9 of 12 people found the following review helpful
This review is from: The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) (Hardcover)
Very nice book indeed.
That, besides, "strong buy", was the the general review.
The rest is mostly for insiders.
The computer exercises/projects alone are worth the price.
Other than that, I especially like
* Seeing Theorem 10.2 as a "text-book result"
for the first time. It is of course all over the
place in Carr's papers, and other books (Wilmott,
Bjork) are close, but not quite there ...
* The discussion of (the illusion of) hedging in
incomplete models in Ch. 15 & 16. Bjork's Chapter 10
says the same, really, but (in the heads of students
at least) it comes out as "short rate models in disguise".
* The chapter on VarGamma-models. For the first time I
believe I know what they're about. (I still think
they're weird, tough.
(9 customer reviews)