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....
Search in google:
Second edition of successful text providing the working knowledge needed to become a good quantitative analyst.
1 Risk 12 Pricing methodologies and arbitrage 163 Trees and option pricing 444 Practicalities 735 The Ito calculus 976 Risk neutrality and martingale measures 1277 The practical pricing of a European option 1818 Continuous barrier options 2029 Multi-look exotic options 22210 Static replication 24311 Multiple sources of risk 26012 Options with early exercise features 28413 Interest rate derivatives 30014 The pricing of exotic interest rate derivatives 31915 Incomplete markets and jump-diffusion processes 36116 Stochastic volatility 38917 Variance Gamma models 40118 Smile dynamics and the pricing of exotic options 412App. A Financial and mathematical jargon 429App. B Computer projects 434App. C Elements of probability theory 458App. D Order notation 469App. E Hints and answers to exercises 472References 526Index 533
\ From the Publisher'The book is intended as an introduction for a numerate person to the discipline of mathematical finance. In this, Mark Joshi succeeds admirably - an excellent starting point for a numerate person in the field of mathematical finance.' Risk Magazine\ ' … ideal for those who want to learn or deepen their knowledge about Quantitative Finance … The breadth of the book particularly impressed me. It went from theoretical to practical, while covering implementation-related issues. It makes concepts such as Martingales, Measures and Numéraires look so natural and easy. Pricing Quantos or Spread-Options becomes an innate result of these concepts.' Wilmott Magzine\ The author allows the reader as often as possible to get an intuition for the models and concepts. Helpful information is given on how to use and implement these models and concepts in practical terms. This practice-orientation makes this book different from others belonging to this category … the text is also well suited as a textbook for a quantitative-oriented introductory course on finance at universities or other academic institutions … one can say that this introductory book in offering a well balanced and up-to-date introduction to the theory and practice of mathematical finance overshadows many other books available on the same subject.' Zentralblatt MATH\ 'The book has been very nicely produced by Cambridge University Press. I would certainly recommend that anyone teaching an introductory or intermediate course on this topic seriously consider this book as a potential course text.' International Statistical Institute\ 'Very few books provide a balance between financial theory and practice. This book is one of the few that strikes that balance … certainly a good addition to your collection of financial mathematics books.' SIAM Review\ 'The set-up of this book certainly meets the needs of the audience for whom this book is written. Moreover, the author brings the material in a very comprehensive way leading to new or better insights in several aspects of the material. An innovation is that besides worked out examples and exercises, a list of computer projects are included which encourage the reader to implement the models. This certainly adds to the learning process.' Kwantitatieve Methoden\ \ \
