The first section covers the foundations of probability in measure theoretic terms. i.e events in probability as measurable sets, random variables as measurable functions, expectation as integration with respect to the probability measure etc. My only criticism is Chapter 8 on product measure could do with more explanation and examples. The second section in my […]

# Archive for March, 2014

## Pricing Financial Instruments – The Finite Difference Method

This book explains how to price derivatives with the finite difference technique. It is aimed at practitioners full of many different examples, such as pricing convertible bonds, American options, Barrier options and Parisian options. It also has a nice introduction to stability analysis using the matrix approach and the fourier approach. The book covers pretty […]

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