Book Description
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.
The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.
The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Customer Reviews:
Best book on interest rate models.......2002-12-14
This is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates.
The best book I have read on the subject.......2002-05-06
With all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever read on the subject.
Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it.
I would just say that this is certainly a must have in the field.
New stuff and nice overview: hard to beat!.......2002-01-17
In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned.
I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.
Sure enough I'm not disappointed.
1-factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.
The chapter on 2-f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees!
The HJM chapter size is OK. I agree - the useful models embedded in HJM are short rate models and market models.
Market models - these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion! Smile modeling begins with a brilliant tour and ends with Brigo-Mercurio's new approach - the mixing dynamics - deserving a whole chapter if expanded.
The detailed explanation on products is a much welcome original addition. Cross currency derivatives!
Quotes - as in Brigo's old work - are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price.
Still there's room for improvements - more "CIR2++"! Something on 3-f models. Historical estimation of the correlation matrix and low-rank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9 - other interest rate models - sounds out of place and can be suppressed for other things.
This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this.
Nicely written overview of interest rate models.......2001-12-15
This recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models"
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market gave them a
practical view on the subject which markes this book very interesting.
The book contains a "rational" catalogue of models used in practice ( as opposed to models which are impossible to implement!).
In contrast with academic books on interest rate modeling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models
(BGM -Jamshidian models) which reflects the current market practice. This is a positive point since there are not many books with details on implementing and using these "market models".
Part II: Interest rate models in practice is particularly useful because it deals with implementation and calibration which, as any practitioner knows, are important and usually delicate issues.
However calibration issues are dealt with somewhat lightly, especially recent developments on modeling cap/swaption smiles
are not included here.
This book can also be used for a graduate level/PhD course on interest rate models.
There are a lot of numerical examples in the book and mathematics is kept to the necessary level while keeping the
approach both rigorous and understandable.
Overall, it is one of the best books written on the subject.
I highly recommend it to PhD students, quants and researchers interested in this field.
Well written and useful book.......2001-11-04
In my humble opinion, this is the best book on Interest Rate modeling out there. The writing style is clear and focused and the appendices are fantastic. The book is rigorous but someone with some background in Stochastic Calculus will find it easy to follow. If you need refresher, dont worry the authors have you covered, see the appendix on Stochastic Calculus. Not an introductory book. Very exciting book.
Customer Reviews:
Good.......2007-09-27
Its a really good book for starters, especially with a weak background in math.. it may be little too exhaustive but overall I think its a good deal!!!
Good in theory, short on examples.......2007-02-20
First all, everyone wishing to learn probability comes from different background, math level, and motivation. There is no book that suits all. Recently I needed to know something about moment generating functions. With all my advanced engineering background though, I find it difficult to get into probability.
So I bought the following supposedly introductory texts: Ross, DeGroot, Stirzaker, Bersekas & Tsitsiklis. To me, Ross seems like a review lesson to cram for finals; it's choke full of examples but fairly spare in exposition. DeGroot is the opposite, long on descriptions but short on examples; by the time it finishes describing the problem, you have forgotten how to solve it. Probability is set up more as a prelude to statistics in the second half of the book. Stirzaker calls his book "elementary" the way Sherlock Holmes dismissed a case after slogging all night through the English bogs. It is more for the well-drilled boys from elite British "public" (private actually) schools. Bersekas comes closest to what I look for in a text, straightforward in prose with a judicious selection of examples to explain theory.
For beginners, the best approach I found, in the end, was to go the local community college and buy the text used for Finite Math. Usually, there are 3 to 4 chapters that introduce probability.
Such a text is aimed an audience from wider academic and language backgrounds, as community colleges are mandated to do. Therefore, probability is taught in simple, plain-spoken language crafted through multiple editions. One such is Finite Math, by Karl J. Smith; however, many others like it will do. For self-study, one might start in the chapter on probability to understand the author's approach, then go back a chapter or two to pick up the permutation and combinatorial math needed to calculate probability. Another alternative is just to enroll in a Finite Math course at a community college. Generally, such a course stops at Markov's chain which is enough to get you jump started in probability.
In any case, a good Finite Math text gives plenty of examples with clear, succinct, and layman-like explanation to help you tackle Ross' book or supplement any other at a higher level. If you plan to apply probability to your work, then shop around for another text after you get the basics. The thicker tomes delve more into theory which is good because real life problems are seldom like the examples given. However you can't go wrong by planting your feet solidly on a good Finite Math text first
A Lucid Introduction to the Underlying Math.......2007-01-11
DeGroot's text is an introduction to the mathematical side of probability and statistics. Of the books on that subject, it is by far the most lucid I have seen. Its intended audience will likely find it useful for self study or for supplemental study in comparable courses that use other textbooks.
This book is not an applied, take-you-by-the-hand tutorial on applied statistical techniques, nor is it a failed take-you-by-the-hand tutorial on applied statistical techniques. It is not a text for the social scientist who wishes to learn statistics at home.
DeGroot's text is what it is, and I recommend it enthusiastically in its intended contexts.
Do Not Use For Self Study.......2006-10-30
This book is not meant for self study. This book is too theoretical, and it does not give enough basic examples. It is too abstract. I do not recommend this book to anyone.
Good Book ? Yes....For Self Study? NOOOOO !!.......2006-03-09
I am doing a self study and do not have any facility to get help of any instructor. I purchased the book after got good reference from some of my friends. The content of the book is pretty good...BUT when it comes to the problems...there are a very very few worked out examples (as usual they are the easiest ones)...Addition to that the publisher decided to earn every bits of pennies. So they created a Student's solution manual. No where in the publisher's site anything mentioned about the manual. But when I purchased , found that the manual has solution for ONLY Odd numbered solution (for them the answers are given in the original book). I was wondering whether they have another solution manual for EVEN numbered problems...!!!
The instructor's manual is out of stock and you cannot download it from the publisher's site (unless you are an Instructor which I am not).
Now I am wondering how I can get help on the even numbered problems....any idea???
Book Description
In the numbers explosion all around us in our modern-day dealings, the buzzword is data, as in, “Do you have any data to support your claim?” “The data supported the original hypothesis that . . .” and “The data bear this out. . . .” But the field of statistics is not just about data. Statistics is the entire process involved in gathering evidence to answer questions about the world, in cases where that evidence happens to be numerical data.
Statistics For Dummies is for everyone who wants to sort through and evaluate the incredible amount of statistical information that comes to them on a daily basis. (You know the stuff: charts, graphs, tables, as well as headlines that talk about the results of the latest poll, survey, experiment, or other scientific study.) This book arms you with the ability to decipher and make important decisions about statistical results, being ever aware of the ways in which people can mislead you with statistics. Get the inside scoop on number-crunching nuances, plus insight into how you can
- Determine the odds
- Calculate a standard score
- Find the margin of error
- Recognize the impact of polls
- Establish criteria for a good survey
- Make informed decisions about experiments
This down-to-earth reference is chock-full of real examples from real sources that are relevant to your everyday life: from the latest medical breakthroughs, crime studies, and population trends to surveys on Internet dating, cell phone use, and the worst cars of the millennium. Statistics For Dummies departs from traditional statistics texts, references, supplement books, and study guides in the following ways:
- Practical and intuitive explanations of statistical concepts, ideas, techniques, formulas, and calculations.
- Clear and concise step-by-step procedures that intuitively explain how to work through statistics problems.
- Upfront and honest answers to your questions like, “What does this really mean?” and “When and how I will ever use this?”
Chances are, Statistics For Dummies will be your No. 1 resource for discovering how numerical data figures into your corner of the universe.
Customer Reviews:
An excellent overview and/or review.......2007-09-21
Statistics for Dummies is an excellent overview of the fundamentals of statistics for those who have forgotten some of what they previously learned, those whose instructors left them dazed and confused, or those who just need a quick reference. Like all of the "for Dummies" books, it's not really intended to be a comprehensive instructional program or a definitive reference book. In my view, the book does exactly what it's intended to do.
Several reviewers have mentioned the lack of examples or exercises. They're right; however, there is a companion volume by the same author, Statistics Workbook for Dummies, that solves that problem. Why didn't they do it all in one book? Probably because it would have totaled over 600 pages.
So, this book won't teach you statistics from scratch, but it is a very good introductory level overview of the subject. Like all of the Dummies books, the format is attractive, the organization is clear, and the information is presented in small, easily digestible blocks. More importantly, the author uses just the right approach. She is both thorough and authoritative, but she doesn't assume much expertise among the readers. At the same time, she's never condescending.
This book is well worth the cost, and I recommend it highly.
Really concise.......2007-07-17
I recommend this book for all of those that, like me, need a way to start or remember basic principles of statistics. All the concepts are very clearly explained and come in blocks that can be read in a non-linear way.
Liked it very much.
"Consumer" should be in Title.......2007-07-15
While the book is useful, it should be made clear that this book is aimed at the consumer who has to interpret statistics that he/she reads about. This will be useful for the general public who are baffled by stuff that that is thrown at them, but I was hoping for something to help me get started with my own research problems. Only about 10% of the book does that.
It makes it simple.......2007-07-03
I struggled with statistics in college and could just not seem to grasp the relationships between the various pieces. This goes a long way toward explaining both what those pieces mean and how they fit together. Would recommend this book to anyone who needs or wants more than a superficial understanding of statistics.
Statistics for Dummies.......2007-05-13
Book was very informative and easy to understand. However it did not discuss many of the concepts needed for my statistics class.
Average customer rating:
- Cool
- Cartoons add little and subtract much
- A dry textbook + cartoons
- Not for the feint of heart
- Ok resource
|
Cartoon Guide to Statistics
Larry Gonick , and
Woollcott Smith
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ASIN: 0062731025 |
Book Description
If you have ever looked for P-values by shopping at P mart, tried to watch the Bernoulli Trails on "People's Court," or think that the standard deviation is a criminal offense in six states, then you need The Cartoon Guide to Statistics to put you on the road to statistical literacy.
The Cartoon Guide to Statistics covers all the central ideas of modern statistics: the summary and display of data, probability in gambling and medicine, random variables, Bernoulli Trails, the Central Limit Theorem, hypothesis testing, confidence interval estimation, and much more--all explained in simple, clear, and yes, funny illustrations. Never again will you order the Poisson Distribution in a French restaurant!
Customer Reviews:
Cool.......2007-08-29
This book is so cool! It makes the topic clear and fun at the same time.
Cartoons add little and subtract much.......2007-08-23
I have a B.S. (from a school you haven't heard of) and an M.S. (from one you have) in mathematics, and I teach math, but probability and statistics was my _worst_ undergraduate math class (I avoided it in grad school). I came across this book, and I bought it on a chance. I'm sorry to say, it was wasted money...
1) The cartoons at best merely illustrate points made in the text; at worst they are irrelevant interruptions. For example, here we have a cartoon of the reader in a straightjacket after the text mentions calculus. And there's a cartoon of a man rolling dice. This sort of stuff does not advance the discussion.
2) The cartoon format reduces the space available for text. The discussion is therefore abbreviated and compressed; points are made once only, without examples, and often after skipping important steps. I think it's _more_ difficult than a standard textbook.
3) There are no exercises! Who ever heard of a math book without exercises? We learn by doing, I always tell my students, not by just reading or listening.
I think this book may be useful to a former student of statistics who wants a review but I can't think of anyone else who would get much out of it.
A dry textbook + cartoons.......2007-06-12
Whenever I try reading this book my eyes just gloss over. It's extremely dry material with cartoons added to every page to make it seem as if it'll be entertaining and easy to learn from but IMO it's neither. On the contrary, it would probably be best as a reference book. Almost every page has a new equation or symbol on it and I rarely felt that they were adequately discussed. "What does it do? When is it useful? What does it mean if the value is high/low?" are questions I constantly asked myself and the book doesn't take the time to answer.
Not for the feint of heart.......2007-05-19
Some people will complain that the book is difficult and/ or uninteresting. To this I say, "Dude, it's statistics! Mr. Gonick makes the best of a difficult subject. This is certainly not less friendly than your stats text book." If you want an easy laugh, get a Get Fuzzy compilation, if you want a different and more intuitive approach to statistics, this is your best bet.
Ok resource.......2007-05-13
My MBA program suggested this book to all incoming first years. In reading it so far, it outlines the concepts well, but doesn't give enough opportunity to practice them and get comfortable with them. I am not getting very much out of it, but I may use it as a resource when I am taking my actual stats class.
Book Description
This revision of QUANTITATIVE METHODS FOR BUSINESS provides students with a conceptual understanding of the role that quantitative methods play in the decision-making process. This text describes the many quantitative methods that have been developed over the years, explains how they work, and shows how the decision-maker can apply and interpret data. Written with the non-mathematician in mind, this text is applications-oriented. Its "Problem-Scenario Approach" motivates and helps students understand and apply mathematical concepts and techniques. In addition, the managerial orientation motivates students by using examples that illustrate situations in which quantitative methods are useful in decision making.
Customer Reviews:
This textbook is TERRIBLE!.......2005-10-01
This book is written in unnecessarily complicated language and does not present information in a way that is easily understood. I teach graduate courses in quantitative methods and I made the mistake of ordering this book for one of my courses without reading it first. It was a disaster!
Unless you are getting a doctorate and need to know lots of complicated formulas without adequate explanations, DO NOT buy this book.
Quantitative MAnagement.......2005-07-10
IT's really oky book. But it took a little more time to get it ghrough me. There are few scratches on the book when i recd. it. The parcel is oky.
Thanks anyway,
Quant Methods Book.......2005-03-06
I have used this textbook for an upper level math class and although the book was hard to follow, I really feel that it did present the information in a well laid out format. Some of the words were hard to grasp, but as for the problems in the back, I found them very useful. I hope anyone out there will in fact give this book a chance.
ABSOLUTELY THE WORST TEXTBOOK FROM A STUDENT'S PERSPECTIVE.......2003-03-12
I am currently taking a Quant Meth class which is using this as the textbook. By far, this is the worst textbook I have ever encountered as a student. It is hard to understand and the answers that are given in the back do not explain how to get to the final solution. Because the problems are not paired (that is 1 is not like 2, 3 is not like 4, etc.) and the only answers are to the EVEN problems, you are basically lost. There is a website for the 9th edition that is "under construction" currently, so there is no help there. This is not a book conducive to learning. Teachers and colleges - PLEASE think twice before you choose this for your curriculum. Both you and your students will be miserable!
Quantitative Methods 8th Edition.......2002-02-01
I am a professor using this book to teach a graduate level Quantitative Methods math class. This book is hard to understand for the students. Exercises included at the end of the chapters are hard to figure for the student based on what is presented in the text alone.
For the instructor, no teacher support is available except a solutions manual. All other texts I have used provides sample lecture material, additional cases, etc. This text provides no such support with a useless web site.
Book Description
In recent years, there has been growing interest in the development and application of quantitative statistical methods to study choices made by individuals. This primer provides an introduction to the main techniques of choice analysis and also includes details on data collection and preparation, model estimation and interpretation and the design of choice experiments. A companion website offers practice data sets and software to apply modeling and data skills presented in the book.
Customer Reviews:
Everything you need to learn to carry out a choice model.......2005-10-17
This book is massive, and hence the term "primer" may be a little misleading. But if you really want to understand how to model choice data for a range of models, the book is outstanding. Other books focus more on the econometrics of the models, which are pivotal to know. But this book builds upon that by walking you through a series of increasingly-complex models, allowing you to understand why you need to perform particular modeling tasks.
The book focuses on NLogit software, but once you understand how to actually estimate choice models utilizing software, the skills can be easily carried into other software programs. However, without such experience, the other books available may fall short in enabling you to estimate choice models. Indeed, this was the case for me -- I understood the econometrics of the models, but had difficulty estimating complex models using software, simply beacuse I was uncomfortable with the syntax.
Hensher et al. removes this obstacle by giving the reader thorough training in both understanding what a given set of choice data may represent (e.g., observations from a particular choice experiment), and how to physically estimate models. The increase in confidence I received from working through the exercises in the book is why I rate the book so highly. Not only are the econometric concepts explained, but the nuts and bolts of model estimation are revealed, and that made all the difference.
An ambiguous oriented book.......2005-10-05
The whole book serves as a software (NLogit) manual. If you already know about the discrete choice analysis, you might be able to find out the messages that the authors try to convey. And it contains barely new information, so it doesn't help you anyway. But if you are new to this area, this is not the good book for you to start.
The book is extremely verbose and the ideas are hidden behind lines and ill-presented. It turned out that it's very difficult to comprehend the essence or even sense of the choice methods from this book. The best one can get is becoming a software user of the authors' own program.
Besides, the software, Nlogit, is not user-friendly and can't serve as a mainsteam tool.
Book Description
A veteran GE manager explains the tools of Six Sigma--in plain English
This is the first simple, low-level guide to using the powerful statistical tools of Six Sigma to solve real-world problems. Warren Brussee, a Six Sigma manager who helped his teams generate millions of dollars in savings, shows how to plot, interpret, and validate data for a Six Sigma project. The basic statistical tools in the book can be applied to manufacturing, sales, marketing, process, equipment design, and more. Best of all, no background in statistics is required to start improving quality and initiating cost-saving improvements right away.
- Features dozens of Six Sigma statistical problem-solving case studies
- Presents a simplified form of the most common Six Sigma tools
- Simplifies Greenbelt training with one concise reference
- Explains how to use Excel to make Six Sigma problem-solving calculations
- Includes all the basic Six Sigma formulas and tables
Download Description
A veteran GE manager explains the tools of Six Sigma--in plain English This is the first simple, low-level guide to using the powerful statistical tools of Six Sigma to solve real-world problems. Warren Brussee, a Six Sigma manager who helped his teams generate millions of dollars in savings, shows how to plot, interpret, and validate data for a Six Sigma project. The basic statistical tools in the book can be applied to manufacturing, sales, marketing, process, equipment design, and more. Best of all, no background in statistics is required to start improving quality and initiating cost-saving improvements right away.Features dozens of Six Sigma statistical problem-solving case studies Presents a simplified form of the most common Six Sigma tools Simplifies Greenbelt training with one concise reference Explains how to use Excel to make Six Sigma problem-solving calculations Includes all the basic Six Sigma formulas and tables
Customer Reviews:
Facil de leer y de entender, un texto magnifico.......2007-09-17
Es un libro de altisima calidad, escrito en un lenguaje simple y fácil de entender. Altamente recomendable para todo aquel que quiera introducirse en los conceptos de SixSigma
Recommended for Managers of all levels.......2007-07-09
I like the level of detalization in this book and simple language explaining the concept, application of statistics, and Sigma methods. The value of this book from my practical point of view is the Case Studies which help to better understand when and how statistics for Six Sigma can be used.
Highly recommended!!.......2006-08-07
Brussee's Statistics for Six Sigma Made Easy is a wonderful "how to" text for six sigma stat tools that is very readable, and usable, by anyone with at least a high school level background in mathematics. He has done a great job of simplifying much of what a Green Belt would use from the Six Sigma toolkit, and he presents the material in a format highly conducive to application. The result is a valuable statistics manual for the Six Sigma implementer.
Wow.......2006-07-11
Nice customer seervice and quick shipping. This is Six Sigma style. AAAA+.
A Truly Unique and Friendly Six Sigma Book.......2006-02-27
I am a Black Belt and program manager at a Fortune 100 company. I use and teach Six Sigma regularly, and I strongly believe in the power of this methodology. However, Six Sigma can be complex, bureaucratic, and confusing. This sometimes makes it difficult to get buy-in from others.
I constantly search for books that make Six Sigma easier to use and understand. I have used Brussee's Statistics for Six Sigma Made Easy for over a year and have found no other book as successful in making Six Sigma truly useable for those who don't plan to make Six Sigma their life's major undertaking. Not everyone wants to be a Six Sigma Black Belt!
The author has simplified many of the Six Sigma tools, with no reduction in their usefulness. In fact, the simplification on the QFDs and the FMEAs make them MORE useful, because they aren't so tedious and boring. And the Simplified Gauge Verification, which incorporates aim into the formula, makes the output far more meaningful.
Testing for statistical significance, which in most Six Sigma books is either skipped completely or treated with the same complexity as in a high-level statistics book, is incorporated as a straight-forward test, with no unnecessary jargon. And all calculations can be done with Excel. Although I feel comfortable using Six Sigma specific software, I find that most people who are not doing Six Sigma calculations on a daily basis are much more comfortable using Excel.
The included Six Sigma case studies seem to indicate that the author has truly lived through Six Sigma projects, not just observed them as a consultant. As someone who has to live with the results of their work for many years, I appreciate this difference.
I think that Brussee's approach to Six Sigma will become the standard as this valuable methodology continues to be incorporated into more industrial and non-industrial processes. I highly recommend this book.
Dedicated Black Belt
Customer Reviews:
Good for the real world too.......2007-03-02
This book was meant for use within a university classroom setting.
Surprisingly, unlike most textbooks, you can actually use this book in the real world. For example, a lot of business plan books and articles casually mention business forecasting. Unfortunately, the large majority of them barely mention any details on how to construct them. Well this book covers it in depth. As for other applications with the use of MS Excel, the book will show you the optimal amount of money you should put down into a select number of investments, how to perform project scheduling (with out MS Project), and the list goes on....
This is a good book.
Book Description
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. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.
Customer Reviews:
Good Buy.......2007-08-29
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.
Okay but not an introduction.......2006-07-31
If you want an introduction, read another book like Hull. If you want to learn how to apply Partial Differential Equations (PDEs) approach to finance then it is a useful book. However, it is better to read an elementary PDEs book before reading this book. At least, learn how to solve parabolic PDEs analytically because the technical notes in the book would not help much.
Introduction to partial differential equations in finance.......2005-10-13
This book treats only the partial differential equations
in Finance and how to treat them using Finite Differences
and Tree. For this purpose it is very well written and
understandable. A very good beginning for student. Even
undergraduate.
Now after reading it you should understand the martingales reading the baxter and how to implement Monte Carlo using, for example Glasserman (see my reviews)
A good introduction to the PDE approach.......2005-10-10
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!
waste of time.......2005-03-10
This book is very bad, lacks almost everything you can think of, but if you don't know any better you probably won't care. It certainly needs to be supplemented by a respectable book if you want to learn derivatives (c.f. Hull's textbook, for example), and on the other hand, the math isn't rigorous at all, so you'll need a book on stochastic calculus (e.g. Michael Steele's, actually there are tons of better books out there, it's not hard to find better).
Book Description
In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.
Customer Reviews:
read this before going for it.......2007-04-23
Well first off I would like to tell anyone who doesn't have a solid working knowledge of calculus (including multivariate) to avoid this book as it requires multiple integrals and infinite series and sequences. Now onto the good and the bad:
THE GOOD:
This text explains concepts very well and is FULL of examples. I mean literally 3/4 of the book, maybe more, is examples. Every chapter also has a section of problems that have partial solutions, which can come in very handy. This is pretty much all that is good about this text, but keep in mind that explaination is the most important part of any textbook.
THE BAD:
The proofs skip plenty of steps. And I mean plenty, so much that a proof in the book would take 5 lines but when my professor proved it in class it would take him nearly 15. Also while there are tonnes of examples, too many are theoretical and very hard. The book costs a hefty amount of change and is suprisingly small, Author couldl have given few more examples to make it interesting. However the worst thing about this book is how the author leaves important things in with the text often. However most these things are small, and overall the text is a good intro to probability theory.
a very good book.......2006-10-31
The authors wanted to write the book that they themselves would have liked to read before starting a profession in risk management. I am working for a treasury consultancy firm. This book was the best of the five I bought. The text is very clear yet does not assume too much prior knowledge. It covers theory as well as industry practice. The book contains much advanced statistics and readers must have some background in order to handle this. The authors keep it simple but not too simple. Their approach is pragmatic throughout. I am really happy to have read this book when I started doing work in credit risk management.
good combination of math and finance.......2006-02-22
As indicated on the back of the book, the authors are aiming at audience who have some knowledge in both math and finance but may be weak in one and strong in another. Either way, this is a good book to read on credit risk.
Clear and comprehensive.......2005-10-27
This book clearly articulates basic concepts of credit risk modeling. At the same time it is mathematically rigorous. This book enables non mathematician with some (basic) knowledge in probability statistic to better understand and develop his risk management skills.
A good read!.......2004-08-19
Easy to understand with not a tremendous amount of complicated math to dicipher. Just what the doctor ordered.
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