The Concepts and Practice of Mathematical Finance

M.S. Joshi - Collection Mathematics, Finance and Risk

473 pages, parution le 29/12/2003

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Résumé

For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with 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. Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems.

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.

Sommaire

Risk
Pricing methodologies and arbitrages
Trees and option pricing
Practicalities
The Ito calculus
Risk neutrality and martingale measures
The practical pricing of a European option
Continuous barrier options
Multi-look exotic options
Static replication
Multiple source of risk
Options with early exercise features
Interest rate derivatives
The pricing of exotic interest rate derivtives
Incomplete markets and jump-diffusion processes
Stochastic volatility
Variance gamma models
Smile dynamics and the pricing of exotic options
Appendixes

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	M.S. Joshi
Collection	Mathematics, Finance and Risk
Parution	29/12/2003
Nb. de pages	473
Format	18 x 25
Couverture	Relié
Poids	1240g
Intérieur	Noir et Blanc
EAN13	9780521823555
ISBN13	978-0-521-82355-5