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Book for current equity derivatives models/theory/applications

Razvan Ilie

Active Member
C++
Does anyone know of a good book that treats equity derivatives? I am looking for something that focuses on current models. Something beyond an intro to stochastic calculus, simple MC, Black-Scholes, implied volatility, basic derivatives, etc.

I am specifically looking for a book that addresses some or all of the following topics:
  • Finite difference methods for solving PDEs (particularly for equity derivatives)
  • Variations to simple Monte Carlo (variance reduction, dealing with non-homogeneous time steps, etc.)
  • Local volatility calibration
  • Popular structured products and/or hybrids
  • Dividends (in practice)
The recent book by Jherek Healy seems to cover a lot of these topics but does not have many reviews. Can anyone recommend this book or any other books?
 

Daniel Duffy

C++ author, trainer
My recent 2nd edition of my C++11 book which has quite a few chapters on PDE and MC.
My 2006 FDM book discusses PDE for equities.
 

Attachments

  • From Navier-Stokes to Black-Scholes Numerical Methods in Computational Finance.pdf
    87.8 KB · Views: 32

rajanS

Well-Known Member
Maybe a book on advanced equity derivatives/demans book on vol surface. Maybe the book by Lorenzo bergomi and computational methods in finance should do the trick. IMHO, you are wasting your time learning these concepts if it doesn’t lead to a job in that field.
Barely any jobs out there that require the background that you seek to acquire.
 
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