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Financial Derivatives

Financial Derivatives

Financial Derivatives

Pricing, Applications, and Mathematics
Jamil Baz, PIMCO Europe, Ltd. London
George Chacko, Harvard Business School
December 2008
Available
Paperback
9780521066792

    This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.

    • Succinct but complete overview of finanical derivatives, hot topic in financial theory and practice
    • Is a perfect follow-up to Press titles by Wilmott et al., Ross, and Baxter/Rennie
    • Authors well known both in US and Europe; treatment balances theory and real analysis

    Reviews & endorsements

    "...excellent for industry people and for the new masters programs in quantitative financial modeling and mathematical finance...Excellent, too, is the exposition and the writing style."
    Darrell Duffie, Stanford Business School

    "...excellent...it contains the most important ingredients for a successful textbook, viz, clarity and accessibility...it will also be useful to practitioners who need to brush up on underlying concepts."
    Dr. Sadek Wahba, Morgan Stanley Payne Webber

    "The book is fundamentally strong because it is both well-informed technically and also focused on the actual matters that matter in the markets."
    Martin Baxter, Nomura International, London

    See more reviews

    Product details

    August 2013
    Adobe eBook Reader
    9781107266568
    0 pages
    0kg
    16 tables
    This ISBN is for an eBook version which is distributed on our behalf by a third party.

    Table of Contents

    • 1. Introduction
    • 2. Preliminary mathematics
    • 3. Principles of financial valuation
    • 4. Interest rate models
    • 5. Mathematics of asset pricing
    • 6. Bibliography.
      Authors
    • Jamil Baz , PIMCO Europe, Ltd. London

      Jamil Baz is the chief investment strategist of GLG, a London-based hedge fund. Prior to holding this position, he was a portfolio manager with PIMCO in London, a managing director in the Proprietary Trading Group of Goldman Sachs, chief investment strategist of Deutsche Bank, and executive director of Lehman Brothers fixed income research division. Dr Baz teaches financial economics at Oxford University. He has degrees from the London School of Economics (M.Sc.), MIT (S.M.), and Harvard University (A.M., Ph.D.).

    • George Chacko , Santa Clara University, California

      Professor George Chacko has split his time between the academic and commercial worlds during his career. His past commercial experience has included work at Accenture and Prudential Investments. Most recently, he was a managing director heading fixed income sales and trading at State Street Bank, a managing director in pension asset management at IFL, and the chief investment officer of Auda Alternative Investments. He has co-founded and sold three financial services businesses over his career. He is currently the managing partner of Confluentis Investments. His past academic experience has been at Harvard Business School, where he served as a professor in the finance department for ten years. He also served as a visiting professor at the Indian School of Business. He is currently a professor in the finance department at Santa Clara University. His research interests have been in the areas of fixed income and derivatives research, portfolio choice and construction, and the microstructure of financial markets. He has a BS from MIT in Electrical Engineering, an MBA from the University of Chicago, and an MA and PhD from Harvard University in Business Economics.