The Mathematics of Financial Derivatives : A Student Introduction
Author: Paul Wilmott, Sam Howison, Jeff Dewynne
List Price: $37.00
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ISBN: 0521497892
Publisher: Cambridge University Press (29 September, 1995)
Sales Rank: 31,000
Average Customer Rating: 3.5 out of 5
Customer Reviews
Rating: 5 out of 5
Practical, easy-to-read and useful
This book is an excellent introduction to the use of finite difference and binomial methods to the pricing of equity options - regular and exotic/path-dependent. Requires only undergraduate calculus, and provides some intuition about the finance. Has exercises and solutions for people who want to learn. The "parent" book (Option pricing: mathematical models and pricing by P. Wilmott) has more information (although a little pricey!), is in fact used by financial "quants".
Rating: 4 out of 5
A strong book, but not for the novice reader
The statement on the back this book that all the reader needs is some basic calc and a bit of probability is, as when you see it on most other similar books, false. To truly understand what is going on you need a prior knowledge of PDEs as well as some stochastic calculus. If you read this book after you have studies these you will learn a lot from it, but without this prior knowledge the book is too difficult to follow. I would recommend it to a reader who has seen the martingale approach to the subject before, and has at least studied ODEs and has a book on PDEs to refer to when the PDEs become too difficult to follow. The book manages to cover a lot, but you can't read a chapter and expect to have a good understanding from only reading the material. Most derivations, and even formulas, are left as exercises, and you need to complete at least 30% of the end of chapter exercises to firmly understand the material that the authors have covered. If you already have a good grasp of mathematical finance, this book can be a good way to further enhance your understanding, but don't buy this as an introductory book unless you are very strong in PDEs.
Rating: 1 out of 5
Read Hull Instead
It seems the examples in this book are clones of those found in Hull. Odd, since the author seems to want to use more sophisticate math. Since the author can't explain calculus or properly define terms, there is doubt there is even that basic understanding. Pass on this and buy Hull instead for better clarity and better examples. Similar Products
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