Business School lecturer publishes innovative new book

Issued: Mon, 23 Jan 2012 17:42:00 GMT

The Business School is proud to announce the launch of a new book aimed at graduate students in quantitative finance. The book, published by Wiley, will be launched in late February 2012.

The Mathematics of derivatives securities with applications in MATLAB, written by Dr Mario Cerrato, Senior Lecturer in Financial Economics at the Business School, is designed to give readers an introduction to probability theory, stochastic calculus and stochastic processes, and how that knowledge can be used to solve complex financial problems.

John Crosby, Managing Director of Grizzly Bear Capital and invited lecturer at Oxford University said, "Cerrato has achieved in this book something that I, for one, did not think possible - namely to bring the mathematics of pricing and hedging options and other derivatives to people without a formal background in advanced mathematics such as traders, risk managers, students and academics in the fields of finance, economics, business and management. Like Roger Federer with a tennis racket in his hand, Cerrato makes it all look easier than it is."

Guglielmo Maria Caporale, Professor of Economics and Finance Director, Centre for Empirical Finance, Brunel University said: “Excellent book aimed at graduate students in quantitative finance, especially those without a background in mathematical finance or physics. It combines finance theory with Matlab applications helping the reader to understand how theoretical models can be used in practice.”

Lucio Sarno, Professor of Finance and Head of the Finance Faculty, Cass Business School said: “If you do not have the background of a mathematician or a physicist, but you wish to learn about the world of financial derivatives this is the book for you. There is no excess of math, yet the book is rigorous, and everything is there to serve a purpose, with the right balance between theory and practical application.”

MARIO CERRATO holds a PhD in Financial Econometrics and an MSc in Economics from London Metropolitan University, and a first degree in Economics from the University of Salerno. Mario’s research interests are in the area of financial derivatives, security design and financial market microstructures. He has published in leading finance journals such as Journal of Money Credit and Banking, Journal of Banking and Finance, International Journal of Theoretical and Applied Finance, and many others. He is generally involved in research collaboration with leading financial firms in the City of London and Wall Street.