Academic Press | ISBN: 0750669195 | | 384 pages | PDF | 6,3MB
“Think of Baxter and Rennie, add the pricing models from Wilmott and, to illustrate each model, Levy’s own Numerical Recipes in C and C#. Levy’s book is written in precise mathematical language, covering all types of derivative products and illustrating the state-of-the-art resolution methods for pricing. As such, it is set to become a classic amongst serious quants.” -
Professor Carol Alexander, Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading, UK
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