Quantitative Modeling of Derivative Securities: From Theory To Practice [Hardcover]

Marco Avellaneda (Author), Peter Laurence (Author)

Book Description

Publication Date: September 17, 1999 | ISBN-10: 1584880317 | ISBN-13: 978-1584880318 | Edition: 1

Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a "financial engineering approach," the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.

More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.

Editorial Reviews

From the Author

The Co-Author, Peter Laurence, May 15, 2000

This book introduces readers to discrete and continuous time finance. It is suitable for both academics and practitioners. For the former, it provides bullet point introductions at a good level of rigour to many of the key tools which are stepping stones in the understanding of financial modeling. To mention a few: stochastic integration, Ito's lemma. Girsanov' theorem, fist hitting times, lattice and finite difference techniques. For the novice practitioners the chapters on binomiial and trinomial trees, and on ``practical delta hedging'' provide a roadmap of some of the vital building blocks all must know. For more advanced practitioners and for novices whio are willing to invest the time to study carefully the preparatory material on stochastic processes in chapters 9-11, will find that chapters 12-15 on interest rate modeling bring them up to date on cutting edge theory and methodology. Topics covered include forward measures, Heath-Jarrow-Morton, the Libor Market model Jamshidian's model, exponetially affine models and associated sqare root processes.

Starting in June, 2000, the authors will add a link on their web pages to a running list of errata and typos reported so far. Also, we welcome readers comment and feedback to help improve the exposition in future editions. We wish you good reading!

From the Inside Flap

Endorsements

``This fine treatment of the arbitrage pricing of derivatives will become a standard. Avellaneda and Laurence have brought their extensive knowledge in mathematics and financial practice into a highly readable source, which graduate students and financial analysts will find both concrete and authoritative.'' Darrell Duffie, Professor of Finance, Graduate School of Business, Stanford University

`` I learned a great deal of what I know of mathematics of finance from Marco Avellaneda -- and I know that I will learn more. Not only is he a great scholar, but he is a superb pedagogue, capable of cutting to the chase and avoiding needless complications -- with the ease and simplicity of those who truly master the subject. I am glad that this book by Avellaneda and Laurence is out so more people can share their knowledge.'' Nassim Taleb, Trader, Paribas Capital Markets

``Written by two of the field's leading experts, this book stands out from the crowd of recent books on derivatives pricing theory. I recommend it to anyone interested in this fascinating field.''Peter Carr, Principal, Bank of America Securities

Product Details

• Hardcover: 336 pages
• Publisher: Chapman and Hall/CRC; 1 edition (September 17, 1999)
• Language: English
• ISBN-10: 1584880317
• ISBN-13: 978-1584880318
• Product Dimensions: 10.1 x 7 x 0.9 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
• Average Customer Review: 3.1 out of 5 stars  See all reviews (14 customer reviews)
• Amazon Best Sellers Rank: #1,798,404 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

13 of 14 people found the following review helpful:

1.0 out of 5 stars Avellaneda's worse performance, March 22, 2000

By 

Prakash Mudani (Chicago) - See all my reviews

This review is from: Quantitative Modeling of Derivative Securities: From Theory To Practice (Hardcover)

This is a surprisingly sloppy book written by a known academic in the financial engineering world. That is Marco Avellaneda. At first sight, this book is a good idea. It is suppose to bridge the gap between literature that are too simplified for quants and the high level books that are too mathematically rigorous for pratitioners. However this book is presented in such a sloopy manner that any profit driven company would sack these two authors. There are typo mistakes in almost every page and some fundamental errors. There are numerical examples there are completely wrong. On top of that, who writes a quant book without giving any exercises. The authors should comprehend that mistakes in quantitative books can be very misleading to the reader especially if the reader is trying to learn. If you don't have a Ph.D. in Math, don't read this book. It might do more harm than good.

8 of 9 people found the following review helpful:

1.0 out of 5 stars I wish I could send the book back., March 22, 2000

By 

Tiu Ho Chang (London) - See all my reviews

This review is from: Quantitative Modeling of Derivative Securities: From Theory To Practice (Hardcover)

Obviously I followed the wrong review. Those who feel that thetypos are immaterial are misleading. I lost many hours trying tounderstand what the book was doing in many places only to realize that the book was just wrong. So, if you don't have a lot of spare time, and don't wish to be an editor, please do yourself a favor and skip this book. END

7 of 8 people found the following review helpful:

1.0 out of 5 stars Objective Review, February 28, 2000

By 

Jack Hurst (NY, New York) - See all my reviews

This review is from: Quantitative Modeling of Derivative Securities: From Theory To Practice (Hardcover)

I have been working as a quantitative strategist in fixed-income at Goldman for the last two years. I read quant. books at a pace of a book a week so one may say I have a broad perspective. Unfortunately, I have to agree with the bad reviews written about this book. Not that the content is bad, there are just too many mistakes (bad editing, lazy authors! ) which will confuse all new comers. Having this said, try to purchase a better book.

Yours,

Jack-