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Stephen Blyth
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An Introduction to Quantitative Finance Paperback – 1 December 2013

by Stephen Blyth (Author)
4.4 4.4 out of 5 stars 71 ratings
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The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types, whether for general interest or because of the enormous monetary rewards on offer. An Introduction to Quantitative Finance concerns financial derivatives - a derivative being a contract between two entities whose value derives from the price of an underlying financial asset - and the probabilistic tools that were developed to analyse them. The theory in the text is motivated by a desire to provide a suitably rigorous yet accessible foundation to tackle problems the author encountered whilst trading derivatives on Wall Street. The book combines an unusual blend of real-world derivatives trading experience and rigorous academic background. Probability provides the key tools for analysing and valuing derivatives. The price of a derivative is closely linked to the expected value of its pay-out, and suitably scaled derivative prices are martingales, fundamentally important objects in probability theory. The prerequisite for mastering the material is an introductory undergraduate course in probability. The book is otherwise self-contained and in particular requires no additional preparation or exposure to finance. It is suitable for a one-semester course, quickly exposing readers to powerful theory and substantive problems. The book may also appeal to students who have enjoyed probability and have a desire to see how it can be applied. Signposts are given throughout the text to more advanced topics and to different approaches for those looking to take the subject further.
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  1. ISBN-10
    0199666598
  2. ISBN-13
    978-0199666591
  3. Publisher
    Oxford University Press, Usa
  4. Publication date
    1 December 2013
  5. Language
    English
  6. Dimensions
    23.11 x 15.49 x 1.52 cm
  7. Print length
    192 pages
  8. See all details
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Product description

Review

"...in the post-crisis world [Blyth's] approach to old results is refreshing and ought to be a template for the future." --Nick Dunbar

Review

Short and to the point, uncluttered, unfancy, free of the faux rigor of most modern finance textbooks, written by a practitioner, that hits most of the essential principles of quantitative finance. ― Emanuel Derman, author of My Life as a Quant

The author writes elegantly, and combines precision of expression with topical real-world examples in a way that makes this an exceptional work. ― Frank Kelly, University of Cambridge

It is all too rare to find clear thinking, based on first principles, combined with practical understanding of financial markets. This is precisely what Stephen Blyth offers, drawing equally on his mathematical and statistical training and his career in quantitative finance. This book beautifully explains both the profound implications of no-arbitrage theory for the prices of fixed-income derivative securities, and also the pitfalls in practical applications.
― John Y Campbell, Harvard University

Product details

  • Publisher ‏ : ‎ Oxford University Press, Usa (1 December 2013)
  • Language ‏ : ‎ English
  • Paperback ‏ : ‎ 192 pages
  • ISBN-10 ‏ : ‎ 0199666598
  • ISBN-13 ‏ : ‎ 978-0199666591
  • Dimensions ‏ : ‎ 23.11 x 15.49 x 1.52 cm
  • Customer Reviews:
    4.4 4.4 out of 5 stars 71 ratings

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Stephen Blyth

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4.4 out of 5
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Amazon Customer
5.0 out of 5 stars Great buy
Reviewed in Canada on 20 January 2024
Verified Purchase
Well packaged and good condition
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Elena K
5.0 out of 5 stars Great book
Reviewed in the United Kingdom on 29 August 2023
Verified Purchase
Good book for people who want to know about quantitative finance. I would recommend buying the hardcover
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Capslock
5.0 out of 5 stars I was looking for a good intro to this topic
Reviewed in the United States on 18 December 2016
Verified Purchase
I was looking for a good intro to this topic. I think this book has a lot of strengths over alternatives I have looked at.

* It is cheap!
* The book is very compact and doesn't try and do too much. This is what I like about it most. Other books try and mix too much together, when all I wanted was a good feel for the theory of valuing derivatives. The expositions introducing the different products are brief. As a result, if you have no finance experience the book might be hard to follow.
* the exercises are well thought out with a good mix of computational ones, but also many that require more careful thought.
17 people found this helpful
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mithilesh
5.0 out of 5 stars Excellent
Reviewed in India on 16 August 2015
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Found extremely helpful
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finmath
5.0 out of 5 stars Good balance between rigor and intuition
Reviewed in the United Kingdom on 20 November 2020
Verified Purchase
I like this introduction to quantitative finance. I think it is a great guide for people being introduced to the topic in a non-Academic and practical-oriented way. Yet there is no sacrifice for the rigor and the topics are presented thoroughly. I enjoyed particularly the part on fixed income and the various observations, remarks and exercises enclosed. Where many books fail to be accessible, this book gives both a good intuition, an economic explanation and a rigorous formulation.
One person found this helpful
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