Quantitative Modeling of Derivative Securities: From Theory To Practice

4 avg rating
( 1 ratings by Goodreads )
 
9781584880318: Quantitative Modeling of Derivative Securities: From Theory To Practice
View all copies of this ISBN edition:
 
 

Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a "financial engineering approach," the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.

More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.

"synopsis" may belong to another edition of this title.

From the Author:

The Co-Author, Peter Laurence, May 15, 2000

This book introduces readers to discrete and continuous time finance. It is suitable for both academics and practitioners. For the former, it provides bullet point introductions at a good level of rigour to many of the key tools which are stepping stones in the understanding of financial modeling. To mention a few: stochastic integration, Ito's lemma. Girsanov' theorem, fist hitting times, lattice and finite difference techniques. For the novice practitioners the chapters on binomiial and trinomial trees, and on ``practical delta hedging'' provide a roadmap of some of the vital building blocks all must know. For more advanced practitioners and for novices whio are willing to invest the time to study carefully the preparatory material on stochastic processes in chapters 9-11, will find that chapters 12-15 on interest rate modeling bring them up to date on cutting edge theory and methodology. Topics covered include forward measures, Heath-Jarrow-Morton, the Libor Market model Jamshidian's model, exponetially affine models and associated sqare root processes.

Starting in June, 2000, the authors will add a link on their web pages to a running list of errata and typos reported so far. Also, we welcome readers comment and feedback to help improve the exposition in future editions. We wish you good reading!

From the Inside Flap:

Endorsements

``This fine treatment of the arbitrage pricing of derivatives will become a standard. Avellaneda and Laurence have brought their extensive knowledge in mathematics and financial practice into a highly readable source, which graduate students and financial analysts will find both concrete and authoritative.'' Darrell Duffie, Professor of Finance, Graduate School of Business, Stanford University

`` I learned a great deal of what I know of mathematics of finance from Marco Avellaneda -- and I know that I will learn more. Not only is he a great scholar, but he is a superb pedagogue, capable of cutting to the chase and avoiding needless complications -- with the ease and simplicity of those who truly master the subject. I am glad that this book by Avellaneda and Laurence is out so more people can share their knowledge.'' Nassim Taleb, Trader, Paribas Capital Markets

``Written by two of the field's leading experts, this book stands out from the crowd of recent books on derivatives pricing theory. I recommend it to anyone interested in this fascinating field.''Peter Carr, Principal, Bank of America Securities

"About this title" may belong to another edition of this title.

Buy New View Book
List Price: US$ 150.00
US$ 162.85

Convert Currency

Shipping: US$ 4.99
Within U.S.A.

Destination, Rates & Speeds

Add to Basket

Top Search Results from the AbeBooks Marketplace

1.

Marco Avellaneda, Peter Laurence
Published by Chapman and Hall/CRC (1999)
ISBN 10: 1584880317 ISBN 13: 9781584880318
New Hardcover Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)
Rating
[?]

Book Description Chapman and Hall/CRC, 1999. Hardcover. Condition: New. Seller Inventory # DADAX1584880317

More information about this seller | Contact this seller

Buy New
US$ 162.85
Convert Currency

Add to Basket

Shipping: US$ 4.99
Within U.S.A.
Destination, Rates & Speeds

2.

AVELLANEDA, MARCO; LAURENCE, PETER.
Published by Chapman and Hall/CRC (2018)
ISBN 10: 1584880317 ISBN 13: 9781584880318
New Hardcover Quantity Available: 1
Print on Demand
Seller:
Herb Tandree Philosophy Books
(Stroud, GLOS, United Kingdom)
Rating
[?]

Book Description Chapman and Hall/CRC, 2018. Hardback. Condition: NEW. 9781584880318 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Print on Demand title, produced to the highest standard, and there would be a delay in dispatch of around 10 working days. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. Seller Inventory # HTANDREE0251326

More information about this seller | Contact this seller

Buy New
US$ 175.54
Convert Currency

Add to Basket

Shipping: US$ 11.27
From United Kingdom to U.S.A.
Destination, Rates & Speeds

3.

Avellaneda, Marco, Laurence, Peter
Published by Chapman and Hall/CRC (1999)
ISBN 10: 1584880317 ISBN 13: 9781584880318
New Hardcover Quantity Available: 2
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Chapman and Hall/CRC, 1999. Hardcover. Condition: New. Never used!. Seller Inventory # P111584880317

More information about this seller | Contact this seller

Buy New
US$ 190.17
Convert Currency

Add to Basket

Shipping: US$ 1.99
Within U.S.A.
Destination, Rates & Speeds

4.

Marco Avellaneda; Peter Laurence
Published by Chapman and Hall/CRC (1999)
ISBN 10: 1584880317 ISBN 13: 9781584880318
New Hardcover First Edition Quantity Available: 1
Seller:
Irish Booksellers
(Portland, ME, U.S.A.)
Rating
[?]

Book Description Chapman and Hall/CRC, 1999. Condition: New. book. Seller Inventory # M1584880317

More information about this seller | Contact this seller

Buy New
US$ 223.22
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

5.

Avellaneda, Marco (Author)/ Laurence, Peter (Author)
Published by Chapman & Hall (1999)
ISBN 10: 1584880317 ISBN 13: 9781584880318
New Hardcover Quantity Available: 1
Seller:
Revaluation Books
(Exeter, United Kingdom)
Rating
[?]

Book Description Chapman & Hall, 1999. Hardcover. Condition: Brand New. 1st edition. 336 pages. 10.25x7.50x1.00 inches. In Stock. Seller Inventory # 1584880317

More information about this seller | Contact this seller

Buy New
US$ 254.54
Convert Currency

Add to Basket

Shipping: US$ 8.45
From United Kingdom to U.S.A.
Destination, Rates & Speeds