Cover image for The Concepts and practice of mathematical finance
Title:
The Concepts and practice of mathematical finance
Author:
Joshi, M. S. (Mark Suresh), 1969-
Publication Information:
Cambridge, U.K. New York : Cambridge University Press, 2003.
Physical Description:
xvii, 473 pages : illustrations ; 26 cm.
Language:
English
ISBN:
9780521823555
Format :
Book

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HG6024.A3 J67 2003 Adult Non-Fiction Non-Fiction Area
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Summary

Summary

This introductory text provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. M. Joshi covers the strengths and weaknesses of such models as stochastic volatility, jump diffusion, and variance gamma, as well as the Black-Scholes. Examples and exercises, with answers, as well as computer projects, challenge the mind and encourage learning how to become a good quantitative analyst.


Table of Contents

Preface
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
Appendix A Financial and mathematical jargon
Appendix B Computer projects
Appendix C Elements of probability theory
Appendix D Hints and answers to questions
Bibliography
Index.