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The Mathematics of Financial Derivatives: A Student Introduction (Anglais) Broché – 9 novembre 1995

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Descriptions du produit

Revue de presse

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

'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW Nieuws

Présentation de l'éditeur

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

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Par Un client le 2 décembre 2002
Format: Broché
ce livre donne l'essentiel des details mathematiques pour calculer les prix d'option !
il va au dela des livres d'initiation et en fait , il permet d'eviter d'en acheter beaucoup d'autres fort incomplets !
effectivement , il manque des complements sur les equations differentielles stochastiques , mais rien qu'avec ce livre , on peut preparer un dea !
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Commentaires client les plus utiles sur Amazon.com (beta)

Amazon.com: 3.5 étoiles sur 5 26 commentaires
1 internautes sur 1 ont trouvé ce commentaire utile 
1.0 étoiles sur 5 This book is of historical interest only and should be ... 8 août 2016
Par selftaught - Publié sur Amazon.com
Format: Broché Achat vérifié
This book is of historical interest only and should be avoided as a learning material. The notation is unusual or downright ambiguous, the explanations are confused , the mathematics are sketchy. I am surprised this book is still for sale.
9 internautes sur 14 ont trouvé ce commentaire utile 
1.0 étoiles sur 5 Poorly written 29 août 2000
Par Gill Bates - Publié sur Amazon.com
Format: Broché Achat vérifié
First this is not an introduction. The book for that is by Neftci. Second, it is not clearly written and Wilmott has invented a whole new symbol designation for the mathematical explanations. I just cannot recommend this book to anyone since it certainly is not an introduction and for those more advanced there numerous books such as Financial Calculus that fit that bill.
2 internautes sur 3 ont trouvé ce commentaire utile 
4.0 étoiles sur 5 good book 21 novembre 2009
Par C.S. - Publié sur Amazon.com
Format: Broché Achat vérifié
Good Book but it lacks lots of basic information to understand the material. In order to solve the problems, you will use more Google that the book if you are new to this area.
8 internautes sur 8 ont trouvé ce commentaire utile 
3.0 étoiles sur 5 Not bad... but there is much better out there 22 octobre 2007
Par Michel Trudelle - Publié sur Amazon.com
Format: Broché
Wilmott's book was one of the first to tackle options pricing from a PDE point of view. The original book (now out of print) was a little more detailed and later superseded by this cheaper "Student Edition" overview on one hand and the "Wilmott on Quantative Finance" 3-volume set on the other hand. A per its title, this is an applied mathematics book, and therefore a minimal level of math is expected from the reader (so please, do not compare with Hull...).

Taking a PDE approach, the book aims at presenting various methods for pricing financial options. While the first few chapters are pretty good at skimming the surface of the theory and laying down the key principles of options pricing, the book, in general, lacks depth. Many results (prices of barrier, lookback, asian, etc...) are given without real development or simply with a little "hand-waving". As soon as things get a little complicated, Wilmott just outlines the way forward and drops buzz-words.

In that sense, the book, while attempting go beyond introductory level topics in some details, does not provide great insight into the more difficult areas of option pricing and, lacking courage, simply goes through what has become the standard presentation without adding much value. Not for beginers, but not for more advanced readers either !

It is nonetheless an acceptable quick overview if you are looking for a refresher of key concepts. For a more thorough mathematical introduction to options pricing, You-Lan Zhu's book (for example) does a much better job at covering the PDE approach rigorously (proving for example some of the convergence criterias for the finite difference method, covering the linear complementarity approach as well as presenting other numerical techniques) without being overly formal.
17 internautes sur 19 ont trouvé ce commentaire utile 
5.0 étoiles sur 5 A good introduction to the PDE approach 10 octobre 2005
Par Mathematician - Publié sur Amazon.com
Format: Broché
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!
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