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Financial Derivatives in Theory and Practice (Anglais) Broché – 23 juin 2004

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Descriptions du produit

Revue de presse

"This one adopts the mathematics text style of approach...But, it is not a dry book...The book is deep and detailed..." ( Short Book Reviews, Vol. 20, No. 3, December 2000)

"...It sets a new high standard for future texts on mathematical finance..." (The Statistician, Vol.51, No.2, 2002)

--Ce texte fait référence à une édition épuisée ou non disponible de ce titre.

Présentation de l'éditeur

The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions.

The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.

  • Comprehensive introduction to the theory and practice of financial derivatives.
  • Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest.
  • Divided into two self–contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice.
  • Written by well respected academics with experience in the banking industry.

A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.

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Amazon.com: 3.7 étoiles sur 5 3 commentaires
67 internautes sur 69 ont trouvé ce commentaire utile 
5.0 étoiles sur 5 well written and relevant 20 juin 2000
Par Un client - Publié sur Amazon.com
Format: Relié
The book "Financial Derivatives in Theory and Practice" by P.J. Hunt and J.E. Kennedy is yet another textbook on modern mathematics of finance. Although the market seems to be saturated by countless texts on the subject, this book appears to be an original and valuable contribution to the current literature.
The book is divided into two parts: Theory (212 pages) and Practice (159 pages). The first part surveys the mathematics of no-arbitrage pricing theory. It starts by a succinct and rigorous account on stochastic calculus (including basic properties on Wiener process, theory of martingales, and a complete development of stochastic integration w.r.t. continuous semimartingales), written in the spirit of the monograph by Revuz and Yor. The section on SDEs is particularly detailed and covers many topics (e.g. strong and weak solutions, description of the Yamada-Watanabe construction) that are not typically found in texts on finance. All technicalities are treated with due care, and some parts of the text are accompanied with exercises. The first part concludes with two sections on pricing by no-arbitrage and term structure models. Overall this part of the book is masterfully written and it is certain to please a mathematically-inclined reader (I'm not sure about the others).
The second part deals with application of the theory in pricing, with emphasis on interest-rate derivatives. After starting off with an interesting discussion about the real-world modelling issues (risk-free vs. "real-world" probability measure, calibration and dimension reduction), the authors introduce basic fixed income instruments (FRAs, caps, floors, swaps, etc) and proceed by developing no-arbitrage pricing using the standard Black's formula. The next four sections containing material on pricing exotic European derivatives largely follow authors' previously published papers. The book concludes with several sections on pricing exotics and path-dependent derivatives that start with a nice accounts on short-rate (Vasicek-Hull-White) model and market models. The treatment of the latter also gives a systematic development of the drift correction factors for various choices of numeraires. The last section on Markov functional modelling follows one of the authors' papers. One detail that is obviously missing from this part is the treatment of hedging of interest-rate derivatives. Also additional comparisons between existing and the Markov functional model seem to be in order.
11 internautes sur 13 ont trouvé ce commentaire utile 
2.0 étoiles sur 5 Yet another textbook on mathematical finance 28 juillet 2003
Par Un client - Publié sur Amazon.com
Format: Relié
This volume is yet another textbook on mathematical finance (a branch of mathematics, as opposed to quantitative finance/ financial engineering) and does not contain much original material except a good exposition of LIBOR and swap market models in the second part.
The book is divided into two parts, Theory and Pratice.
The theory part is a course on stochastic processes and stochastic integration: martingales, local martingales, semimartingales, Ito integrals and Ito formulas are developed with a high level of mathematical rigor. This part is definitely not accessible to a non mathematician. On the other hand it does not contain anything new and most proofs are not given...
The second part is about applications to finance, but it is focused on interest rate models, which seems to be the expertise of the authors. LIBOR and swap market models and interest rate derivatives are explained in detail but only at a theoretical level; the subtitles on "calibration" do not contain any useful material not is there a single numerical or empirical example of market data/ model calibration. Monte Carlo simulation, finite difference methods and tree methods are not even discussed...
The relation between the two parts is not clear: it seems that one author wrote the first part while the author wrote the second part...for example, the first part takes great care to distinguish predictable and optional processes and to define integrals of predictable processes while the second part only uses continuous models for which this distinction is useless.
Also, the first part develops the Kunita Watanabe decomposition and studies sets of martingale measure and their extremal elements, a prelude to the study of incomplete markets.
These tools are not put to use in the second part.
It could be a good reading for graduate students in probability curious to know about mathematical finance but not to professionals in this field.
2 internautes sur 3 ont trouvé ce commentaire utile 
4.0 étoiles sur 5 Erroneous comments below 10 mars 2005
Par LB - Publié sur Amazon.com
Format: Broché
I don't know why the previous reviewer said the book contains no mathematical proofs, but this statement is completely false. I have the book in front of me here, and it looks like all the theorems are accompanied with complete proofs. I don't mean to provide a complete review here, but the contents looks good, and so does the choice of topics. It certainly deserves more than 2 stars. While the level of mathematical sophistication is not that of Karatzas & Shreeve's, it is certainly above the level of a lot of prople in finance except those with a mathematical background. For a simpler book you may want to read Hull or something else (you have about 500,000 other books to choose from, isn't that great?)
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