Quantitative Modeling of Derivative Securities: From Theory To Practice
Author: Marco Avellaneda, Peter Laurence
List Price: $89.95
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ISBN: 1584880317
Publisher: CRC Press (17 September, 1999)
Sales Rank: 240,806
Average Customer Rating: 2.55 out of 5
Customer Reviews
Rating: 4 out of 5
A useful introduction to modeling of derivatives
This book is written by the two well-known applied mathematicians - Marco Avellaneda of the Courant Institute and Peter Laurence of the University of Rome. Avellaneda has been involved in financial mathematics for a number of years, while Laurence's interest in this subject is more recent. The book can serve as a useful introduction to the quantitative analysis in financial markets. As such, it covers a lot of ground stretching from an exposition of the standard Black-Scholes theory to an interesting description of the HJM framework. In addition to the standard material, it contains several original results developed by the authors themselves. The first printing had so many typos that its study was difficult for a novice. Most of these typos had been corrected in the second printing. In its present form, the book can be strongly recommended to a general reader with interest in the mathematical finance.
Rating: 4 out of 5
Very good treatment of mathematical finance minus the typos
This book is no doubt written in haste and typos are galore. I have read this book in its entirety and I highly recommend it. Concepts well covered include Binomial trees, Brownian motion and stochastic calculus, APT, HJM formulation, etc. It is a great stepping stone to get to Duffy's book. A second edition would be a great idea.
Rating: 1 out of 5
Avellaneda's worse performance
This is a surprisingly sloppy book written by a known academic in the financial engineering world. That is Marco Avellaneda. At first sight, this book is a good idea. It is suppose to bridge the gap between literature that are too simplified for quants and the high level books that are too mathematically rigorous for pratitioners. However this book is presented in such a sloopy manner that any profit driven company would sack these two authors. There are typo mistakes in almost every page and some fundamental errors. There are numerical examples there are completely wrong. On top of that, who writes a quant book without giving any exercises. The authors should comprehend that mistakes in quantitative books can be very misleading to the reader especially if the reader is trying to learn. If you don't have a Ph.D. in Math, don't read this book. It might do more harm than good. Similar Products
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