Derivatives Pricing

'Derivatives Pricing is the ideal introduction to the modeling of arbitrage-free derivatives prices. Vrins explains the subject from the bottom up, from foundations to applications, with a natural and accessible style that all readers will appreciate. This is a go-to reference!' Darrell Duffie, Stanford University 'This book strikes a valuable balance between mathematical rigor and financial intuition. It provides self-contained coverage of mathematical concepts, and it combines these theoretical tools with numerical illustrations and exercises that enhance the book's pedagogical value, particularly for readers new to quantitative finance.' Paul Glasserman, Columbia Business School 'The book covers key concepts in derivatives pricing and financial modeling, including essential mathematical background. The author's expertise as a quant, influential researcher and exceptional teacher makes this an ideal reference for master's students in business, engineering or actuarial sciences aiming for a career in quantitative finance.' Geneviève Gauthier, HEC Montréal 'This book addresses the primary challenge of option pricing – mathematical complexity. Professor Vrins simplifies the equations while prioritizing economic intuition about asset pricing, all without sacrificing intellectual rigor.' Roberto Renò, ESSEC Business School 'Derivatives Pricing by Frédéric Vrins fills a gap between elementary textbooks on finance and advanced courses on the field. It will be a main reference for students, who will appreciate the numerous examples as well as the exercises with solutions. Many comments underline the difficulties and conduct the reader to clarify the results. The various pricing rules are well presented and the link between them described in detail. For all these reasons, this is a must-have.' Monique Jeanblanc, L'Université d'Évry Val d'Essonne