The Concepts and Practice of Mathematical Finance

An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Each pricing problem is approached using multiple techniques including the well-known PDE and martingale approaches. This second edition contains many more worked examples and over 200 exercises with detailed solutions. Extensive appendices provide a guide to jargon, a recap of the elements of probability theory, and a collection of computer projects. The author brings to this book a blend of practical experience and rigorous mathematical background and supplies here the working knowledge needed to become a good quantitative analyst.

Author: Mark S. Joshi
Publisher: Cambridge University Press
Published: 10/30/2008
Pages: 558
Binding Type: Hardcover
Weight: 2.70lbs
Size: 9.80h x 6.70w x 1.20d
ISBN13: 9780521514088
ISBN10: 0521514088
BISAC Categories:
- Business & Economics | Finance | General