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The Mathematics of Financial Derivatives: A Student Introduction 1st Edition, Kindle Edition

by Paul Wilmott (Author), Sam Howison (Author), Jeff Dewynne (Author) Format: Kindle Edition

4.4 47 ratings

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Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel and relevant 'real-world' mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician's viewpoint, from modelling through analysis to elementary computation. A unified approach to modelling derivative products as partial differential equations is presented, using numerical solutions where appropriate. Some mathematics is assumed, but clear explanations are provided for material beyond elementary calculus, probability, and algebra. Over 140 exercises are included. This volume will become the standard introduction to this exciting new field for advanced undergraduate students.

Review

'The layout is good and clear, so is the style of notation … overall this is an excellent tool for both mathematicians interested in the world of finance as well as finance practitioners keen to rebuild the foundations of their knowledge.' Rudi Bogni, The Times Higher Education Supplement

'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW Nieuws --This text refers to an alternate kindle_edition edition.

From the Back Cover

Finance is one of the fastest growing areas in the modern banking and corporate world. this, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel and relevant 'real-world' mathematics. --This text refers to an alternate kindle_edition edition.

Book Description

The rapidly growing area of finance is an expanding source for the development of novel and relevant "real-world" mathematics. This text describes the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. --This text refers to an alternate kindle_edition edition.

Book Description

The authors describe the modelling of financial derivative products from an applied mathematician's viewpoint. --This text refers to an alternate kindle_edition edition.

ISBN-13

978-0521497893
Edition

1st
Sticky notes

On Kindle Scribe
Publisher

Cambridge University Press
Publication date

September 29, 1995
Language

English
File size

10496 KB
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Paul Wilmott
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Product details

ASIN ‏ : ‎ B00AHTN44S
Publisher ‏ : ‎ Cambridge University Press; 1st edition (September 29, 1995)
Publication date ‏ : ‎ September 29, 1995
Language ‏ : ‎ English
File size ‏ : ‎ 10496 KB
Simultaneous device usage ‏ : ‎ Up to 4 simultaneous devices, per publisher limits
Text-to-Speech ‏ : ‎ Enabled
Screen Reader ‏ : ‎ Supported
Enhanced typesetting ‏ : ‎ Enabled
X-Ray ‏ : ‎ Not Enabled
Word Wise ‏ : ‎ Not Enabled
Sticky notes ‏ : ‎ On Kindle Scribe
Print length ‏ : ‎ 340 pages

Best Sellers Rank: #2,012,308 in Kindle Store (See Top 100 in Kindle Store)
- #135 in Mathematics Reference (Kindle Store)
- #563 in Mathematics Reference (Books)
- #563 in Options Trading (Kindle Store)

Customer Reviews:
4.4 47 ratings

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Jeff Dewynne
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Paul Wilmott
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Sam Howison
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Customer reviews

4.4 out of 5

47 global ratings

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S. Dutta

Five Stars

Reviewed in the United States on April 20, 2016

Verified Purchase

It's great as expected.

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Mathematician

A good introduction to the PDE approach

Reviewed in the United States on October 10, 2005

Contrary to what many readers believe, this book explains the pricing of derivatives much better than Hull. Hull gives an overview of the mechanics and properties of the derivative pricing industry, along with its pricing methodologies, and this book provides an in depth method to one of the pricing methods.

Financial derivatives can be priced by a wide range of methodologies, among some the elegant equivalent martingale measure approach (or risk-neutral pricing), replication, multinomial tree approximation, Monte Carlo simulation, partial differential equations etc etc.

This book gives an excellent introduction, and an insight to the PDE approach. Although being a big fan of the Girsanov-change-of-measure method myself, these analytical methods often fail in the valuation of highly complex derivatives like the exotics. Pricing americans prove to be hard and inefficient too, even with simulation and the risk-neutral approach.

This is where PDE methods come in. Since most derivatives (or term structures) have a PDE describing its evolution, solving the PDE seems to be a good (or sometimes the best) way, no matter how complex the derivative can get. PDEs on the other hand, have very robust and easy methods for solving. Therefore, this book brings the reader through basic PDE solving methods, analytical solutions, techniques for fast and efficient numerical approximations as well as rigorous technical explanations for some of the mathematics of partial differential equations (which arise in the financial industry).

The authors are famous for their research in the field of Industrial and Applied Mathematics, and this book continues to be a classic for undergraduates in mathematics in Oxford. If you want to have an overview of the pde approach to option valuation, without the hassle of learning up Radon-Nikodým and martingales, I highly recommend this book!

16 people found this helpful

Helpful

Steve S.

Good Book

Reviewed in the United States on October 12, 2010

I actually returned this book, but I have it now from somewhere else and the book is very helpful with math finance. There are good examples of how to work out each proof. It is just very helpful

2 people found this helpful

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C.S.

good book

Reviewed in the United States on November 21, 2009

Verified Purchase

Good Book but it lacks lots of basic information to understand the material. In order to solve the problems, you will use more Google that the book if you are new to this area.

3 people found this helpful

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H. Kwee

Easy to read, very comprehensive.

Reviewed in the United States on March 10, 2008

I bought this book to learn about financial derivatives by myself. It is very easy to read for a first timer, no prior knowledge is required. It is also very comprehensive in its coverage of the subject. Overall it is a very good first book for the subject.

2 people found this helpful

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Amazon Customer

Beautiful Text

Reviewed in the United States on June 26, 2001

My professor recommended this book to me as one of the important readings. At first sight, it looked quite challenging, even though I have both economic and engineering background.
It took me a while to realize that it requires hands-on and self calculations (even repetition) to really grasp the concepts. Although the reading is difficult, that process is rewarding in two main ways. First, after first few chapters readers will forget the fear of math. Second, when the math and finance treatments converge the understanding will become solid. In so doing, the book has succeeded in "introducing" this world to audience. My suggestion is when reading this, one would need pen, paper, formula table and a running computer. Reading for fun is not the style of this.
Since the first reading of this, I bought many others, but still found this extremely clear and well written. Don't be afraid of their math notations as the core remains (replacing one symbol with another should not terrify us). His approach of PDE is clearly well-known and to me most comprehensible. In this sense, the book is mathematically more familiar to people coming out of normal university math.
Strongly recommend this book to students and professionals. Besides finance concepts, it also helps refresh math skills of readers. You will share my opinion after reading. Another plus is it is quite inexpensive.

7 people found this helpful

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Krish

Good Buy

Reviewed in the United States on August 29, 2007

maps one to one with many chapters in Hull. more elaborate derivations than Hull. Fixed income area treatment is very slim though. Good Buy for the Price.

2 people found this helpful

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M. Kim

A Math Book that reads like an action novel

Reviewed in the United States on July 20, 2000

This books is certainly not for anyone. But if a person is interested in learning financial mathematics, it reads like an action novel.
What I like about this book in particular is that it does not pound on theories with proofs after proofs. It just presents what one needs to know.
Thumbs up!

5 people found this helpful

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Enrique, el crack

Reseñando un producto usado.

Reviewed in Mexico on December 22, 2023

Verified Purchase

Compré el producto en condición usado. Para el 85% de descuento en el precio respecto al de un producto nuevo, considero que fue una buena compra.

Por ser de pasta blanda el libro presenta un doblez estructural. Se puede corregir poniendo debajo de algo que haga peso para plancharlo. Hay algunas manchas a los costados del libro, pero muy ligeras.

Las hojas están intactas (salvó el doblez que mencioné) y solo la primera vino marcada con el nombre de su antiguo dueño.

Mandándolo a empastar quedaría de lujo como un producto nuevo y, calculo, a la mitad de precio.

Me siento satisfecho por el precio pagado.

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Amazon Customer

Five Stars

Reviewed in Canada on January 28, 2016

Verified Purchase

really like a new book

Nromeron1987

Good for Quant studies

Reviewed in the United Kingdom on April 22, 2012

Verified Purchase

If you are doing any degree in quantitative finance, you must have this book on your personal library. I am doing an MSc in Quantitative Finance and this book is like the handbook for this kind of studies, I personally recommend this book if you want to improve your maths and programming skills.

kangfucius

Good buy

Reviewed in Canada on April 26, 2015

Verified Purchase

Good enough condition. Still imminently applicable introductory text

Jeff

Good book.

Reviewed in the United Kingdom on February 11, 2013

Verified Purchase

An extremely good introductory book for university level financial mathematics or if you want to start in the field. Would highly recommend you read this before you attend an interview.

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