“Derivatives: Models on Models” is a different book about quantitative finance. In many ways it is two books in one, first of all it contains a series of interviews with some of the world's top modelers, researchers, quants, quant-traders, gamblers and philosophers from Wall Street and academia. On the top of this you get a series of technical chapters covering valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book doesn't stop there it also takes you into the tails of your imagination and discusses ideas like negative probabilities and space-time finance.

The title “Derivatives: Models on Models” deserves some explanation. It was my former co-worker Dr John Stevenson1 a great model trader in J.P. Morgan that first came up with the idea of the book title “Models on Models”, a title I later changed to “Derivatives: Models on Models”. First of all the book is about derivatives models; quantitative finance, option valuation, hedging, and some non-traditional topics in finance like negative probabilities and space-time finance.

“Models on Models” has multiple implications. First of all models are only models and derivatives models are themselves based typically on more fundamental underlying models. For example most derivatives models are based on classic probability theory, that itself is a model that we often take for granted. Many models are based on ...

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