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Latest 6 Reviews Here is what people are saying about the Introduction to the Mathematics of Financial Derivatives
"Truly excellent!"
2009-07-04
- Reviewed By User: AWG26JOUNK7G5
This book was recommended to me for its excellent introduction to stochastic calculus.
I spent much time reading the reviews before purchasing the book, as I wanted to ensure it a good return on investment.
This book is highly readable and very well written. It covers vast areas of the mathematics underlying financial derivatives pricing. As a practitioner I most valued the insight and intuition the book imparts, each topic is developed consistently and heuristically, leading to a qualitative understanding of assumptions and methodology which might not be initially apparent from more purely mathematical accounts when one is taking a first approach to a subject.
It is not a book on finance in the sense that Hull or Das might be -- but builds a good foundation of tools for Quantitative Finance.
Highly recommended.
"The Best Beginner's Book on Stochastic Calculus Ever Written"
It is the single most gentle introduction to stochastic calculus ever written.
Seriously. You will NOT find a more gentle introduction to this topic. Neftci took a very difficult topic and wrote a very simple and clear book on the subject material.
This book does not dot the i's and cross the t's the way Shrieve does. It's not the clever tour de force that Baxter and Rennie is. You will not be an expert in stochastic calc after reading it. Not by any stretch of the imagination.
However, you'll have a few things that are more valuable than being an expert at stoch calc:
1. You'll have a gut feeling for what all this stuff means. Ever take a really difficult class and you got A's on all the homeworks and tests, but at the end of the semester you scratch your head and wonder what the heck you just learned? Yes, Shrieve, Øksendal, and a whole bunch of others will make you an expert. But you'll get very little gut feeling understanding from those books. They teach you about calculations, and are very skimpy on the meaning or any kind of intuition. This book is ALL ABOUT intuition and meaning.
2. You'll learn what you need to know. Face it. Stoch calc is a part of all financial engineering programs. But how many quants really use it? For every Peter Carr or Bruno Dupire there are hundreds of quants whose main purpose in life is to calculate cashflow waterfalls on Excel or price a CDS using some company's automated CDS pricing program. For the VAST majority of us, stochastic calculus is mostly for our interviews. We're asked what Girsanov's theorem is. Maybe we're asked to price some weird derivative. Maybe. Most likely we're asked to compute something mindless like the change in some function of a stochastic variable. Unless you're interviewing for some kind of quant R&D position, everything you need to know for your interview is in this book. I promise you.
3. You'll be competent enough to have an intelligent conversation with someone about stochastic calc. You'll be in a better position to read and understand the more advanced books and actually "get it" rather than parrot a bunch of calculations.
I can guarantee you -- the people who don't like this book are either the wrong audience for it and should be reading something more advanced, or they're a bunch pretentious a******s who think that a book's value is proportional to how densely packed it is with arcane equations.
And, no, I don't shy away from nuclear chicken scratching. I have a PhD in theoretical physics. I've done my fair share of reading and writing chicken scratching. I'm not impressed by advanced formalism. It has a proper time and place. I *am* impressed by clarity of thought and exposition, and in this regard, this book is in a universe all its own.
Baxter and Rennie comes close, but their book is subtle and clever. And it doesn't cover the wealth of topics this book covers. I love their book, but this book is ultimately more useful. Think about the difference between Feynman's physics books compared to other beginning texts. To see the real beauty of Feynman's approach, you really need to know the topic.
"One of my top book list in Financial Engineering"
2009-01-21
- Reviewed By User: A8DII8XQI82W7
This book introduces mathematics of derivative in a clear way. Strong mathematical background is not required to understand the logic of the contents. The strength of the book is that it shows the relationship between PDE and the martingale method with good example. The proof of Ito lemma is easy to understand too. Paul Wilmott's book has skipped the proof. It is a good complement with Paul Wilmott's Quantitative Finance.
"The Best Intro'"
2008-11-19
- Reviewed By User: A3RGY43RW5Y8JB
The best introduction to Stochastic Calculus. As a quant finance tutor on the 7city CQF course I have consistently (and without hesitation) recommended this text to course delegates and university students.
I bought the book because of all the positive reviews; I did read the negative reviews, but decided to take my chance.
This book is useful for reviewing materials that you have learned in the past but forgotten. In my opinion, it's not that good for beginners of mathematical finance (who wants to learn it seriously) because the presentation is so unclear, with lots of hand-waving and skipping essential steps. I am a beginner myself, and I would rather struggle through more mathematically difficult but clearly presented textbooks.
I wanted to give this book one star because it was way below expectation, but I gave it two because at least it attempts to offer a layman's explanations (not a very successful attempt, but a positive thing, nonetheless) behind all the math. And it's not like I gained absolutely nothing from it. I guess I would recommend giving this book a shot if you could get it cheaply, perhaps a secondhand copy.
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"Truly excellent!"
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