Credit Portfolio Management: A Portfolio Approach to Risk Management John Wiley & Sons Inc ( 21 March, 2003 ) Book Our Price : £ 41.65 List Price : £ 59.50 You save £17.85 (30% off) Prices subject to change. usually dispatched within 3 to 4 days.

Basic and Good

This book is an excellent starting point for anyone with a basic understanding of mathematics. The break down of some very complex material into something that is understandable is of great help. It is a little limited in places when it comes to rigour, however, this book in not intended for that, and for anyone who is after rigour should turn to Hull. For a mathematical text, this is an enjoyable read.

Best resource Ive seen to learn ito calculus for finance

i have read a lot of quant finance books and looked at a number of sources focussed to the mandatory mathematical understanding but this is the only example so far that i have been compelled to finish. the book starts at the beginning and takes a clearly well considered approach to the methodical exposition of all the concepts leading to the application of stochastic differential equations in derivatives pricing. further i think that for most practitioners, all but the real math enthusiasts, this is a self contained guide to the math used in practise. as a result i feel indebted to the author for very real-world useful expositions that I couldnt seem to grasp elsewhere. very good job indeed.

A good introduction to derivative modelling

I must disagree with the reviewer who cites this as a physicist trying his hand at quant finance. Nefcti has produced a rigorous introduction to the subject and proves an excellent grounding in both PDE and, more importantly, martingale valuation techniques. Sure Wilmott is the default financial engineering text, but it is not perfect and places too much emphasis on PDEs. In you want to rise above the herd to be classed a serious derivatives expert this book is a good start.