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Derivatives Models on Models, by Espen Gaarder Haug
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Derivatives Models on Models�takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives.
The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.
The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:
- Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
- Nassim Taleb on Black Swans
- Stephen Ross on Arbitrage Pricing Theory
- Emanuel Derman the Wall Street Quant
- Edward Thorp on Gambling and Trading
- Peter Carr the Wall Street Wizard of Option Symmetry and Volatility
- Aaron Brown on Gambling, Poker and Trading
- David Bates on Crash and Jumps
- Andrei Khrennikov on Negative Probabilities
- Elie Ayache on Option Trading and Modeling
- Peter Jaeckel on Monte Carlo Simulation
- Alan Lewis on Stochastic Volatility and Jumps
- Paul Wilmott on Paul Wilmott
- Knut Aase on Catastrophes and Financial Economics
- Eduardo Schwartz the Yoga Master of Quantitative Finance
- Bruno Dupire on Local and Stochastic Volatility Models
- Sales Rank: #1717821 in eBooks
- Published on: 2009-05-18
- Released on: 2009-05-18
- Format: Kindle eBook
From the Back Cover
This book takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics is covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance.
The accompanying CD with additional Excel sheets includes the mathematical models covered in the book.
The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:
Nassim Taleb on Black Swans
Edward Thorp on Gambling and Trading
Alan Lewis on Stochastic Volatility and Jumps
Emanuel Derman, the Wall Street Quant
Peter Carr, the Wall Street Wizard of Option Symmetry and Volatility
Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
Stephen Ross on Arbitrage Pricing Theory
Bruno Dupire on Local and Stochastic Volatility Models
Eduardo Schwartz the Yoga Master of Quantitative Finance
Aaron Brown on Gambling, Poker and Trading
Knut Aase on Catastrophes and Financial Economics
Elie Ayache on Modeling
Paul Wilmott on Paul Wilmott
Andrei Khrennikov on Negative Probabilities
David Bates on Crash and Jumps
Peter J�ckel on Monte Carlo Simulation
About the Author
Dr Espen Gaarder Haug has more than 15 years of experience in Derivatives research and trading, and has worked for more than 20 years as a trader. Until recently he worked as a proprietary trader in J.P. Morgan New York, and as a derivatives trader for two multi-billion dollar hedge funds; Amaranth Investor and Paloma Partners, located in Greenwich Connecticut. Before that he worked for Tempus Financial Engineering, Chase Manhattan Bank (now J.P. Morgan Chase) and Den Norske Bank.
He is the author of The Complete Guide of Option Pricing Formulas, which has become a reference manual among Wall Street professionals. He has a PhD from the Norwegian University of Science and Technology where he specialized in Option Valuation and Trading and has published extensively in practitioner and academic journals. He is currently considering setting up his own investment company - possibly the first Anti-Hedge fund!
Most helpful customer reviews
21 of 25 people found the following review helpful.
Excellence in Options Trading
By E. Paradis
I recently purchased this book due to my positive impression from Haug's other excellent book on option formulas. For those who enjoy the history of ideas and would like to find out what is state of the art in options theory and options trading today, there is no better source than Haug's new book "Derivatives: Models on Models"
I recommend this book for everyone - experts and neophytes alike.
6 of 6 people found the following review helpful.
What a weird book!
By LJ Haasbroek
"Models on Models" contains a number of verbatim interviews with most of the big names in quantitative finance. Emanuel Derman's interview stands out. In addition the book contains some out-of-place technical articles on selected quanty topics most of which have been taken from the author's previous published work. Some light-hearted work on trying to unify Special Relativity with Quantitative Finance and even some full-colour glossy Collector comics are included. This mix gives the book a personality crisis. As a result I really struggled to read through the book. It is not the book for someone who wants to get better in quant finance. Yet the book has some benefit in that the interviews helps you better understand who is behind the name. The interview concept is also not original - see How I Became a Quant: Insights from 25 of Wall Street's Elite. All in all the contents of the book gives you a "nice-to-know" feeling and not a "needed-to-know" satisfaction.
3 of 3 people found the following review helpful.
Book Review from the Aleph Blog
By David Merkel
his is not my ordinary book review. These are good books that will only appeal to a small fraction of my readers, because few will have need for the knowledge. Both are written by Espen Gaarder Haug, who is kind of a character. He collects option pricing formulas the way some people collect Barbie Dolls, Beanie Babies, or Baseball Cards. He has interacted with some of the brightest minds in the field, and collaborated with a few of them. In both books the math is significant -- it would help if your calculus was sharp, and for any value some algebraic knowledge is needed.
Let's start with the more esoteric of the two books, The Complete Guide To Option Pricing Formulas. Almost every option formula is included there, together with ways of estimating volatility, certain statistical techniques, aspects of compound interest math, etc. The book is very comprehensive, and for those that need how to estimate the value of standard and non-standard options, it is a good book to keep on hand as a reference, together with the free CD-ROM containing an Excel add-in that allows you to use the formulas inside Excel. I have used them for some of the insurance companies I have worked for; the software was easy and reliable.
The second book Derivatives, Models on Models, is different. He interviews 15 significant thinkers on options and derivatives, and presents 15 papers by them. Most of them contain tough math; some I couldn't understand. The real value of the book was in the interviews, where many of the interviewees showed significant knowledge of the limitations of their models, and how derivatives were misunderstood by the public, or by their users.
There are quirky aspects to this book, including cartoons and photos that are somewhat self-aggrandizing to the author, but make the point in a humorous way. I liked both books, but only a modest fraction of my readers should have any interest here.
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