Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

Book Description

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.

Customer Reviews:

Mathematics for Finance: A useful tool for the unskillled investor.......2007-03-19

I enjoyed reading the book and solving exercises in it. I have a Ph.D.in chemistry and my wife and I did our his and her's MBA in the 1990s. I wanted to learn more concepts in finance and needed an easy entry, something I could enjoy, and without spending much money. The book by Capinski came recommended from a friend who teaches Economics at Cal State. I can speak for myself: I feel reasonably informed and I feel the book gave me concepts I can use to handle my own portfolio.

In the future, this text should be offered with an interactive CD that contains Xls, matrix, calculus, and graphing capabilities so one (I) can visualize the outcomes of proposed solutions.

Incoherent.......2007-01-18

Anyone can scribble a bunch of equations on paper and call it a book. Without sufficient context, they are useless.

Insufficient and disappointing. Not even a good introductury text........2006-05-15

As a graduate student in Financial Engineering I have found this book useless.
The title of the book is "Mathematics for Finance", but can you find in it even an elementary introduction to the stochastic processes? No. Ditto for the Ito's lemma and many other topics. The derivation of the Black Scholes formula is just sketched, and the insight that you can get from it is very limited.

Nevertheless, I wouldn't mind these limitations if this book provided a clear introduction to more advanced topics: unfortunately this book is not good even in that. In comparison to other textbooks the theorems and definitions are convoluted and do not go straight to the point. For example, in Shreve's "Stochastic Calculus for Finance" or Baxter & Rennie "Financial Calculus" the Fundamental Theorem of Asset Pricing is stated in this way: "In a market with risk neutral probability there is no arbitrage". Can you find such a simple and explanatory definition in Capinski's book? Not at all. The theorem at page 83 (you can see it yourself by searching inside the book) basically says the same thing using 8 lines of text and little financial intuition.
The only good thing that I can say about this book is that all exercises are resolved.
Overall, "Mathematics for Finance" has been a big disappointment: it doesn't have either the mathematical depth of Shreve's books or the conciseness in explaining financial concepts of Baxter & Rennie.
Whatever is the level of education that you are pursuing, graduate or undergraduate, I don't see any point in using it.

Great Book for Undergrad Quants.......2005-08-29

Mathematics for Finance (An Introduction to Financial Engineering) is a book intended for undergrad students "IN MATHEMATICS" or other discipline with a relative high mathematical content.

The book assumes some basic notion of Calculus and Probability Theory and it is focused more on the mathematics than in its theory and application of Finance. If you are looking to dwell into the mathematics (Proof of Equations) this is a great book, but if you are looking for a book that is rich in theory and in application then you should consider "Option, Future and Other Derivatives" or "Quantitative Methods for Finance" as an alternative. Both books are "a most" for any finance student and are of great help. Now if you want an introduction into the mathematics behind Finance then this book is a perfect purchase.

Important to state that all the problems presented in this book are solved meaning that it is great for self teaching. Marek Capinsi and Thomas Zastawniak have done a great job on this book.

I gave it four stars, because it has room for impovement.

Joining the chorus.......2005-08-03

I can only echo the other reviewers. As far as I can tell this book has no serious competition. This is an excellent introduction to mathematical finance for those with a solid undergraduate level understanding of higher math but without graduate level exposure. I agree that it is ideal for self study as that is exactly what I am using it for. The price is right especially in contrast with its overpriced brethren. Five stars!

Introduction to the Mathematics of Financial Derivatives

Average customer rating:

Good Companion Book
Good book
Very thoughtful and clear explanation of financial math
sophisticated maths
Remarkable Introduction to Serious Math, Serious Finance, and Real-World Applications

Introduction to the Mathematics of Financial Derivatives
Salih N. Neftci
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Options, Futures and Other Derivatives (6th Edition)
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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

ASIN: 0125153929

Book Description

This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals.

Customer Reviews:

Good Companion Book.......2007-08-29

good companion book for the other book "Principles of Financial Engineering" by the same author
Clear and easy to understand treatment. The author does not assume a high level of math knowledge of the reader.

Good book.......2007-05-09

As title states this is a good Introduction to the mathematics of derivatives.
If you're looking for some book with C/C++/C#/Java code samples this isn't the book. Indeed a good mathematical introduction; its pre-requirements are a good mathematical and statistical ones.

Very thoughtful and clear explanation of financial math.......2007-02-05

I turn to this book after I get frustrated with Tomas Bojork's book "Arbitrage Theory in Continuous Time." As I am not from a strict math background, this Neftci's book makes much more sense to me. What I particularly like about this book is explanation in plain English of why the mathematical formulae are so, and how they are connected to the bigger picture. Also Neftci has a good grasp of how many real-life examples included in this book so that it doesn't lose its focus on the real math in finance.

sophisticated maths.......2006-06-16

Neftci takes us on a mathematically sophisticated tour of financial derivatives. The treatment is on a level akin to a senior-level undergrad text on physics or engineering. Indeed, to a reader who might come from that background, there will be a lot of similarities and familiar ideas.

For example, partial differential equations arise naturally in the pricing of derivative assets. But unlike many places in physics, here it is not sufficient to assume smoothly varying variables. The inherently discrete nature of most financial variables means that derivatives have to be approximated numerically.

Neftci also describes the various types of options, like basket, knock-out, multi-asset and so on. Each has a slightly different modelling. Another key idea involves the time aspect of pricing. So Wiener processes naturally arise, and the text shows how to handle these.

Much more is covered in the book. Perhaps just as importantly, it gives you enough maths preparation that you should be able to analyse other new types of financial instruments. Maybe even ones that you create yourself.

Remarkable Introduction to Serious Math, Serious Finance, and Real-World Applications.......2006-06-14

Neftci's book is easily grouped into a large number of texts that provide graduate level (considerable more rigorous than the MBA version) introductions to mathematical finance. Some are written for MBA with want to be exposed to as little math as possible without short changing the financial and valuation aspects and with considerable attention to a broad range of financial products and applications (Hull's classic comes to mind). Others are extremely implementation driven and are more a hybrid of finance and computer programming (Duffy, London, Wilmont). Still others are math books that speak above the heads of almost all practitioners and cover the finance topics poorly (or not at all).

Netfci's book is a rare gem in this field. Excellent coverage of financial topics and fundamentals (Arbitrage Theorem, Forwards Futures, Equity Derivatives, Interest Rate Derivatives), serious graduate level review of financial math and mathematical techniques (Probability, Numeric Processes, Binomial Methods, Stochastic Calculus, Finite Difference, Martingales, Monte Carlo methods), and applications (Bond Pricing, Term Structure Modeling, Exotic Options, Rare Event Modeling).

Best of all, it start assuming very little, builds aggressively, and progresses logically.

The biggest drawbacks are a lack of coverage for credit modeling and credit derivatives, Merton-model and contingent claim models for distressed equity, and more common financial engineering applications (hedging, rebalancing).

It is also remarkable well-written.

The Mathematics of Financial Derivatives: A Student Introduction

Average customer rating:

Good Buy
Okay but not an introduction
Introduction to partial differential equations in finance
A good introduction to the PDE approach
waste of time

The Mathematics of Financial Derivatives: A Student Introduction
Paul Wilmott , Sam Howison , and Jeff Dewynne
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

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Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)

ASIN: 0521497892

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).

An Introduction to Credit Risk Modeling (Chapman & Hall/Crc Financial Mathematics Series)

Average customer rating:

read this before going for it
a very good book
good combination of math and finance
Clear and comprehensive
A good read!

An Introduction to Credit Risk Modeling (Chapman & Hall/Crc Financial Mathematics Series)
Christian Bluhm , Ludger Overbeck , and Christoph Wagner
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Hardcover

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The Standard & Poor's Guide to Measuring and Managing Credit Risk
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Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments

ASIN: 158488326X

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.

Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005 (Financial Market Technology)

Average customer rating:

great book for wall street developers
Excellent resource to build Automatic Trading Systems
Excellent CONCISE Treatment of C++.Net
Unreadable....
Excellent book for beginners to intermediate develepers

Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005 (Financial Market Technology)
Benjamin Van Vliet
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

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Financial Trading Systems Design and Development with C++ (+CD) (Wiley Finance)

ASIN: 0750682515

Book Description

Over the next few years, the proprietary trading and hedge fund industries will migrate largely to automated trade selection and execution systems. Indeed, this is already happening. While several finance books provide C++ code for pricing derivatives and performing numerical calculations, none approaches the topic from a system design perspective. This book will be divided into two sectionsprogramming techniques and automated trading system ( ATS ) technologyand teach financial system design and development from the absolute ground up using Microsoft Visual C++.NET 2005. MS Visual C++.NET 2005 has been chosen as the implementation language primarily because most trading firms and large banks have developed and continue to develop their proprietary algorithms in ISO C++ and Visual C++.NET provides the greatest flexibility for incorporating these legacy algorithms into working systems. Furthermore, the .NET Framework and development environment provide the best libraries and tools for rapid development of trading systems.
The first section of the book explains Visual C++.NET 2005 in detail and focuses on the required programming knowledge for automated trading system development, including object oriented design, delegates and events, enumerations, random number generation, timing and timer objects, and data management with STL.NET and .NET collections. Furthermore, since most legacy code and modeling code in the financial markets is done in ISO C++, this book looks in depth at several advanced topics relating to managed/unmanaged/COM memory management and interoperability. Further, this book provides dozens of examples illustrating the use of database connectivity with ADO.NET and an extensive treatment of SQL and FIX and XML/FIXML. Advanced programming topics such as threading, sockets, as well as using C++.NET to connect to Excel are also discussed at length and supported by examples.
The second section of the book explains technological concerns and design concepts for automated trading systems. Specifically, chapters are devoted to handling real-time data feeds, managing orders in the exchange order book, position selection, and risk management. A .dll is included in the book that will emulate connection to a widely used industry API ( Trading Technologies, Inc.s XTAPI ) and provide ways to test position and order management algorithms. Design patterns are presented for market taking systems based upon technical analysis as well as for market making systems using intermarket spreads.
As all of the chapters revolve around computer programming for financial engineering and trading system development, this book will educate traders, financial engineers, quantitative analysts, students of quantitative finance and even experienced programmers on technological issues that revolve around development of financial applications in a Microsoft environment and the construction and implementation of real-time trading systems and tools.

* Teaches financial system design and development from the ground up using Microsoft Visual C++.NET 2005.
* Provides dozens of examples illustrating the programming approaches in the book
* Chapters are supported by screenshots, equations, sample Excel spreadsheets, programming code and interactive CDROM

Customer Reviews:

great book for wall street developers.......2007-06-29

Unlike some other comments about this book, the intended readers are serious developers who have not started or just begining to use .Net 2005 framework. That is why some readers do not like this book.

A pure programmer do not need to read this book.
A pure quant strategist do not need this book.
A network specialist do not need this book.

It is only good for the intended readers.

Excellent resource to build Automatic Trading Systems.......2007-04-22

I read some of the other reviews and was moved to write my own evaluation as those reviews were mistreating this book.

This book is NOT fiction nor is it a comprehensive reference on C++.Net. so for someone trying to read this book from cover to cover will not feel like adding much value. Also the title says it clearly that the book includes an introduction to VC++.Net (just want to stress that the book is not meant to teach you the language in and out)

The value in this book is to understand the typical challenges that financial trading systems offer and some really insightful examples on how to solve them. This book deals with everyday problems that any programmer will face when building his/her own trading system (Automated/semi-automated). There is a lot of good advice on Building Automatic Trading Systems all compiled into one resource.

Like I mentioned before the book is not a comprehensive reference on C++.Net(Use MSDN for that) and neither is it verbose, but simply a bridge between building trading systems and programming. The introduction to VC++.Net is a quick read even if you have no or basic programming skills and only serves as an introduction to the language with a quick reference of the concepts.

I love this book and appreciate some of the issues that it addresses. It also better prepared me for the job that I got after taking Professor Van Vliet's class and using this book for the same.

I recommend this book for all those developers (or beginners) who are dealing with financial markets and have the need to build ATS.

Excellent CONCISE Treatment of C++.Net.......2007-04-13

I feel I am qualified to review this book as I have been a student of Professor Van Vliet's at IIT-Chicago. I have taken his courses in ANSI C++,VB.Net,and developing automated trading systems using C++.Net. I took the course in C++.Net/Automated Trading Systems using the notes that were the basis for this book.

A few of the previous reviews were way off the mark in my opinion. One of Professor Van Vliet's strengths and approach to programming is to develop concepts through simple examples. In this book, as in all his classes, he gives small but complete programs to learn concepts. Most books, e.g. Deitel, introduce concepts with 2-3 page programs where you get lost in what you are trying to learn. Van Vliet emphasizes that programming is learned by doing, not just by reading. If you just plan to read the book and not actually implement the programs then maybe it's value is limited. But this is not how most people REALLY learn programming. You have to get your hands dirty.

Previous reviews are way off the mark in terms of substance as well. You just have to go to MSDN's documentation on C++.Net to see that Van Vliet includes a lot of helpful information that is hard to find in other books and on the NET. For example, for those who care to pay attention, he does an excellent treatment on how to get to methods in objects stored in hashtables and sorted lists. Almost all other discussions of hashtables use very primitive hashtables where you only store a key and a simple value (like an integer or string) . Van Vliet actually shows ways, for example, to create a Stock Class with all the attributes of a stock and then store the stock objects in a hashtable that would represent a portfolio. (this is not the example in the book but he clearly shows you how to do this). Then he shows you how to get at the methods using a dynamic cast or static cast (with the advent of generics in VS 2005 there are now even better ways in some instances).

To give further evidence of his building block approach and the substance in the book, Van Vliet towards the end of the book develops a single-threaded algorithmic trading system and then uses a producer-consumer semaphore model to show you how to create a multi-threaded algorithmic trading system. Where else can you find this in the literature? He even created his own API, Trader API, that is very similar to that of Trading Technologies's XTAPI, so programmers can learn how to connect and use an API.

Finally, through my study with Van Vliet I have been able to write multi-threaded trading programs using XTAPI, write a stat arb program for equity trading that searches a large database of equities, write technical trading systems, and write factor model programs for equity trading. In large part because of what I learned from Professor Van Vliet at IIT I have been able to be employed by a local hedge fund. Whenever I program his books are with me for reference purposes.

J.S. Haworth
April 2007

Unreadable...........2007-04-02

Strong regret that I spent 80$ on this book. The backcover said this book was suitable for people who wanted to learn c++.net with a focus on trading systems, however the intro to the language itself is very very light.

It starts directly with pages of code (that you can find on the cd...) explaining how to manage threads, processes, time etc etc.

I had the feeling that this book has no real beginning nor real ending and that chapters can be all mixed up, it won't change anything.
On the other side, I am maybe too beginner for it. Maybe this suitable for people who want to transfer their system from one language to c++.net.

Excellent book for beginners to intermediate develepers.......2007-03-23

I thought this was an excellent book for beginner and intermediate developers. It takes you through the building blocks necessary to create a fully functioning automated trading system. Especially useful for programmers in other languages that are looking to transfer their code to C++.net. I've have 7 years of experience in financial programming and many of the problems addressed in this book, I deal with on a daily basis.

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)

Average customer rating:

Great book for quants
Like it, just what I need
Misssing the new stuff, still good on the old methods

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)
Paolo Brandimarte
Manufacturer: Wiley-Interscience
ProductGroup: Book
Binding: Hardcover

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Simulation Techniques in Financial Risk Management (Statistics in Practice)

ASIN: 0471745030

Book Description

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance

The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB®-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB®—the powerful numerical computing environment—for financial applications.

The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions.

Among this book's most outstanding features is the integration of MATLAB®, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms.

Newly featured in the Second Edition:

In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies
New appendix on AMPL© in order to better illustrate the optimization models in Chapters 11 and 12
New chapter on binomial and trinomial lattices
Additional treatment of partial differential equations with two space dimensions
Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance
New coverage of advanced optimization methods and applications later in the text

Numerical Methods in Finance and Economics: A MATLAB®-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL©, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

Customer Reviews:

Great book for quants.......2007-09-30

This is a great book if you want to be a quant or are interested in using mathematical methods for finance purposes. There are not many good books in this field and this one is definitely one of the few good ones out there.

However, this book is not for people with little background in math.

Like it, just what I need.......2007-05-23

It has up to date information about finance and math background needed. I pretty much like it.

Misssing the new stuff, still good on the old methods.......2007-04-19

The book earns 4 stars for how it combines what has been out there for some time with Matlab functionality. What one would have appreciated though is something about all the new stuff that has evolved in the last few years (e.g. credit risk, etc.)

Complex Adaptive Systems: An Introduction to Computational Models of Social Life (Princeton Studies in Complexity)

Average customer rating:

Annie Wu -- Book #1
The Emergence of Convergence

Complex Adaptive Systems: An Introduction to Computational Models of Social Life (Princeton Studies in Complexity)
John H. Miller , and Scott E. Page
Manufacturer: Princeton University Press
ProductGroup: Book
Binding: Paperback

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Generative Social Science: Studies in Agent-Based Computational Modeling (Princeton Studies in Complexity)
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Evolutionary Dynamics: Exploring the Equations of Life

ASIN: 0691127026

Book Description

This book provides the first clear, comprehensive, and accessible account of complex adaptive social systems, by two of the field's leading authorities. Such systems--whether political parties, stock markets, or ant colonies--present some of the most intriguing theoretical and practical challenges confronting the social sciences. Engagingly written, and balancing technical detail with intuitive explanations, Complex Adaptive Systems focuses on the key tools and ideas that have emerged in the field since the mid-1990s, as well as the techniques needed to investigate such systems. It provides a detailed introduction to concepts such as emergence, self-organized criticality, automata, networks, diversity, adaptation, and feedback. It also demonstrates how complex adaptive systems can be explored using methods ranging from mathematics to computational models of adaptive agents.

John Miller and Scott Page show how to combine ideas from economics, political science, biology, physics, and computer science to illuminate topics in organization, adaptation, decentralization, and robustness. They also demonstrate how the usual extremes used in modeling can be fruitfully transcended.

Customer Reviews:

Annie Wu -- Book #1.......2007-08-10

I am a purchasing agent who buys books for my faculty, and as far as I know, this faculty member is very impressed with this particular book.

The Emergence of Convergence .......2007-08-04

At the time of writing this review, this book isn't searchable through Amazon, that's too bad because if you're reading the reviews wondering if it's worth buying, just browsing through any page from the intro or appendix B would clearly resolve any remnant hesitation. This book is a must have for anyone even remotely interested in complex adaptive systems. Scott Page and John Miller dress the landscape and state of the art of computational social science, the issues are motivated from the ground up and the existing approaches to resolve them explicitly detailed, yet using clear and jargon free language. For example, descriptions of the many concepts repeatedly used in the scientific method (of CAS et al) such as ergodicity or optimization theory are refreshing and insightful, simply stuff you don't get from textbooks, but rather that one would learn over years of experience doing.

In summary, the authors are handing us an expert summary of literature and developments of a complex field in a concise, fun and delightful read, it would be a shame to miss it.

An Introduction to Mathematical Statistics and Its Applications (3rd Edition)

Average customer rating:

dry and difficult
Confused and confusing
Infuriating
Excellent intro to the mathematics of traditional statistics
Master your calculus

An Introduction to Mathematical Statistics and Its Applications (3rd Edition)
Richard J. Larsen , and Morris L. Marx
Manufacturer: Prentice Hall
ProductGroup: Book
Binding: Hardcover

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ASIN: 0139223037

Book Description

Using high-quality, real-world case studies and examples, this introduction to mathematical statistics shows how to use statistical methods and when to use them. This book can be used as a brief introduction to design of experiments. This successful, calculus-based book of probability and statistics, was one of the first to make real-world applications an integral part of motivating discussion. The number of problem sets has increased in all sections. Some sections include almost 50% new problems, while the most popular case studies remain. For anyone needing to develop proficiency with Mathematical Statistics.

Customer Reviews:

dry and difficult.......2007-07-07

In case you're unclear on the matter, "mathematical statistics" is code talk for "statistics with calculus." So don't think this is book is a high-school or even undergraduate-level "introduction" for statistics. For that I would recommend the friendlier but still meaty Stats: Modeling the World (2nd Edition) (DeVeaux/Velleman/Bock).

At my university, this book is usually used in the first math class required of those in graduate school majoriing in the statistical social sciences.

So make sure you're ready. The authors assume you are quite solid at the calculus.

Confused and confusing.......2007-04-12

I used this as the text in a sequence on probability and statistics I taught recently, and I soon came to regret this choice. The authors are obviously quite confused about basic concepts. Here are some examples: the "definition" of the median ignores obvious problems with existence and uniqueness; the "proof" of the central limit theorem is thoroughly incomplete; the "theorems" on the tests in Sect. 9.2, 9.3 summarize previous discussions, but the "proofs" of these theorems (we are even referred to an appendix - no small surprise when the statements seem obvious) establish something entirely different; finally, to conclude this (very incomplete) selection, there is the delightful claim that the golden ratio is a transcendental number (which just proves that the authors don't have the slightest idea what a transcendental number really is, but then it might have been wise to avoid the use of the term).

In addition to these blatant problems, the authors' treatment frequently misses the point and/or is confusing.

Infuriating.......2006-11-08

The text presents all relevant information, but does so in such a confusing and poorly explained fashion as to prompt the reader to wonder if the authors have ever met anyone who hasn't known all subtleties of probability since the womb. There is no avenue for the student who does not understand, no pedagogy whatsoever. Everything is presented at lightning pace with blisteringly difficult proofs and, often, no meaningful explanation of the physical meaning of the concepts explained. A very solid background in calculus is an absolute necessity, to the point where many problems in the text are more challenging in evaluating integrals than they are in actually applying concepts. This is a serious problem that recurs over and over.

Examples worked out in the chapter sections also almost never bear any resemblance to the problems students are expected to complete. Although the examples vary in terms of difficulty, a student stuck on an exercise almost definitely will not find any help in the teaching material of the section in completing it simply because the examples never entirely cover the concepts demanded in the exercises.

s

Excellent intro to the mathematics of traditional statistics.......2005-03-19

The first half of the book begins with basic discrete and continuous probability theory. It continues with thorough overviews of the basic distributions (normal, Poisson, binomial, multinomial, chi-squared and student-T). The focus is on basic probability and variance analysis, though it briefly covers higher-order moments.

The second half of this book is devoted to hypothesis testing and regression. There is an excellent explanation of the mathematical presuppositions of the various classical experimental methodologies ranging from chi-square to t-tests to generalized likelihood ratio testing. It contains a very nicely organized chapter on general regression analysis, concentrating on the common least squares case under the usual transforms (e.g. exponential, logistic, etc.).

Like many books in mathematics, this introduction starts from first principles in the topic it's introducing, but assumes some "mathematical sophistication". In this case, it assumes you're comfortable with basic definition-example-theorem style and that you understand the basics of multivariate differential equations. I was a math and computer science undergrad who did much better in abstract algebra and set theory than analysis and diff eqs, but I found this book extremely readable. I couldn't have derived the proofs, but I could follow them because they were written as clearly as anything I've ever read in mathematics. I found the explanation of the central limit theorem and the numerous normal approximation theorems for sampling to be exceptionally clear.

The examples were both illuminating and entertaining. One of the beauties of statistics is that the examples are almost always interesting real-world problems, in this case ranging from biological (e.g. significance testing for cancer clusters) to man-made (e.g. Poisson models of football scoring) to physical (e.g. loaded dice). The examples tied directly to the techniques being explored. The exercises were more exercise-like in this book than in some math books where they're a dumping ground for material that wouldn't fit into the body of the text. This book has clearly been tuned over many years of classroom use with real students.

I read this book because I found I couldn't understand the applied statistics I was reading in machine learning and Bayesian data analysis research papers in my field (computational linguistics). In paticular, I wanted the background to be able to tackle books such as Hastie et al.'s "Elements of Statistical Learning" or Gelman et al.'s "Bayesian Data Analysis", both of which pretty much assume a good grounding in the topics covered in this book by Larsen and make excellent follow-on reading.

Master your calculus.......2005-02-07

I took up this book for my course in economics and i found the book clear and examples quite relevant. However, our calculus background was rather weak and we were left to study integrals by oursleves. Because of this, most of us floundered in the text and could not fully appreciate some of the more essential steps of the proofs. The solutions to many examples requires a solid background in calculus to fully appreciate and, at times, even understand since certain steps are ommited. So much so that our eco teacher, with a degree in engineering mind you, admitted the book was a bit too terse and spent most of the time explaining the calculus that we learnt very little of actual statistics.
In short, master your calculus or this book will only give you a rough feel for elementary statistics but will definitely not arm you to take up higher stat courses.

Numerical Methods in Finance: A MATLAB-Based Introduction

Average customer rating:

Too much introductive

Numerical Methods in Finance: A MATLAB-Based Introduction
Paolo Brandimarte
Manufacturer: Wiley-Interscience
ProductGroup: Book
Binding: Hardcover

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ASIN: 0471396869

Book Description

Balanced coverage of the methodology and theory of numerical methods in finance

Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications.

Paolo Brandimarte covers the basics of finance and numerical analysis and provides background material that suits the needs of students from both financial engineering and economics perspectives. Classical numerical analysis methods; optimization, including less familiar topics such as stochastic and integer programming; simulation, including low discrepancy sequences; and partial differential equations are covered in detail. Extensive illustrative examples of the application of all of these methodologies are also provided.

The text is primarily focused on MATLAB-based application, but also includes descriptions of other readily available toolboxes that are relevant to finance. Helpful appendices on the basics of MATLAB and probability theory round out this balanced coverage. Accessible for students-yet still a useful reference for practitioners-Numerical Methods in Finance offers an expert introduction to powerful tools in finance.

Download Description

This book integrates the topics of numerical methods, financial problem solving, and MATLAB programming into one balanced treatment. Its tutorial approach features MATLAB examples as a means of illustrating the concepts in practical, every day financial problems.

Customer Reviews:

Too much introductive.......2003-04-08

Since there is few books on financial application of Matlab, I would say that Mr. Brandimarte has done a good pretty good job. I liked especially the fact that the book covers many topics (bond pricing, derivatives, optimization), however, even if the title says "an introduction", it is still too much introductive and you don't get a grip on the amazing capabilities of Matlab. This book is suitable for people discovering Matlab and Finance at the same time.

Average customer rating:

An excellent book!!!

Interest Rate Models: An Introduction
Andrew J. G. Cairns
Manufacturer: Princeton University Press
ProductGroup: Book
Binding: Paperback

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ASIN: 0691118949

Book Description

The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book introduces the tools required for the arbitrage-free modelling of the dynamics of these markets. Andrew Cairns addresses not only seminal works but also modern developments. Refreshingly broad in scope, covering numerical methods, credit risk, and descriptive models, and with an approachable sequence of opening chapters, Interest Rate Models will make readers--be they graduate students, academics, or practitioners--confident enough to develop their own interest rate models or to price nonstandard derivatives using existing models.

The mathematical chapters begin with the simple binomial model that introduces many core ideas. But the main chapters work their way systematically through all of the main developments in continuous-time interest rate modelling. The book describes fully the broad range of approaches to interest rate modelling: short-rate models, no-arbitrage models, the Heath-Jarrow-Morton framework, multifactor models, forward measures, positive-interest models, and market models. Later chapters cover some related topics, including numerical methods, credit risk, and model calibration. Significantly, the book develops the martingale approach to bond pricing in detail, concentrating on risk-neutral pricing, before later exploring recent advances in interest rate modelling where different pricing measures are important.

Customer Reviews:

An excellent book!!!.......2004-03-29

This book provides an excellent reference and point of view of old and new topics in the interest rate modelling field.

From short rate models, HJM model, multifactor models, positive interest models and market models, it gives you a very well explanation all without forget the calibration of them.

You can not find many books about this topic. This one gives a clear and easy to follow chapters in order to increase your knowledge of this not easy field. The formality is a key point in all the book.

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