Chapman and Hall/CRC
Published December 9, 2005
Reference - 248 Pages - 18 B/W Illustrations
ISBN 9781584885672 - CAT# C567X
Series: Chapman and Hall/CRC Financial Mathematics Series
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"… a relatively short but rigorous book that is targeted toward readers who want to know how to price complex American-style derivative securities at an advanced level. … Given the depth and quality of the discussion in American-Style Derivatives, it is difficult to find fault either with the structure of the book or with the author’s treatment of the specific subject matter. The book is rich with explanations of the stochastic process and is rigorous in its treatment of the advanced computational methods that make derivative securities both complex to price and useful to those who can harness their power to manage financial risk and gain excess financial returns. … Detemple has an obvious talent for explaining, developing, and extending the computational methods involved in the pricing of derivative securities. …"
—The Journal of Risk and Insurance, 2009, Vol. 76, No. 4
"This research monograph gives an excellent summary of recent research on the American option problem. … The subject matter at this level is unavoidably technical but the author maintains a good balance between rigor and intuition. The book concentrates on equity options rather than interest rate options, on pricing rather than hedging. Professor Detemple may not dig far but he digs deep."
—Short Book Reviews, December 2006
"There are numerous financial engineering texts that touch on American-style derivatives pricing. What Detemple's book does is focus on Americans. His approach combines the depth and insights of a monograph with the historical perspective and detailed citations of a survey of the literature. The book is well written, and concepts are intuitively motivated. The writing is technical, but it should be accessible to most any financial engineer. The author saves proofs for the ends of chapters. In most cases, these are one or two line thumbnails rather than full proofs. For an in-depth look at the literature on American-style derivatives pricing, this is the book to read."
—Glyn A. Holton, Contingency Analysis
"Jerome Detemple has written an excellent survey of the field of derivative securities of the 'American' type that can be exercised at any time before or at maturity. He covers extensively the probabilistic theory which underlies their valuation. He discusses in detail both 'plain' and 'exotic' contingent claims, including barrier, quantile, capped, multiple-asset, and occupation-time options. Finally, and perhaps most importantly, he presents recent results on the numerical computation of optimal exercise boundaries, hedging prices, and hedging portfolios. A considerable part of the monograph is based on the author's extensive research in this area.
The treatment is complete and authoritative, and the monograph will be valuable to both academics and practitioners with an interest in this area. Professor Detemple has done a great service, by presenting in this compact volume a great amount of scholarship and research that took place over the last two decades in this field."
—Professor Ioannis Karatzas, Columbia University, New York, USA
"The early exercise feature of American-Style Derivatives has enormous practical importance, and the same feature presents substantial theoretical and computational challenges. Professor Detemple's lucid and careful presentation represents the definitive treatment of the current state-of-the-art of this important subject. I highly recommend it for all students and researchers in the area."
—Professor Mark Broadie, Columbia University, New York, USA