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Derivatives Pricing

Authors
Published 2025

Description

This is a masters-level overview of the mathematical concepts needed to fully grasp the art of derivatives pricing, and a must-have for anyone considering a career in quantitative finance in industry or academia. Starting from the foundations of probability, this textbook allows students with limited technical background to build a solid knowledge of the most important principles. It offers a unique compromise between intuition and mathematics, even when discussing abstract ideas such as change of measure. Mathematical concepts are introduced…

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Key features

  • Introduces the foundations of derivatives pricing in a rigorous, intuitive, and complete manner with very few prerequisites
  • Uses toy examples featuring coins and dice to introduce mathematical concepts, helping the reader first to get familiar with the concepts before applying them to pricing cases
  • Covers numerical examples featuring trees and Monte Carlo simulations helping students to visualize how replication works not only 'on average', but on every trajectory
  • An interactive app illustrating replication strategies associated with various models is available from: http://derivativespricing.uclouvain.be/home

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