|1."Financial Calculus: An Introduction to Derivative Pricing" by Martin Baxter and Andrew Rennie|
“Financial Calculus: An Introduction to Derivative Pricing” Book Review: This book offers a comprehensive introduction to the principles of derivative pricing in the financial world. The book is divided into chapters covering topics such as continuous-time finance, stochastic calculus, the Black-Scholes model, exotic options, and risk management. With clear explanations and practical examples, the authors provide a solid foundation for understanding the complex world of derivative pricing. This book is a valuable resource for students and professionals alike, seeking to gain insights into financial calculus and derivative pricing strategies.
|2."Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance" by Domingo Tavella|
“Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance” Book Review: This book covers the primary approaches employed in the pricing of derivatives, incorporating the Stochastic Calculus and Quantitative Methods in Derivatives Pricing. It also provides an overview of fundamental financial engineering tools, such as scenario generation, European instrument simulation, and American instrument simulation. Graduates pursuing computational finance will find this book particularly advantageous.
|3."Theory of Financial Risk and Derivative Pricing" by Bouchaud|
“Theory of Financial Risk and Derivative Pricing” Book Review: This book is a valuable resource for scholars and graduate students in econophysics and mathematical finance. It delves into topics such as data mining, non-linear associations, financial products, herding, feedback, and agent-based models. Additionally, readers can explore stochastic operations, Monte-Carlo strategies, the theory of Black-Scholes, and Minority Game.
|4."Derivative Markets in India: Trading, Pricing, and Risk Management" by Alok Dixit and Surendra S Yadav|
“Derivative Markets in India: Trading, Pricing, and Risk Management” Book Review: In this book, the challenges confronted by market players during the developmental phase of markets are examined. These challenges include assessing the price efficiency of options markets and identifying opportunities for arbitrage. The book also features GARCH and EGARCH models. As a result, finance students pursuing doctoral or postgraduate studies, as well as finance professors, will find this book to be a valuable resource.
|5."Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing" by Norbert Hilber and Oleg Reichmann|
“Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing” Book Review: This book offers a comprehensive overview of deterministic algorithms that enable fast and precise pricing of derivative contracts in modern finance. It covers Lévy processes and models of stochastic volatility, making it a valuable resource for graduate students, researchers, and practitioners working in the quantitative finance domain.
|6."C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)" by Mark S Joshi|
“C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)” Book Review: The book exhibits the process of creating well-structured, reusable code using specific examples. The approach involves designing reusable components that are combined to develop a Monte Carlo pricer for path-dependent exotic options. Additionally, the book covers advanced concepts like the factory pattern, the singleton pattern, and the decorator pattern.
|7."A Factor Model Approach to Derivative Pricing" by James A Primbs|
“A Factor Model Approach to Derivative Pricing” Book Review: This book offers a systematic framework for pricing derivative securities using the simple factor model without arbitrage concepts. It covers a wide range of topics, including equity, interest rate, credit derivatives, and quantitative methods based on tree models. Both researchers and practitioners can benefit from this book.
We have compiled a list of the Best Reference Books on Derivative Pricing, which are used by students of top universities, and colleges. This will help you choose the right book depending on if you are a beginner or an expert. Here is the complete list of Derivative Pricing Books with their authors, publishers, and an unbiased review of them as well as links to the Amazon website to directly purchase them. If permissible, you can also download the free PDF books on Derivative Pricing below.
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