Why am I passionate about this?
Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
Alain's book list on quantitative finance applied to financial markets
Why did Alain love this book?
Having read or browsed many books dedicated to the mathematics of options and other derivative instruments, I unquestionably consider Neftci’s book as by far the best choice.
Starting with the fundamentals, it goes much further than a simple “introduction”, and typically fits with the needs of a “quant” specializing in options, with a good balance between pure theoretical, mathematical developments (such as Partial Differential Equations, Girsanov theorem, Markov processes, etc) and practical applications on option pricing.
1 author picked An Introduction to the Mathematics of Financial Derivatives as one of their favorite books, and they share why you should read it.
An Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives.
The increased interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. This updated edition has six new chapters and chapter-concluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives.
This edition is also designed to…