Finance-Software

I bought this book for a finance course, i audited.Book covers in detail about various option pricing models(CAPM,Single Index, Multiple Index). Portfolio analysis is covered in detail plus seperate chapter on International Diversification.Arbitrage Pricing Model(APT) is compared against CAPM, this might be essential in chosing efficient portfolio.

Also includes selecting efficient portfolio. Bond pricing with detail explanation of Black-Scholes model is the best chapter .

The authors have given a detail explanation of all financial terms, which doesnot make this book daunting for novices. Best part is the various references at the end of which chapter which provide for additional information.

This is a must have book for anybody intersted in finance.

This book is at its best when explaining the theory. Jarrow provides lots of very explicit examples that really help to illuminate the ideas. Unfortunately, the reader is left to fend for himself when it comes to implementing the theory. The author simply breezes over how to estimate and calibrate these models. There is a rich--but abstruse--literature on how to apply HJM models. This book would be greatly improved if it covered this aspect of the topic with the same care and detail as is devoted to the theoretical segment of the book.

The book is very good, unquestionably. It provides you with a deep understanding of interest rate models and risk management. Mind you, you need to know the basics of bonds and fixed income contongent claims, before you try this book. The examples are apt, and explanations are succint, and easily understood. The mathematics involved can be mastered easily, and no arcane stuff (like measure-theoretic probability etc.) are used. So, the book will be accessible to MBA students too. This book has helped me understand the subject very well.

I head an interest rate swap desk after several years trading interest rate swaps. I refer to this excellent book when I need a quantitative brush up. Most of our challenges are on the fundamental principles, and Jarrow covers them very well. I'm a fan of Jarrow, and have several of his other works as well. Since I soon will also have responsibility for credit derivatives, I bought and recommend "Credit Derivatives" by Tavakoli. This book brought me up to speed on exotic options in this market as well as total return swaps and the various types of credit derivatives products. Many of my customers use interest rate exotics as well as these products.

This book is commendable to those looking for a quick practitioner's introduction to established numerical techniques in derivatives modelling. It is compehensive enough to get you ready to code your own models immediately, using your own choice of finite difference or Monte Carlo schemes.

This is not to say that there are no analytic solutions presented in this book. Quite the opposite: I found the fact that a good third of the space is taken up by investigations into analytic models somewhat disappointing, as that is perhaps the area where Mathematica gives you the least advantage over other platforms.

The part dealing with finite difference and Monte Carlo schemes is excellent, however. The mathematics of the models is introduced in a very clear and concise fashion, and after this no-nonsense introduction you get straight into coding things up in Mathematica.

Against the background of the high-quality discussion of the issues that do find their way into this book, the number of currently important topics that are lacking treatment is regrettable. I would have particularly liked to see examples of inverse problems, letting Mathematica do the work of calibrating model parameters to more market observables than e.g. just constant stock volatility. Wouldn't we all love to use Mathematica for the calibration, as well as the evaluation and benchmarking of such hotly discussed models like stochastic volatility models or local volatility models? How much time we could save by not having to code all these steps in C++ or worse environments! It seems it would have been a small step for the author to take us that little bit further along, but a large step for the majority of the readership who doesn't share the author's proficiency in the use of Mathematica. Still, if this more advanced level of usage is your aim, the book will at least start you off on the right track.

My comments are confined to the chapters on trees and finite difference methods, because that was my primary interest in buying the book. I'll say one positive thing about this book -- it does touch on many pitfalls of pricing derivatives with numerical methods such as finite differences and trees.

However my chief complaint is with the way the (very interesting and important) contect is presented -- Shaw simply contents himself with showing pages and pages of mathematica code, which is ugly and annoying to read. He doesn't even use indentations or keyword-highlighting to make the Mathematica code easier to read. What an unbelievable four-letter-word mess! Many mathematical concepts are buried within Mathematica code. A much better book would have resulted if he sat down and presented math as math rather than as Mathematica code. Very disappointing work from a writer who clearly seems to have an in-depth knowledge of finite difference methods.

I found William Shaw's book fascinating when I first bought it back in 1999 and have recently gone back to it for some further insight on some complex problems in finance.
It is a well-structured book that requires a basic understanding of both quantitative finance and Mathematica before you can really get to grips with it BUT having said that the complexity that the author gets to is excellent.
I would recommend this book to anyone in University studying for a Quant-rlated finance Masters or PhD - and anyone practicing in the real world - this should be on your shelf alongisde your copy of Mathematica.