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Pricing Financial Instruments – The Finite Difference Method

| March 2, 2014 | 0 Comments
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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Financial Calculus

| August 26, 2013 | 0 Comments
Financial Calculus

Financial Calculus is rather an old book now, first being published in 1996. Despite its age it has (as far as i know) a unique place in the literature in that it attempts to teach continuous time stochastic calculus, without requiring a knowledge of (nor teaching) measure theoretic probability. It does in fact succeed to do […]

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Probability With Martingales

| June 2, 2013 | 0 Comments
Probability With Martingales

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 […]

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