just for derivative modelling.

Best book of implementing IR option models that I found while I was writing my masters thesis. It has full algorithms for most of the models presented and also simulations of the results. This book complemented with Interest-Rate Option Models: Understanding, Analysing, and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering)is a good set to IR Option background.

Learnt a great deal from this book. I bought this because I had to learn some stuff for work, on a project. The book helped me learn the concept easily and understand the content.

An excellent applied look at how to value derivatives. The authors could not have done a better job. The extensive section on interest rate derivatives is much clearer than most other books. I would have liked to have seen more on alternatives to the lognormal model, however.

Very good introduction or summary for the most basic models that are used in the industry. However, it is not very detailed for more complicated models.