The Concepts and practice of mathematical finance
by
Joshi, M. S. (Mark Suresh), 1969-
Title
:
The Concepts and practice of mathematical finance
Author
:
Joshi, M. S. (Mark Suresh), 1969-
ISBN
:
9780521514088
9780521823555
Personal Author
:
Joshi, M. S. (Mark Suresh), 1969-
Publication Information
:
Cambridge, U.K. New York : Cambridge University Press, 2003.
Physical Description
:
xvii, 473 p. ill. ; 26 cm.
Series
:
Mathematics, finance, and risk
Series Title
:
Mathematics, finance, and risk
Contents
:
1. Risk -- 2. Pricing methodologies and arbitrage -- 3. Trees and option pricing -- 4. Practicalities -- 5. The Ito calculus -- 6. Risk neutrality and martingale measures -- 7. The practical pricing of a European option -- 8. Continuous barrier options -- 9. Multi-look exotic options -- 10. Static replication -- 11. Multiple sources of risk -- 12. Options with early exercise features -- 13. Interest rate derivatives -- 14. The pricing of exotic interest rate derivatives -- 15. Incomplete markets and jump-diffusion processes -- 16. Stochastic volatility -- 17. Variance Gamma models -- 18. Smile dynamics and the pricing of exotic options -- App. A. Financial and mathematical jargon -- App. B. Computer projects -- App. C. Elements of probability theory -- App. D. Hints and answers to exercises.
Subject Term
:
Derivative securities -- Prices -- Mathematical models.
Options (Finance) -- Prices -- Mathematical models.
Interest rates -- Mathematical models.
Finance -- Mathematical models.
Investments -- Mathematics.
Risk management -- Mathematical models.
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| IIEMSA | General Books | 33168025526555 | 332.0151 J83C 2003 | 1 |