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Mathematical Finance: Theory, Modeling, Implementation


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Amazon.com: 6 reviews
9 of 11 people found the following review helpful
An excellent quant book Feb. 6 2008
By The Wizard - Published on Amazon.com
Format: Hardcover
The book starts with discussing basic mathematical finance such as Ito's lemma and Black-Scholes theory. This is a rather compact summary without proofs and I therefore believe a novice reader first should read an introductory book such as the one by Baxter & Rennie. The main part of the books is then devoted to various issues that one encounters in the implementation of financial models. I found this part very useful and I guess most quants have encountered the interesting problems that the author discusses such as: calculation of greeks in Monte-Carlo implementations, backward pricing of path-dependent products, implementation of Markov models, etc.
7 of 9 people found the following review helpful
This book is unbelievable precious June 5 2008
By Igor Cakulev - Published on Amazon.com
Format: Hardcover
The book has so many nuggets of wisdom is hard to mention them all. I know I struggled with some concepts before and somehow they were explained in a remarkable way. So now I am just asking myself, was I so stupid before?

Perfect for practitioners, but not in the sense of generic cookbook like the Hull's book where the math is dangerously simplified.
The theory is explained with flawless clarity. Numerous tricks are given for free. For example, I always looked at interpolation as something trivial, however Fries explains arbitrage violations using different interpolation, i.e. negative probability density for smoothing interpolations, discrete for linear. This book is especially useful for somebody that is interested in Libor Market Model. There is also extension of it like the cross-currency version of it; I haven't seen it anywhere else (at least not in books).
From the negative side, I only wished more code posted, but that is just me being greedy. Given the amount spent on implementation issues, I would also like to see little bit more on calibration.
6 of 8 people found the following review helpful
strong buy April 24 2008
By Dr. Joerg Wackertapp - Published on Amazon.com
Format: Hardcover
There are a couple of good mathematical finance books and this is for sure one of them. The important thing is that this book doesn't just repeat what you can find in other books, but very often gives you a different view on problems. A lot intuition and explanation of concepts is provided in a clever, unique and new way (even if you've read and thought already a lot about it). That implementation issues are discussed in this book makes it clear that this book is perfect for practitioners and I could make a lot use of it even though I'm not new to the field (I work as a quant for 10y now).
6 of 8 people found the following review helpful
A nice path through Mathematical Finance April 14 2008
By M. Paulsen - Published on Amazon.com
Format: Hardcover
The subtitle of this book is Theory, Modeling and Implementation and this book has plenty of material on all these areas of Mathematical Finance. The author, who has a solid background in mathematics and is a succesful professional in the finance industry, is very generous with the tricks of the trade. To my knowledge, there is no other book who takes the reader (preferably someone with a good working knowledge in university mathematics) on a path from the mathematics of Itô calculus to models of volatility and interest rate derivatives and then to numerics and object oriented programming. For a commited reader this book will be very rewarding, since it has so much to offer. It should be excellent preparation for e.g. an internship in a quantitative team at a bank (especially for derivatives) or could serve as course literature for a university course in applied financial modeling (the examples from industry will motivate the students, believe me). All in all, this is an excellently versatile book with such a richness concerning the material.
1 of 2 people found the following review helpful
sloppy notation Oct. 30 2011
By sak2161 - Published on Amazon.com
Format: Hardcover Verified Purchase
I have been struggling through the first section of the book due to sloppy notation. New variables / terms are pulled out of a hat with no prior definition, or inconsistent definition. This is stuff I know already from Shreve, so it is not the concepts I am having trouble with, just following the author.

Luckily, I did not buy this book for the first few sections. I hope it gets better as we get to the parts on term structure models.


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