Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.
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A fresh, fundamentals-based approach for accurate derivative pricing
Pricing Derivatives presents a specialized approach to accurately pricing derivatives by stressing the conceptual foundations underlying the mathematics. Noted mathematics professor and investing consultant Ambar Sengupta provides a sound understanding of the essential topics of derivative pricing and outlines methodologies for arriving at exact pricing formulas based on the fundamental relationship between price and probability.
Short, to-the-point chapters present original ideas and approaches for pricing derivative products, supplying professional money managers and institutional investors with the foundation they need to:
Experience has shown that derivative traders must focus on conceptual, as opposed to trading, issues if they are to improve trading accuracy and profitability. Pricing Derivatives presents conceptually sound approaches for pricing derivatives and shows how to use them to compute specific pricing formulas.
Pricing Derivatives unveils a fundamentally clear-cut approach to accurate derivative pricing. Based upon author Ambar Sengupta's years of consulting experience working with derivatives traders to hone their trading performance, it steers around the mechanics of popular financial models to focus on the conceptual foundations and underlying mathematics of pricing derivatives as well as other financial instruments.
Exploring the relationship between price and probability, Pricing Derivatives demonstrates methods for determining model-independent pricing formulas and applying them to specific market models for more distinct and applicable pricing formulas. Proceeding from general information to specific knowledge, this detailed book covers:
More than just a compendium of useful trading techniques, Pricing Derivatives presents and explains the conceptual foundations professionals must use to make the all-important pricing and valuation decisions that drive real-life trading. It explores the types of risk embedded in popular derivative instruments along with pricing techniques that more accurately reflect that risk, and provides a thorough, rigorous practitioner's account of the theory and mathematics that form the basis for modern derivatives pricing.About the Author:
Ambar N. Sengupta, Ph.D., is a professor of mathematics at Louisiana State University and has been consultant to AIG Trading Corporation and Dresdner Kleinwort Wasserstein. The author or coauthor of a number of professional books, Sengupta has also written dozens of articles for Annals of Physics, Journal of Functional Analysis, and other journals.
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