The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk)

• Authors: Mark S. Joshi - Joshi - Mark S.
• ISBN 10: 0521514088
• ISBN 13: 9780521514088
• Edition: 2nd
• Release: November 17, 2008
• Format: Hardcover (560 pages)
• List Price: $80.00
• More Details
  
  

  List Price: $80.00

  Tags: Science, General,

  Book Description:
  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.

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