Product Description

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

Product Details

• Amazon Sales Rank: #414239 in Books
• Published on: 2007-07-27
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 384 pages

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 Jäckel 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!

Customer Reviews

Excellence in Options Trading
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.

What a weird book!
"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.

Theory meets reality
I'm not a trader but I needed to know about derivatives trading so I bought 3 books: Energy Markets: Price Risk Management and Trading (Wiley Finance) and Fundamentals of Trading Energy Futures and Options. Fundamentals of Trading Energy Futures and Options was a great primer on the topic where Price Risk Management and Trading was a more comprehensive look at how to manage risk for an entire organization. This book was entirely about something else. I saw it written from the trader's perspective with all the glamor and mystique associated with trading. I think the three books complement each other and definitely if you want to be successful as a trader, I recommend you not only read but "study" this book. It will probably do you well and if you're looking at hiring traders, study this book as well. There are a wealth of lessons to be learned here. If you're looking for enlightenment, read this book between the lines -- its where the wealth truly lies.

This review may contain certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, including, but not limited to, statements as to future operating results and plans that involve risks and uncertainties. Such forward-looking statements involve known and unknown risks, uncertainties and other factors which may cause the actual results, performance or achievements of the Book to differ materially from any future results, performance or achievements expressed or implied by those projected in the forward-looking statements for any reason. Buy at your own risk.

Note: To avoid negative feedback, I only give 5 star reviews because I don't review books which do not rate 5 stars. It takes a really bad book for me to take the time to write a 1 star rating.

Haug was right about one thing, trading in options is a possible way to get rich. Buying books on options is a certain way to become bankrupt. I imagine writing books on Derivatives and formulas is a nice way to buy a vacation home in the French Riviera, a Porsche, or shiny stones for a girlfriend. Still, I'm smarter for having read this -- thanks Haug.