The Concepts and Practice of Mathematical Finance

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Overview

"This fully updated second edition contains many new worked examples and over 200 exercises, with detailed solutions provided in an appendix. Additional appendices provide a guide to jargon, a recap of the elements of probability theory, and a collection of computer projects." 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.
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Editorial Reviews

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

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Product Details

  • ISBN-13: 9780521823555
  • Publisher: Cambridge University Press
  • Publication date: 12/31/2003
  • Series: Mathematics, Finance and Risk Series , #1
  • Edition description: Older Edition
  • Pages: 473
  • Product dimensions: 6.85 (w) x 9.72 (h) x 1.34 (d)

Meet the Author

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.

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Table of Contents

1 Risk 1

2 Pricing methodologies and arbitrage 16

3 Trees and option pricing 44

4 Practicalities 73

5 The Ito calculus 97

6 Risk neutrality and martingale measures 127

7 The practical pricing of a European option 181

8 Continuous barrier options 202

9 Multi-look exotic options 222

10 Static replication 243

11 Multiple sources of risk 260

12 Options with early exercise features 284

13 Interest rate derivatives 300

14 The pricing of exotic interest rate derivatives 319

15 Incomplete markets and jump-diffusion processes 361

16 Stochastic volatility 389

17 Variance Gamma models 401

18 Smile dynamics and the pricing of exotic options 412

App. A Financial and mathematical jargon 429

App. B Computer projects 434

App. C Elements of probability theory 458

App. D Order notation 469

App. E Hints and answers to exercises 472

References 526

Index 533

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