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Foundations of the Pricing of Financial Derivatives: Theory and Analysis by Robert E. Brooks

Foundations of the Pricing of Financial Derivatives: Theory and Analysis

by Robert E. Brooks
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Book cover type: Hardcover
  • ISBN13: 9781394179657
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Wiley
  • Publisher Imprint: Wiley
  • Publication Date:
  • Pages: 573
  • Original Price: USD 94.95
  • Language: English
  • Edition: N/A
  • Item Weight: 1057 grams
  • BISAC Subject(s): Finance / General

An accessible and mathematically rigorous resource for masters and PhD students

In Foundations of the Pricing of Financial Derivatives: Theory and Analysis two expert finance academics with professional experience deliver a practical new text for doctoral and masters' students and also new practitioners. The book draws on the authors extensive combined experience teaching, researching, and consulting on this topic and strikes an effective balance between fine-grained quantitative detail and high-level theoretical explanations.

The authors fill the gap left by books directed at masters'-level students that often lack mathematical rigor. Further, books aimed at mathematically trained graduate students often lack quantitative explanations and critical foundational materials. Thus, this book provides the technical background required to understand the more advanced mathematics used in this discipline, in class, in research, and in practice.

Readers will also find:

  • Tables, figures, line drawings, practice problems (with a solutions manual), references, and a glossary of commonly used specialist terms
  • Review of material in calculus, probability theory, and asset pricing
  • Coverage of both arithmetic and geometric Brownian motion
  • Extensive treatment of the mathematical and economic foundations of the binomial and Black-Scholes-Merton models that explains their use and derivation, deepening readers' understanding of these essential models
  • Deep discussion of essential concepts, like arbitrage, that broaden students' understanding of the basis for derivative pricing
  • Coverage of pricing of forwards, futures, and swaps, including arbitrage-free term structures and interest rate derivatives

An effective and hands-on text for masters'-level and PhD students and beginning practitioners with an interest in financial derivatives pricing, Foundations of the Pricing of Financial Derivatives is an intuitive and accessible resource that properly balances math, theory, and practical applications to help students develop a healthy command of a difficult subject.

ROBERT E. BROOKS, PHD, CFA, is Professor Emeritus of Finance at the University of Alabama. He is the President of Financial Risk Management, LLC, a quantitative finance consulting firm. He is the author of several books and maintains a YouTube channel, @FRMHelpForYou.

DON M. CHANCE, PHD, CFA, holds the James C. Flores Endowed Chair of MBA Studies and is Professor of Finance at the E.J. Ourso College of Business at Louisiana State University. He is the author of four books on derivatives and risk management. His consulting firm is Omega Risk Advisors, LLC, and his website is donchance.com.

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