Martingale Pricing by Derek Zweig

Martingale Pricing by Derek Zweig

Martingale Pricing: A Concise Introduction to Financial Derivative Valuation is about pricing financial assets, specifically derivatives. The book is written as a concise, accessible alternative to denser, more comprehensive texts that may skip over some details and assume greater prior knowledge. The book is written for readers with at least undergraduate level mathematics background and an interest in finance. It would be ideal as a desk book for a recently qualified practicing quant, or as a supplement to a postgraduate course on Asset Pricing or Derivatives.

Features

• Extra detail that handholds the reader through proofs
• Practical perspectives accompanying academic concepts
• Historical context explaining how we arrived at modern treatment

Derek Zweig leads the market and counterparty risk analytics team at a large U.S. regional bank. In this role, he owns or supports a suite of models producing value-at-risk, potential future exposure, XVA, initial margin, and other complementary risk metrics in support of both capital markets and treasury trading desks. He has expertise managing risk for commodity, foreign currency, and interest rate derivative books, as well as fixed income, securitized product, and institutional term loan trading books. Prior to this role, Derek worked as a specialized consultant focused on equity and intangible asset valuation. His first book, A Technical Guide to Mathematical Finance, walks readers through a detailed quantitative review of foundational finance topics. He has a graduate certificate in Financial Engineering from Columbia University, an M.S. in Applied Economics from Johns Hopkins University, and a B.S. in Finance from the Ohio State University.