---
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title: "The Mathematics of Financial Derivatives: A Student Introduction"
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---

# The Mathematics of Financial Derivatives: A Student Introduction

**Price:** 2916045₫
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desertcart.com: The Mathematics of Financial Derivatives: A Student Introduction: 9780521497893: Wilmott, Paul, Howison, Sam, Dewynne, Jeff: Books

Review: Five Stars - It's great as expected.
Review: A good introduction to the PDE approach - Contrary to what many readers believe, this book explains the pricing of derivatives much better than Hull. Hull gives an overview of the mechanics and properties of the derivative pricing industry, along with its pricing methodologies, and this book provides an in depth method to one of the pricing methods. Financial derivatives can be priced by a wide range of methodologies, among some the elegant equivalent martingale measure approach (or risk-neutral pricing), replication, multinomial tree approximation, Monte Carlo simulation, partial differential equations etc etc. This book gives an excellent introduction, and an insight to the PDE approach. Although being a big fan of the Girsanov-change-of-measure method myself, these analytical methods often fail in the valuation of highly complex derivatives like the exotics. Pricing americans prove to be hard and inefficient too, even with simulation and the risk-neutral approach. This is where PDE methods come in. Since most derivatives (or term structures) have a PDE describing its evolution, solving the PDE seems to be a good (or sometimes the best) way, no matter how complex the derivative can get. PDEs on the other hand, have very robust and easy methods for solving. Therefore, this book brings the reader through basic PDE solving methods, analytical solutions, techniques for fast and efficient numerical approximations as well as rigorous technical explanations for some of the mathematics of partial differential equations (which arise in the financial industry). The authors are famous for their research in the field of Industrial and Applied Mathematics, and this book continues to be a classic for undergraduates in mathematics in Oxford. If you want to have an overview of the pde approach to option valuation, without the hassle of learning up Radon-Nikodým and martingales, I highly recommend this book!

## Technical Specifications

| Specification | Value |
|---------------|-------|
| Best Sellers Rank | #952,224 in Books ( See Top 100 in Books ) #57 in Mathematics Reference (Books) #97 in Options Trading (Books) #150 in Probability & Statistics (Books) |
| Customer Reviews | 4.4 4.4 out of 5 stars (54) |
| Dimensions  | 5.99 x 0.76 x 8.98 inches |
| Edition  | 1st |
| ISBN-10  | 0521497892 |
| ISBN-13  | 978-0521497893 |
| Item Weight  | 1 pounds |
| Language  | English |
| Print length  | 317 pages |
| Publication date  | September 29, 1995 |
| Publisher  | Cambridge University Press |

## Images

![The Mathematics of Financial Derivatives: A Student Introduction - Image 1](https://m.media-amazon.com/images/I/61OPC+P-fVL.jpg)
![The Mathematics of Financial Derivatives: A Student Introduction - Image 2](https://m.media-amazon.com/images/I/71UEGPxH65L.jpg)
![The Mathematics of Financial Derivatives: A Student Introduction - Image 3](https://m.media-amazon.com/images/I/313H1sxbJsL.jpg)

## Customer Reviews

### ⭐⭐⭐⭐⭐ Five Stars
*by S***A on April 20, 2016*

It's great as expected.

### ⭐⭐⭐⭐⭐ A good introduction to the PDE approach
*by M***N on October 10, 2005*

Contrary to what many readers believe, this book explains the pricing of derivatives much better than Hull. Hull gives an overview of the mechanics and properties of the derivative pricing industry, along with its pricing methodologies, and this book provides an in depth method to one of the pricing methods. Financial derivatives can be priced by a wide range of methodologies, among some the elegant equivalent martingale measure approach (or risk-neutral pricing), replication, multinomial tree approximation, Monte Carlo simulation, partial differential equations etc etc. This book gives an excellent introduction, and an insight to the PDE approach. Although being a big fan of the Girsanov-change-of-measure method myself, these analytical methods often fail in the valuation of highly complex derivatives like the exotics. Pricing americans prove to be hard and inefficient too, even with simulation and the risk-neutral approach. This is where PDE methods come in. Since most derivatives (or term structures) have a PDE describing its evolution, solving the PDE seems to be a good (or sometimes the best) way, no matter how complex the derivative can get. PDEs on the other hand, have very robust and easy methods for solving. Therefore, this book brings the reader through basic PDE solving methods, analytical solutions, techniques for fast and efficient numerical approximations as well as rigorous technical explanations for some of the mathematics of partial differential equations (which arise in the financial industry). The authors are famous for their research in the field of Industrial and Applied Mathematics, and this book continues to be a classic for undergraduates in mathematics in Oxford. If you want to have an overview of the pde approach to option valuation, without the hassle of learning up Radon-Nikodým and martingales, I highly recommend this book!

### ⭐⭐⭐⭐ good book
*by C***. on November 21, 2009*

Good Book but it lacks lots of basic information to understand the material. In order to solve the problems, you will use more Google that the book if you are new to this area.

## Frequently Bought Together

- The Mathematics of Financial Derivatives: A Student Introduction
- Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
- Financial Calculus: An Introduction to Derivative Pricing

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*Last updated: 2026-03-03*