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An Introduction to Derivative Securities, Financial Markets, and Risk Management Hardcover – 14 February 2013
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About the Author
Arka Chatterjea (Ph.D. Cornell) is a former student of Robert Jarrow's and is currently a Research Fellow at the Center for Excellence in Investment Management at the Kenan-Flagler Business School at the University of North Carolina, Chapel Hill. He has taught the derivatives course at Cornell, UNC, University of Colorado at Boulder, and Indiana University, Bloomington.
- Publisher : *Norton agency titles; 1st edition (14 February 2013)
- Language : English
- Hardcover : 800 pages
- ISBN-10 : 0393913074
- ISBN-13 : 978-0393913071
- Dimensions : 21.34 x 3.81 x 26.16 cm
- Best Sellers Rank: 699,282 in Books (See Top 100 in Books)
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Since Hull's book is considered as the "bible" in many business school, I would like to mention some characteristics that you have here and not in Hull's book, of course in my opinion:
1. The book is concise(despite being thick), gives lots of examples, including case studies and industry examples.
2. Covers firstly equity derivatives and then moves into interest rate derivatives (HJM), and who else to teach the HJM model better than it's creator Prof. Jarrow.
3. The book covers the usage of Models. We all know that BS is strongly rejected by Market Data, why do we still use it, then. In Hull's it says, well because that's what practice does. First time I read it from Hull, it didn't make sense to me. In this book it covers why the model can still be applied and in what cases (used as a statistical model), but don't hedge with it in the normal sense, since the theoretical model was rejected by market data.
4. Market manipulation is covered and what to do with the models if you believe market manipulation is present and how to see that
5. Price Bubbles. Prof. Jarrow has been doing research in the last 10 years about Price Bubbles and he talks about the validity and usage of models when you can see price bubbles in the market (see = advanced statistical tools of checking market assumptions)
Overall, I am very happy with this book, and I am glad I bought and it's on my book shelf.