Average Reviews:
(More customer reviews)I've been using this book on and off over the last year. At first I was very impressed with the level of detail in the mathematics, especially as it was the only book at the time focussing on risk-neutral methods and covering BGM. But I've become increasing disillusioned with it of late. It's difficult to explain, but although the whole book is written in traditional theorem-proof style, there are no real proofs! (I have a PhD in math and have done research for 10 years so I should know a little about proofs.) The only "proofs" provided are basically symbol shifting, but the heart of the math is strangely absent. This is especially strange given the Springer series in which it appears.
In short, if you want a catalogue of methods this book does the job, but if you want a deeper understanding try Lars Nielsens book.
Click Here to see more reviews about: Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability)
A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modellingIncludes a new chapter devoted to volatility riskThe theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models
0 comments:
Post a Comment