- 432 pages
- English
- ePUB (mobile friendly)
- Available on iOS & Android
About This Book
The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A Problem-Based Primer demystifies the essential derivative pricing theory by adopting a mathematically rigorous yet widely accessible pedagogical approach that will appeal to a wide variety of audience. Abandoning the traditional "black-box" approach or theorists' "pedantic" approach, this textbook provides readers with a solid understanding of the fundamental mechanism of derivative pricing methodologies and their underlying theory through a diversity of illustrative examples. The abundance of exercises and problems makes the book well-suited as a text for advanced undergraduates, beginning graduates as well as a reference for professionals and researchers who need a thorough understanding of not only "how, " but also "why" derivative pricing works. It is especially ideal for students who need to prepare for the derivatives portion of the Society of Actuaries Investment and Financial Markets Exam.
Features
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- Lucid explanations of the theory and assumptions behind various derivative pricing models.
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- Emphasis on intuitions, mnemonics as well as common fallacies.
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- Interspersed with illustrative examples and end-of-chapter problems that aid a deep understanding of concepts in derivative pricing.
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- Mathematical derivations, while not eschewed, are made maximally accessible.
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- A solutions manual is available for qualified instructors.
The Author
Ambrose Lo is currently Assistant Professor of Actuarial Science at the Department of Statistics and Actuarial Science at the University of Iowa. He received his Ph.D. in Actuarial Science from the University of Hong Kong in 2014, with dependence structures, risk measures, and optimal reinsurance being his research interests. He is a Fellow of the Society of Actuaries (FSA) and a Chartered Enterprise Risk Analyst (CERA). His research papers have been published in top-tier actuarial journals, such as ASTIN Bulletin: The Journal of the International Actuarial Association, Insurance: Mathematics and Economics, and Scandinavian Actuarial Journal.
Frequently asked questions
Information
Table of contents
- Cover
- Half Title
- Title Page
- Copyright Page
- Table of Contents
- List of Figures
- List of Tables
- Preface
- Symbols
- I Conceptual Foundation on Derivatives
- II Pricing and Hedging of Derivatives
- III Epilogue
- Appendix A Standard Normal Distribution Table
- Appendix B Solutions to Odd-Numbered End-of-Chapter Problems
- Bibliography
- Index