Concepts and Practice of Mathematical Finance

Name: Concepts and Practice of Mathematical Finance
Price: 54.0 USD
Availability: InStock
ISBN: 9780521823555

ISBN-10: 0521823552

ISBN-13: 9780521823555

Edition: 2003

Authors: Mark S. Joshi, Mark Broadie, Sam Howison, Neil Johnson, George Papanicolaou

List price: $77.99

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Description:

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…

Book details

List price: $77.99
Copyright year: 2003
Publisher: Cambridge University Press
Publication date: 12/24/2003
Binding: Hardcover
Pages: 492
Size: 7.25" wide x 11.00" long x 1.25" tall
Weight: 2.728
Language: English

Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne. He has wide experience of teaching courses in financial mathematics and has previously held posts at the University of Cambridge and at Royal Bank of Scotland Group Risk Management. In February 2004 he was appointed Head of Quantitative Research Centre (QUARC) at RBS. He is the author of two books and numerous papers on both financial and pure mathematics, and has been an invited speaker at many international conferences.



Preface



Risk



Pricing methodologies and arbitrage



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 sources of risk



Options with early exercise features



Interest rate derivatives



The pricing of exotic interest rate derivatives



Incomplete markets and jump-diffusion processes



Stochastic volatility



Variance gamma models



Smile dynamics and the pricing of exotic options



Financial and mathematical jargon



Computer projects



Elements of probability theory



Hints and answers to questions


Bibliography


Index.