Quantitative Finance (an Introduction To Investments, Asset Pricing, And Derivatives)

By (author) Walden Johan
Short description/annotation:
A graduate-level, mathematically rigorous introduction to the tools, methods, and approaches used in contemporary quantitative finance.
Description:

A graduate-level, mathematically rigorous introduction to the tools, methods, and approaches used in contemporary quantitative finance

This book offers a theory-oriented introduction to investments, asset pricing, and derivatives. Designed for a quantitative master’s program in finance, it is grounded by what works in the classroom. Presenting its topics in a unified, self-contained framework, the book is specifically appropriate for courses in asset pricing and derivatives pricing but may also be used for courses in investments, asset management, and portfolio management. Students will learn how to make decisions under uncertainty and over time, how to choose an investment portfolio, and how to characterize the prices and returns of financial assets in equity, bond, and derivative markets. The book focuses on a number of classical models and theories in quantitative finance and covers selected advanced and newer topics in its final section. Proofs and in-depth theoretical results within quantitative finance appear throughout the book along with examples and end-of-chapter exercises to facilitate and support the learning process.

• Part I covers the capital asset pricing model, the Lucas model, the static Arrow-Debreu model, consumption-based asset pricing, and the arbitrage pricing theory, and introduces preliminary theories of decision-making and portfolio choice
• Part II covers no-arbitrage theory, with applications to derivatives and bond markets, beginning with a static economy and then gradually moving to the continuous-time setting; it includes the advanced mathematical tools needed for continuous-time finance
• Part III covers selected advanced and newer topics, including equilibrium models in continuous time, the variance gamma option pricing model, and the Ross recovery theorem
• An appendix presents mathematical concepts and results from set theory, topology, linear algebra, matrix theory, and analysis

Biographical note:
Johan Walden is professor of finance at the University of California, Berkeley, where he holds the Mitsubishi Bank Chair in International Business and Finance.
Endorsement:
"This book excels in addressing the distinct needs of two advanced student groups: doctoral students focused on asset pricing theory and master’s students in quantitative finance and financial engineering. The author has thoughtfully designed the material to be both rigorous and accessible, making it a highly relevant and valuable resource across programs. It’s a strong addition to the advanced finance curriculum."—Petter Kolm, New York University

“The main strength of the book is that it is technically rigorous yet accessible to students. A second strength of the book is its breadth—there are few books that cover the topics of investments, asset pricing, and derivatives. The book does not require students to have any background; it starts with building knowledge from first principles. What it does require is for students to have an appetite for a technically rigorous book with a fair degree of mathematics.”—Raman Uppal, EDHEC Business School