Pricing and Hedging of Derivative Securities [Hardcover]

Lars Tyge Nielsen (Author)

Book Description

ISBN-10: 0198776195 | ISBN-13: 978-0198776192 | Publication Date: September 23, 1999

The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. It enables the reader to understand journal literature with confidence, to apply the methods to new problems or to do original research in the field.

Editorial Reviews

Review

"This is a challenging and rewarding text. It will lead mathematics graduate students toward an interest in the problems of finance. It will lead finance graduate students toward the level of mathematical sophistication necessary to contribute to the literature in this field. It will also allow some academics currently teaching undergraduate and MBA derivatives courses to confirm or challenge their own often intuitive understanding of pricing, hedging, and arbitrage....The text is worth buying for the notes to Chapter 1 alone."--The Journal of Finance Research

About the Author

Lars Tyge Nielsen is responsible for model risk management at Morgan Stanley Dean Witter & Co. in New York. Before joining Morgan Stanley Dean Witter, he was a chaired professor and associate dean at INSEAD, the international business school in Fontainebleau, France.

Product Details

• Hardcover: 464 pages
• Publisher: Oxford University Press, USA (September 23, 1999)
• Language: English
• ISBN-10: 0198776195
• ISBN-13: 978-0198776192
• Product Dimensions: 9.3 x 6.1 x 1.2 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (6 customer reviews)
• Amazon Best Sellers Rank: #199,338 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

34 of 35 people found the following review helpful:

5.0 out of 5 stars The mathematical finance book to own., June 28, 2000

By 

"grebonek" - See all my reviews

This review is from: Pricing and Hedging of Derivative Securities (Hardcover)

This book is excellent. As anyone interested in this field knows, there is a lot of high-level math. The author has included several appendices which cover the required background, and he only includes proofs that are helpful to overall understanding. All theorems without proofs have references to the standard math texts.

In comparison to other texts, it does not leave many important ideas to intuition like Neftci's book. Baxter & Rennie is better than Neftci, but not as good as Elliot & Kopp or Lamberton & Laperyre. All of the above I have studied to some extent, and Nielsen's book seemed to include all that these did AND to fill in the gaps. This is the first book I have seen to actually define 'numeraire'.

Make no mistake, to truly understand this material one has to make an investment in learning a good amount of math. The texts I recommend for real analysis are Royden (tops among all for ease and clarity) and Folland (more comprehensive, but very well written); for probability I recommend Resnick's new book which includes a good chapter on discrete-time martingales (much more readable than Chung) and the legendary text by Billingsley.

If you are willing to learn about 4 chapters of Royden and keep Resnick at your side, then this is the only book you need. If not, then start with Baxter and Rennie.

9 of 10 people found the following review helpful:

5.0 out of 5 stars Excellent textbook, November 25, 2000

By A Customer

This review is from: Pricing and Hedging of Derivative Securities (Hardcover)

This is an excellent textbook on financial mathematics. It is quite mathematical, but self contained, clearly and carefully written. The appendices are very well written condensed reviews of basic technical facts. The book also contains discussions of a topics that I've never seen anywhere else, such as "Arbitrage and Admissibility" and "The doubling strategy". As mentioned in the preface, the book is based on a doctoral-level course, and the author clearly had the benefit of a large amount of feedback from students. Reading it, one can't help notice the presence of a very large number of extra remarks and hints, inserted on every page in order to clarify what must have been a denser original text. Finally, I have to mention the excellent editorial work done by Oxford University Press in producing this book, as compared to similar books published by Wiley.

5 of 5 people found the following review helpful:

5.0 out of 5 stars buy this book now!, March 15, 2000

By 

steven hutt (London) - See all my reviews

This review is from: Pricing and Hedging of Derivative Securities (Hardcover)

If you have a strong math background, you will not find a clearer, more rigorous exposition of arbitrage pricing. The writing style is light yet gives you a depth and insight other books miss. I've read all the usual texts, but this is the best by far imho!