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Concepts and Practice of Mathematical Finance

ISBN-10: 0521823552
ISBN-13: 9780521823555
Edition: 2003
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  More...

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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

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.

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.

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