Description
This is a masters-level overview of the mathematical concepts needed to fully grasp the art of derivatives pricing, and a must-have for anyone considering a career in quantitative finance in industry or academia. Starting from the foundations of probability, this textbook allows students with limited technical background to build a solid knowledge of the most important principles. It offers a unique compromise between intuition and mathematics, even when discussing abstract ideas such as change of measure. Mathematical concepts are introduced initially using toy examples, before moving on to examples of finance cases, both in discrete and continuous time. Throughout, numerical applications and simulations illuminate the analytical results. The end-of-chapter exercises test students' understanding, with solved exercises at the end of each part to aid self-study. Additional resources are available online, including slides, code and an interactive app.
A masters-level introduction offering a unique compromise between intuition and the mathematics underlying derivatives pricing.
About the Author
Frederic D. Vrins has been a quantitative finance professor at the Louvain School of Management (UCLouvain) since 2014, where he coordinates the Financial Engineering track. Previously, he was Senior Quant in the trading room of a systemic bank. His research includes mathematical finance, credit risk and portfolio optimization.
Reviews
'Derivatives Pricing is the ideal introduction to the modeling of arbitrage-free derivatives prices. Vrins explains the subject from the bottom up, from foundations to applications, with a natural and accessible style that all readers will appreciate. This is a go-to reference!' Darrell Duffie, Stanford University
'This book strikes a valuable balance between mathematical rigor and financial intuition. It provides self-contained coverage of mathematical concepts, and it combines these theoretical tools with numerical illustrations and exercises that enhance the book's pedagogical value, particularly for readers new to quantitative finance.' Paul Glasserman, Columbia Business School
'The book covers key concepts in derivatives pricing and financial modeling, including essential mathematical background. The author's expertise as a quant, influential researcher and exceptional teacher makes this an ideal reference for master's students in business, engineering or actuarial sciences aiming for a career in quantitative finance.' Genevieve Gauthier, HEC Montreal
'This book addresses the primary challenge of option pricing - mathematical complexity. Professor Vrins simplifies the equations while prioritizing economic intuition about asset pricing, all without sacrificing intellectual rigor.' Roberto Reno, ESSEC Business School
'Derivatives Pricing by Frederic Vrins fills a gap between elementary textbooks on finance and advanced courses on the field. It will be a main reference for students, who will appreciate the numerous examples as well as the exercises with solutions. Many comments underline the difficulties and conduct the reader to clarify the results. The various pricing rules are well presented and the link between them described in detail. For all these reasons, this is a must-have.' Monique Jeanblanc, L'Universite d'Evry Val d'Essonne
Book Information
ISBN 9781009554626
Author Frederic D. Vrins
Format Hardback
Page Count 494
Imprint Cambridge University Press
Publisher Cambridge University Press
Weight(grams) 1080g
A masters-level introduction offering a unique compromise between intuition and the mathematics underlying derivatives pricing.
About the Author
Frederic D. Vrins has been a quantitative finance professor at the Louvain School of Management (UCLouvain) since 2014, where he coordinates the Financial Engineering track. Previously, he was Senior Quant in the trading room of a systemic bank. His research includes mathematical finance, credit risk and portfolio optimization.
Reviews
'Derivatives Pricing is the ideal introduction to the modeling of arbitrage-free derivatives prices. Vrins explains the subject from the bottom up, from foundations to applications, with a natural and accessible style that all readers will appreciate. This is a go-to reference!' Darrell Duffie, Stanford University
'This book strikes a valuable balance between mathematical rigor and financial intuition. It provides self-contained coverage of mathematical concepts, and it combines these theoretical tools with numerical illustrations and exercises that enhance the book's pedagogical value, particularly for readers new to quantitative finance.' Paul Glasserman, Columbia Business School
'The book covers key concepts in derivatives pricing and financial modeling, including essential mathematical background. The author's expertise as a quant, influential researcher and exceptional teacher makes this an ideal reference for master's students in business, engineering or actuarial sciences aiming for a career in quantitative finance.' Genevieve Gauthier, HEC Montreal
'This book addresses the primary challenge of option pricing - mathematical complexity. Professor Vrins simplifies the equations while prioritizing economic intuition about asset pricing, all without sacrificing intellectual rigor.' Roberto Reno, ESSEC Business School
'Derivatives Pricing by Frederic Vrins fills a gap between elementary textbooks on finance and advanced courses on the field. It will be a main reference for students, who will appreciate the numerous examples as well as the exercises with solutions. Many comments underline the difficulties and conduct the reader to clarify the results. The various pricing rules are well presented and the link between them described in detail. For all these reasons, this is a must-have.' Monique Jeanblanc, L'Universite d'Evry Val d'Essonne
Book Information
ISBN 9781009554626
Author Frederic D. Vrins
Format Hardback
Page Count 494
Imprint Cambridge University Press
Publisher Cambridge University Press
Weight(grams) 1080g
