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The book's BACK COVER

The book's TABLE of CONTENTS

Our PREFACE to the book



From the book's BACK COVER:
One of the major challenges any financial engineerhas to cope with is the practical implementation of mathematical modelsfor pricing derivative securities: One has to address a number of practicalissues that are often neglected in the theory, such as the choice of asatisfactory model, the calibration of the selected model to a set of marketdata, the implementation of efficient routines, and so on. Therefore, thisbook aims both at explaining rigorously how models work in theory and atsuggesting how to implement them for concrete pricing. This is an areathat is rarely covered by books on mathematical finance. A clear benefitof the approach presented in this book is that practice can help to appreciatetheory thus generating a feedback that is one of the most intriguing aspectsof modeling and more generally of scientific investigation. 
Thus the book can help quantitative analystsand advanced traders price and hedge interest-rate derivatives with a soundtheoretical apparatus, explaining which models can be used in practicefor some major concrete problems. Moreover, the book can help academicsdevelop a feeling for the practical problems in the market that can besolved with the use of relatively advanced tools of mathematics and stochasticcalculus in particular. Advanced undergraduate students, graduate studentsand researchers should benefit as well from seeing how some sophisticatedmathematics can be used in concrete financial problems

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Click here to download a PDF version of our book's preface, which also contains a detailed description of the book's chapters.

You can download PDF versions of part of two sections in our book:
Click here to download a guided tour on the LIBOR market model.
Click here to download an introduction to the smile problem for the LIBOR market model.

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