This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors own research and practice.
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Editorial Reviews
Review
For those who desire timely reporting straight from the trenches, this book is a must. -- Peter Carr, PhD, Head of Quantitative Financial Research, Bloomberg LP
This book has innovative ideas, state of the art applications, and contains a wealth of valuable information. -- Peter Ritchken, Kenneth Walter Haber Professor, Department of Banking and Finance
This state of the art text emphasizes various contemporary topics in fixed income derivatives from a practitioner's perspective. The combination of martingale technology with the author's expert practical knowledge contributes hugely to the book's success. For those who desire timely reporting straight from the trenches, this book is a must. --Peter Carr, PhD,Head of Quantitative Financial Research, Bloomberg LP, Director of the Masters in Math Finance Program, Courant, Institute, NYU
This book has innovative ideas, state of the art applications, and contains a wealth of valuable information. -- Peter Ritchken, Kenneth Walter Haber Professor, Department of Banking and Finance
This state of the art text emphasizes various contemporary topics in fixed income derivatives from a practitioner's perspective. The combination of martingale technology with the author's expert practical knowledge contributes hugely to the book's success. For those who desire timely reporting straight from the trenches, this book is a must. --Peter Carr, PhD,Head of Quantitative Financial Research, Bloomberg LP, Director of the Masters in Math Finance Program, Courant, Institute, NYU
Review
It is quite obvious that the authors have significant practical experience in sophisticated quantitative analysis and derivatives modeling. This real world focus has resulted in a text that not only provides clear presentations on modeling, pricing and hedging derivatives products, but also provides more advanced material that is usually found only in research publications. This book has innovative ideas, state of the art applications, and contains a wealth of valuable information that will interest academics, applied quantitative derivatives modelers, and traders.
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Most Helpful Customer Reviews
9 of 11 people found the following review helpful:
5.0 out of 5 stars
One of the best quant books I have read,
This review is from: QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIES: IN THE PRESENCE OF COUNTERPARTY CREDIT RISK FOR THE FIXED-INCOME MARKET (Hardcover)
I am a junior quant, so let us not comparing with guru. Among the books I read, my opinion is Wilmott series more on maths, Baxter for good understandings until short rates, Jessica wide but not so deep concepts on models/methods, Rebonato's books are detailed, but I found the detailed explanations are not clear to me, Brigo&Mercurio's book is nice. A common drawback of all these books is they didnot talk much on practitioners' intuitions.
This QA+DM+TS book combines math, intuitions, traders' views. And they are explained in such a clear way. All the models are alive. Really hope I could have known about the book and read it in full before my interviews. Sigh...
5.0 out of 5 stars
Full of insight,
By
This review is from: QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIES: IN THE PRESENCE OF COUNTERPARTY CREDIT RISK FOR THE FIXED-INCOME MARKET (Hardcover)
A very good book. Not for the absolute beginner, but it allows readings at different levels. Full of practitioners viewpoints rarely cited in other books.
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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moment matching, martingale models, martingale approach, nonexploding bushy tree, bushy tree technique, martingale interpolation, numeraire instrument, net credit charge, martingale relationship, binomial economy, arbitrage modeling, exponential spline model, adaptive trinomial tree, different pricers, price the counterparty credit risk, martingale quantities, credit spread processes, market sovereign entity, coupon enhancement, liquid underlying instruments, counterparty credit spread, martingale quantity, forward equity prices, accrual start date, strike dependency Key Phrases - Capitalized Phrases (CAPs): (learn more)
Martingale Arbitrage Pricing, Monte Carlo, Martingale Arbitrage Modeling, Markov Chain Model, Counterparty Credit Risk Pricing, Real Market, Constant Elasticity of Variance, Modeling Correlated Default Event Processes, Principal Components Analysis, Orthogonal Exponential Spline Model, Pricing Simple Defaultable Instruments, Cheap Analysis, Power Reverse Dual Currency, Parity Error Payer Receiver, The Heath-Jarrow-Morton Model, Adjusted Durations, Bermudan Payer Receiver, Fisher Black, The Inui-Kijima Model, Par Coupon, Market Correlation Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
moment matching, martingale models, martingale approach, nonexploding bushy tree, bushy tree technique, martingale interpolation, numeraire instrument, net credit charge, martingale relationship, binomial economy, arbitrage modeling, exponential spline model, adaptive trinomial tree, different pricers, price the counterparty credit risk, martingale quantities, credit spread processes, market sovereign entity, coupon enhancement, liquid underlying instruments, counterparty credit spread, martingale quantity, forward equity prices, accrual start date, strike dependency Key Phrases - Capitalized Phrases (CAPs): (learn more)
Martingale Arbitrage Pricing, Monte Carlo, Martingale Arbitrage Modeling, Markov Chain Model, Counterparty Credit Risk Pricing, Real Market, Constant Elasticity of Variance, Modeling Correlated Default Event Processes, Principal Components Analysis, Orthogonal Exponential Spline Model, Pricing Simple Defaultable Instruments, Cheap Analysis, Power Reverse Dual Currency, Parity Error Payer Receiver, The Heath-Jarrow-Morton Model, Adjusted Durations, Bermudan Payer Receiver, Fisher Black, The Inui-Kijima Model, Par Coupon, Market Correlation Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
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