Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab [Hardcover]

Eliezer Z. Prisman (Author)

Book Description

ISBN-10: 0125649150 | ISBN-13: 978-0125649155 | Publication Date: September 28, 2000 | Edition: 1

Pricing derivatives theory comes alive in this self-contained interactive experience in financial pricing. The no-arbitrage perspective in a one-period state-preference model drives the book, and the Maple® and Matlab® programs help readers visualize payoffs and respond to various constraints and conditions. With clear explanations and lavish illustrations, Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab teaches the core theoretical concepts so often disguised behind difficult terms and institutional details.
Readers can experiment with the electronic packages forever, using the book and its solutions manual as a tutorial that can help solve problems of increasing complexity.

Key Features
* Enclosed CD-ROM includes the student version of Maple V; it provides an interactive, dynamic and friendly environment allowing students to learn through hands on experience
* Enhances learning by altering the commands in the on-line files, varying them at will, in order to experiment with applications of the concepts and different (reader-generated) examples, in addition to the ones already in the prepared file
* Provides both the framework and the tools, based on the no free lunch concept, by which readers can analyze and appreciate different scenarios, including those that are not covered in the book, related to derivative securities
* Basic concepts of stochastic calculus are enriched with demonstrations using animation, simulation and three-dimensional graphs thereby overcoming mathematical complexity
* The MATLAB® Graphic User Interface provides the ability to bring to life on the screen the theoretical material of the chapters

Editorial Reviews

Review

Prepublication Praise
"This treatment of derivative pricing will make a fine textbook for a masters-level finance course, or a reference work for practitioners. Prisman's novel presentation combines software, algorithms, and analytical modeling, emphasizing visualization of the pricing. This book makes it possible to develop both a solid conceptual foundation for derivatives modeling as well as a working knowledge suitable for numerical implementation."
--DARRELL DUFFIE, Stanford University, California
"By using two of the software packages most widely used in industry, Professor Prisman's book should prove to be of great value to both students and practitioners."
--PETER CARR, Principal, Banc of America Securities, New York

From the Back Cover

Pricing derivatives theory comes alive in this self-contained interactive experience in financial pricing. The no-arbitrage perspective in a one-period state-preference model drives the book, and the Maple and Matlab programs help readers visualize payoffs and respond to various constraints and conditions. With clear explanations and lavish illustrations, Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab teaches the core theoretical concepts so often disguised behind difficult terms and institutional details.
Readers can experiment with the electronic packages forever, using the book and its solutions manual as a tutorial that can help solve problems of increasing complexity.
Prepublication Praise
"This treatment of derivative pricing will make a fine textbook for a masters-level finance course, or a reference work for practitioners. Prisman's novel presentation combines software, algorithms, and analytical modeling, emphasizing visualization of the pricing. This book makes it possible to develop both a solid conceptual foundation for derivatives modeling as well as a working knowledge suitable for numerical implementation."
—Darrell Duffie, STANFORD UNIVERSITY, CALIFORNIA
"By using two of the software packages most widely used in industry, Professor Prisman's book should prove to be of great value to both students and practitioners."
—:Peter Carr, Principal, BANC OF AMERICA SECURITIES, NEW YORK

See all Editorial Reviews

Product Details

• Hardcover: 756 pages
• Publisher: Academic Press; 1 edition (September 28, 2000)
• Language: English
• ISBN-10: 0125649150
• ISBN-13: 978-0125649155
• Product Dimensions: 9.2 x 6.1 x 1.6 inches
• Shipping Weight: 2.6 pounds
• Average Customer Review: 3.6 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #2,920,618 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

40 of 43 people found the following review helpful:

3.0 out of 5 stars Pricing Derivative Securities if You Can't Program at All, March 20, 2001

By 

Jennifer L. Voitle (New York, NY United States) - See all my reviews
(REAL NAME)   

This review is from: Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab (Hardcover)

Based on the title and description of this book, I bought it hoping to learn more about developing financial tools, specifically interest rate models, in Matlab. After working through most of the book, I have concluded that the use of the name "Matlab" in the title is misleading: it only means that Maple, the main tool of the book, may be accessed via the kernel of Matlab.

The book appears to be targeted primarily at undergraduates and MBA students, not practitioners in the field. Such an audience may have little interest (or need) in learning to develop code or the intricacies of the underlying mechanics of financial models, and for them, the book would no doubt be very helpful. The software that comes with the book includes a stripped down version of Maple, (which is nice, since you can't really use the book without it), and author-developed analytical tools. These tools support the goals of learning through the ability to quickly vary inputs and see the impact on the output, but as they are more or less a black-box, do not add much to one's independent ability to model new financial objects or extend existing ones.

The book includes the de rigueur definitions of typical financial instruments and explanations that facilitate understanding of these instruments (such as how to read and understand option data in newspapers, the mechanics of currency swaps and so on), but one really has to follow along with the Maple commands page by page to derive benefit. The fixed income section is very skimpy. It seems like the book is best suited as an extended set of lecture notes.

I like the book but would not recommend it to practioners looking for insight on tool development or to extend knowledge of cutting edge interest rate models (as these are not covered here). I would recommend it for newcomers to the field having mathematical or quantitative backgrounds who want a reasonably good introduction to financial instruments. It would also be useful as a companion text in master's programs in financial engineering or financial mathematics. Derivatives and Maple with training wheels.

5 of 5 people found the following review helpful:

5.0 out of 5 stars Pricing Derivative Securities, June 3, 2002

By 

"galeforceanalytics" (Montreal, Canada) - See all my reviews

This review is from: Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab (Hardcover)

For when life throws you that derivative that you just can't look up in some book...
This book provides the building blocks on both the practical and theoretical levels that one needs to price derivatives. The book provides an essential combination of three things: 1) clear explanations and examples of fundamental concepts, 2) a hands on approach to software and pricing algorithms, and 3) emphasis on graphic visualization in understanding the behavior of derivatives in general. While clearly a textbook for a Master's level course, from the point of view of a practitioner, this book has also become my first reference source at the office for those times when I can't just look up the answer, and have to resort to first principles.

6 of 7 people found the following review helpful:

2.0 out of 5 stars Not sure who this book is for, October 13, 2004

By 

Galileo Galilei (Frostbite Falls, MN USA) - See all my reviews

Amazon Verified Purchase

This review is from: Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab (Hardcover)

This book is far too advanced for undergrads or even MBA students. It's not really an introductory book on derivative pricing, but is an excellent supplementary book to, say, Hull's text ("Options, Futures, and Other Derivatives").

This text provides a solid foundation for considering any derivative security in a no-arbitrage market. It then goes on to cover the Black-Scholes model and derivative pricing based on the price distribution of the underlying.

Here's an anicdote from my experience: I wanted to learn the fundamentals of a (Cox-Ross-Rubenstein) binomial pricing model. I opened up the Prisman book and was thoroughly confused with what I understood to be a pretty simple model. The text referenced previous chapters, which referenced previous chapters - you get the picture. It was very unreadable. I then opened up a Hull text and in 3 pages I had a full and sound understanding of a simple binomial model. (-1 star)

I agree with a previous review that "Matlab" has no place in the book's description, let alone in the title. I am a long time Matlab user. There is no Matlab code in this book, no Matlab CD, and the Maple CD that's included cannot be used with an existing Matlab license! (-1 star)

I have also come across a few serious typos in equations that make this text a subpar publication. (-1 star)