The Concepts and practice of mathematical finance

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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.

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025526555	332.0151 J83C 2003	1	Searching... Unknown

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Summary

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.