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on 5 January 2000
This is an excellent introduction to pricing financial derivatives. The authors' background is clearly in solving partial differential equations (PDEs) and there is a great deal of material on this approach. Half the book is devoted to numerical methods for solving PDEs with non-analytic solutions which will prove useful to implementors. A word of warning: I found this book heavy going mathematically - and I have a PhD in Maths! I would only recommend it to someone with at least a degree in a highly quantitative subject. You should preferably already be familiar with solving simple PDEs such as the diffusion (heat) equation. Each chapter has numerous problems for the reader and working through these is extremely educational, although in many cases extremely challenging. Not a light read but a good one.
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on 9 March 2003
Being a novice to financial quantitative mathematics, I find this book a good, but a pretty heavy introduction. Depending on the level of mathematical background that you are coming from, you may find having an alternative math reference and detailed financial concepts reference very handy, when reading this book.
Personally, I find this book complement very well with other texts that are more descriptive on the business aspects, such as John C Hull’s book. The approach of this book to mathematical treatment is very direct, and to a large degree unsympathetic, in that it assumes your familiarity with the engineering calculus, probability and statistics, and do not waste time repeating them. Consequently, you really must have am alternative text handy for maths, where necessary: The essential pre-requisites being, solution of linear partial differential equations (especially parabolic equations), integration techniques, basic probability theory, and statistical maths.
Although I am still in the process of grasping more advanced concepts, I see this book to be a good reference to the readers who are more experienced in financial mathematics. (Or you may also opt for the “non-student” version of this book, which includes advanced topics, but at a considerably more expensive price.)
Highly recommended to the readers who are keen on delving to the details of quantitative mathematics, who are ready to be first bewildered by their intricacies, and then be patient enough to understand the mathematical treatment from alternative math texts, and finally to relate the business concepts treated in other text, such as John C Hull’s. It’s definitely not a light read, but I think is a very good investment upfront indeed.
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on 22 August 2013
I have always been fascinated by mathematical models that simulate real world activities. I am no mathematical genius although I hold an honours degree in Physics, so do have a nodding acquaintance with the nature of the random walk, and can handle partial differential equations to a fashion. The book is described as being useful for students intending to embark on a detailed module covering derivative products. In this sense it fits the bill perfectly. With just a passing interest I found the content to be quite readable and could follow the text with reasonable ease. It is however not a book for those who have not an inkling about the nature of randomness and statistical measures or who do not have any skill or knowledge of the calculus. Having said that, neither does one require a degree in mathematics to be able to understand the authors explanations of the Black Scholes equations. I would say an HNC or HND in old money or its equivalent in either maths or engineering would fit the bill. The authors do refer to a fair amount of mathematics with which one ought to be fairly familiar, but they also provide very good descriptions and explanations of derivative behaviour. Well recommended if you intending to take this for further study or just have a passing interest.
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VINE VOICEon 19 November 2009
I regret buying this book. I used to think that one day I might be able to understand it but as I've learned more about mathematical writing I've realised that this book is heavy going due to poor explanations, not just the material covered. It's not suitable as a 'student introduction' as claimed on the cover.

Having said that, I've not seen these topics explained well by anyone so far, though I have seen better than this.
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on 22 April 2012
If you are doing any degree in quantitative finance, you must have this book on your personal library. I am doing an MSc in Quantitative Finance and this book is like the handbook for this kind of studies, I personally recommend this book if you want to improve your maths and programming skills.
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on 28 November 2011
Of course it depends upon your background and your goals, but I often recommend this as a first look to those interested in financial engineering. This book emphasises intuition and examples, not probability theory. It's short, it's easy to read, and it's affordable.
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on 11 February 2013
An extremely good introductory book for university level financial mathematics or if you want to start in the field. Would highly recommend you read this before you attend an interview.
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on 24 October 2016
The book is very heavy mathematics, but I found it a good source of reference.
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on 14 August 2015
Didn't actually read much of it but it looks lovely.
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on 25 July 2016
Useful reference source
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