- Hardcover: 465 pages
- Publisher: OUP Oxford (29 July 1999)
- Language English
- ISBN-10: 0198776195
- ISBN-13: 978-0198776192
- Product Dimensions: 23.6 x 15.5 x 3 cm
- Average Customer Review: 4.0 out of 5 stars See all reviews (1 customer review)
- Amazon Bestsellers Rank: 674,164 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Review
"This is a challenging and rewarding text. It will lead mathematics graduate students toward an interest in the problems of finance. It will lead finance graduate students toward the level of mathematical sophistication necessary to contribute to the literature in this field. It will also allow some academics currently teaching undergraduate and MBA derivatives courses to confirm or challenge their own often intuitive understanding of pricing, hedging, and arbitrage....The text is worth buying for the notes to Chapter 1 alone."--The Journal of Finance Research
Product Description
The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. Professor Nielsen concentrates on three main areas: the theory of continuous-time stochastic processes, a notorious barrier to the understanding of probability theory in finance; the general theory of trading, pricing, and hedging in continuous time, using the martingale approach; and a detailed look at the BlackScholes and the Gaussian one-factor models of the term structure of interest rates. His book enables the reader to read the journal literature with confidence, apply the methods to new problems, or to do original research in the field.
Inside This Book
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First Sentence
Stochastic processes are a fundamental concept in finance theory. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Stochastic processes are a fundamental concept in finance theory. Read the first page
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Concordance
Browse Sample PagesConcordance
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Customer Reviews
Most Helpful Customer Reviews
Format:Hardcover|Amazon Verified Purchase
Very interesting book, with a step-by-step approach to the pricing model. However, it is very theoretical on the examples and exercises (all of them are proofs of theorems).
Not suitable for someone with only undergrad level of Math.
Not suitable for someone with only undergrad level of Math.
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:
6 reviews
34 of 35 people found the following review helpful
The mathematical finance book to own.
28 Jun 2000
Format:Hardcover
This book is excellent. As anyone interested in this field knows, there is a lot of high-level math. The author has included several appendices which cover the required background, and he only includes proofs that are helpful to overall understanding. All theorems without proofs have references to the standard math texts.
In comparison to other texts, it does not leave many important ideas to intuition like Neftci's book. Baxter & Rennie is better than Neftci, but not as good as Elliot & Kopp or Lamberton & Laperyre. All of the above I have studied to some extent, and Nielsen's book seemed to include all that these did AND to fill in the gaps. This is the first book I have seen to actually define 'numeraire'.
Make no mistake, to truly understand this material one has to make an investment in learning a good amount of math. The texts I recommend for real analysis are Royden (tops among all for ease and clarity) and Folland (more comprehensive, but very well written); for probability I recommend Resnick's new book which includes a good chapter on discrete-time martingales (much more readable than Chung) and the legendary text by Billingsley.
If you are willing to learn about 4 chapters of Royden and keep Resnick at your side, then this is the only book you need. If not, then start with Baxter and Rennie.
9 of 10 people found the following review helpful
Excellent textbook
25 Nov 2000
Format:Hardcover
This is an excellent textbook on financial mathematics. It is quite mathematical, but self contained, clearly and carefully written. The appendices are very well written condensed reviews of basic technical facts. The book also contains discussions of a topics that I've never seen anywhere else, such as "Arbitrage and Admissibility" and "The doubling strategy". As mentioned in the preface, the book is based on a doctoral-level course, and the author clearly had the benefit of a large amount of feedback from students. Reading it, one can't help notice the presence of a very large number of extra remarks and hints, inserted on every page in order to clarify what must have been a denser original text. Finally, I have to mention the excellent editorial work done by Oxford University Press in producing this book, as compared to similar books published by Wiley.
5 of 5 people found the following review helpful
buy this book now!
15 Mar 2000
Format:Hardcover
If you have a strong math background, you will not find a clearer, more rigorous exposition of arbitrage pricing. The writing style is light yet gives you a depth and insight other books miss. I've read all the usual texts, but this is the best by far imho!
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