Quantitative Modeling of Derivative Securities (PDF) shows how to take the ideas of basic arbitrage theory and apply them in real and in a very concrete way – to the analysis and design of financial products. Based primarily (but not exclusively) on the evaluation of derivatives, the ebook emphasizes hedging and relative-value ideas applied to different financial instruments. Using a “financial engineering approach,” the exciting new theory is developed gradually, 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 textbook, the reader who has mastered the contents of this one ebook will have connected the gap separating the novice from the technical and research literature.
Reviews
“Written by two leading experts, this ebook stands out from the crowd of new ebooks on derivatives pricing theory. I highly recommend it to anyone interested in this amazing field.”
— Peter Carr, Principal, Bank of America Securities
“This fine treatment of the arbitrage pricing of derivatives will become a gold standard. Avellaneda and Laurence have brought their extensive combined knowledge in [a treatment] mathematics that financial analysts will find both concrete and authoritative.” — Darrell Duffie, Professor of Finance, Graduate School of Business, Stanford University
“This is a textbook, though it has no exercises, on the theory underlying the risk management and modeling of financial derivatives. The authors attempt to link theory with practice, not flinching from pointing out that the theory does not have all the answers. The mathematical style is casual, assuming an understanding of linear algebra and elementary probability, but not requiring a grasp of measure theory. It introduces stochastic calculus.”
“I learned a great deal of what I know of mathematics finance from Marco Avellaneda – and I know I will learn a lot more. Not only is he one of the finest scholar, but he is a perfect pedagogue, capable of cutting to the chase and avoid unnecessary complications – with the ease and simplicity of those who truly master the subject. I am glad this ebook by Avellaneda and Laurence is out so more people can share his knowledge.” — Nassim Taleb, Trader, Paribas Capital Markets
“Despite the current publicity concerning how physics Ph.D.s can find highly remunerative employment in this area, the authors point out that financial modeling is very different from modeling in the natural sciences. Unlike the subject of physics, where we deal with reproducible experiments with well-defined initial conditions, the ideas and models presented in this ebook deal with phenomena for which we have only limited information and that are not necessarily reproducible. To me, this seems to show a challenge perfectly matched to statistical techniques. Overall, it would really be worth considering as a textbook for a postgraduate course on arbitrage pricing theory.” — Short Book Reviews of the ISI
NOTE: The product includes the ebook, Quantitative Modeling of Derivative Securities in PDF. No access codes are included.
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