More Mathematical Finance

More Mathematical Finance

by Mark Suresh Joshi

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Overview

More Mathematical Finance by Mark Suresh Joshi

The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst.

"More Mathematical Finance" is Mark Joshi's fourth book. His previous books including "C++ Design Patterns and Derivatives Pricing" and "Quant Job Interview Questions and Answers" have proven to be indispensable for individuals seeking to become quantitative analysts. His new book continues this trend with a clear exposition of a range of models and techniques in the field of derivatives pricing. Each chapter is accompanied by a set of exercises. These are of a variety of types including simple proofs, complicated derivations and computer projects.

Chapter 1. Optionality, convexity and volatility 1

Chapter 2. Where does the money go? 9

Chapter 3. The Bachelier model 23

Chapter 4. Deriving the Delta 29

Chapter 5. Volatility derivatives and model-free dynamic replication 33

Chapter 6. Credit derivatives 41

Chapter 7. The Monte Carlo pricing of portfolio credit derivatives 53

Chapter 8. Quasi-analytic methods for pricing portfolio credit derivatives 71

Chapter 9. Implied correlation for portfolio credit derivatives 81

Chapter 10. Alternate models for portfolio credit derivatives 93

Chapter 11. The non-commutativity of discretization 113

Chapter 12. What is a factor? 129

Chapter 13. Early exercise and Monte Carlo Simulation 151

Chapter 14. The Brownian bridge 175

Chapter 15. Quasi Monte Carlo Simulation 185

Chapter 16. Pricing continuous barrier options using a jump-diffusion model 207

Chapter 17. The Fourier-Laplace transform and option pricing 219

Chapter 18. The cos method 253

Chapter 19. What are market models? 265

Chapter 20. Discounting in market models 281

Chapter 21. Drifts again 293

Chapter 22. Adjoint and automatic Greeks 307

Chapter 23. Estimating correlation for the LIBOR market model 327

Chapter 24. Swap-rate market models 341

Chapter 25. Calibrating market models 363

Chapter 26. Cross-currency market models 389

Chapter 27. Mixture models 401

Chapter 28. The convergence of binomial trees 407

Chapter 29. Asymmetry in option pricing 433

Chapter 30. A perfect model? 443

Chapter 31. The fundamental theorem of asset pricing. 449

Appendix A. The discrete Fourier transform 457

Praise for the Concepts and Practice of Mathematical Finance:

"overshadows many other books available on the same subject" -- ZentralBlatt Math

"Mark Joshi succeeds admirably - an excellent starting point for a numerate person in the field of mathematical finance." -- Risk Magazine

"Very few books provide a balance between financial theory and practice. This book is one of the few books that strikes that balance." -- SIAM Review

Product Details

ISBN-13: 9780987122803
Publisher: Mark Joshi
Publication date: 09/01/2011
Pages: 502
Product dimensions: 7.00(w) x 10.00(h) x 1.06(d)

About the Author

Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies at the University of Melbourne in November 2005.

Mark has written three previous books on mathematical finance, "The concepts and practice of mathematical finance," CUP 2003/2008 and "C++ design patterns and derivatives pricing," CUP 2004/2008, and "Quant job interview questions and answers" jointly with Nick Denson and Andrew Downes.

Table of Contents

Chapter 1. Optionality, convexity and volatility1
Chapter 2. Where does the money go?9
Chapter 3. The Bachelier model23
Chapter 4. Deriving the Delta29
Chapter 5. Volatility derivatives and model-free dynamic replication33
Chapter 6. Credit derivatives41
Chapter 7. The Monte Carlo pricing of portfolio credit derivatives53
Chapter 8. Quasi-analytic methods for pricing portfolio credit derivatives71
Chapter 9. Implied correlation for portfolio credit derivatives81
Chapter 10. Alternate models for portfolio credit derivatives93
Chapter 11. The non-commutativity of discretization113
Chapter 12. What is a factor?129
Chapter 13. Early exercise and Monte Carlo Simulation151
Chapter 14. The Brownian bridge175
Chapter 15. Quasi Monte Carlo Simulation185
Chapter 16. Pricing continuous barrier options using a jump-diffusion model207
Chapter 17. The Fourier-Laplace transform and option pricing219
Chapter 18. The cos method253
Chapter 19. What are market models?265
Chapter 20. Discounting in market models281
Chapter 21. Drifts again293
Chapter 22. Adjoint and automatic Greeks307
Chapter 23. Estimating correlation for the LIBOR market model327
Chapter 24. Swap-rate market models341
Chapter 25. Calibrating market models363
Chapter 26. Cross-currency market models389
Chapter 27. Mixture models401
Chapter 28. The convergence of binomial trees407
Chapter 29. Asymmetry in option pricing433
Chapter 30. A perfect model?443
Chapter 31. The fundamental theorem of asset pricing449
Appendix A. The discrete Fourier transform457

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