Financial Derivatives: Pricing, Applications, and Mathematics 1st Edition
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Darrell Duffie, Stanford Business School
"...excellent...it contains the most important ingredients for a successful textbook, viz, clarity and accessibility...it will also be useful to practitioners who need to brush up on underlying concepts."
Dr. Sadek Wahba, Morgan Stanley Payne Webber
"The book is fundamentally strong because it is both well-informed technically and also focused on the actual matters that matter in the markets."
Martin Baxter, Nomura International, London
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Examples: futures, options, and swaps ; or other tradable assets, e.g., stocks or commodities; or such non-tradable items such as the temperature (weather derivatives), the unemployment rate, or any kind of (economic) index.
Since the industry has undergone a recent explosive growth, so have the number of variety of books covering the subject.
The book by Baz & Chacko is useful for readers wanting a mathematical introduction.
Covered are mathematical tools, financial valuation, financial models, asset pricing, Black-Scholes.
On the math side: Ito's lemma, and a systematic presentation of stochastic differential equations; and dynamical programming.
There are other similar books are out there, roughly the same level, and roughly the same emphasis; for example by Willmott-Howison-Dewynne, and by Capinski-Zastawniak.
I believe they all serve a very useful purpose. Review by Palle Jorgensen, July 2011.
No financial book has the clarity of this text.
Other quant books do not have such notions as "pricing kernel" and economic theoretical matters. I would recommend it as a necessary piece of the "quant" toolkit. Every quant should have it as a background tool as the usual quant literature is standalone and devoid of these concepts.