Download Mathematical Techniques in Finance: Tools for Incomplete Markets, Second Edition, by Ales Cerný
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Mathematical Techniques in Finance: Tools for Incomplete Markets, Second Edition, by Ales Cerný
Download Mathematical Techniques in Finance: Tools for Incomplete Markets, Second Edition, by Ales Cerný
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Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation.
The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated.
- A standard textbook for graduate finance courses
- Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation
- Detailed examples and MATLAB codes integrated throughout the text
- Exercises and summaries of main points conclude each chapter
- Sales Rank: #1611709 in Books
- Brand: Brand: Princeton University Press
- Published on: 2009-07-26
- Original language: English
- Number of items: 1
- Dimensions: 9.10" h x 1.10" w x 6.00" l, 1.25 pounds
- Binding: Paperback
- 416 pages
- Used Book in Good Condition
From the Back Cover
"Ales ?erný's new edition of Mathematical Techniques in Finance is an excellent master's-level treatment of mathematical methods used in financial asset pricing. By updating the original edition with methods used in recent research, ?erný has once again given us an up-to-date first-class textbook treatment of the subject."--Darrell Duffie, Stanford University
About the Author
Ales Cerny is professor of finance at the Cass Business School, City University London.
Most helpful customer reviews
18 of 19 people found the following review helpful.
The Best Option Pricing book I've read!,
By CGS
After reading million books on derivative pricing, this one is the only one which defenitely combines a practical approach to it. You'll start learning about all the maths you need and all the building blocks, all by examples. And suddenly on Chapter 11, it puts it all together and effortless you can price any option with any payoff you can imagine, I got impress withmyself. I work at Credit Suisse First Boston and we have it in all the Quant's desks.
19 of 21 people found the following review helpful.
Hands-on & easy to read
By Bernard VdS
This is a great little book. I would put it in my category of 'original' books on quant finance, which includes books written by Paul Wilmott, Mark Joshi, Rick Osband and Neftci.
The reason being that the author uses a more informal style than most quant books and is very hands-on. If you're interested in understanding quant models and eventually applying them in the real world, then this is the kind of book you want. If you're looking for mathematical beauty and formalism, then look elsewhere.
The editors could have done a better job with some of the flow and formatting - maybe next edition (it is sometimes hard to link the text to the figures and tables).
Great book.
25 of 31 people found the following review helpful.
Very good coverage, practical orientation
By A Customer
Consider first, this book's subtitle, "Tools for Incomplete Markets." A "complete market" (the kind assumed by the Black-Scholes-Merton model) is one in which any derivative product can be dynamically replicated by means of cash and the underlying asset. An incomplete market, then, is one is which the world of derivatives and their underlyings do not match each other in the point-by-point replicable manner implied by that definition of completeness. This failure to match makes for a necessary imperfection in hedging. That, of course, is the real world, where traders practice, as Scholes and Merton famously discovered in Greenwich, CT not long ago!
A variety of illustrations of this practical emphasis might be adduced. In the preface, for example, Dr. Cerný tells us frankly that in his experience "is it hard to understand the Itô calculus, but it is possible to get used to it and to apply it quickly and consistently...." [italics in original.]
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