Description: Hardcover.An ideal introduction for those starting out as practitioners of mathematical finance, this book provides 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. Each pricing problem is approached using multiple techniques including the well-known PDE and martingale approaches. This second edition contains many more worked examples and over 200 exercises with detailed solutions. Extensive 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.
Price: 35 USD
Location: Massapequa, New York
End Time: 2025-01-12T20:33:36.000Z
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Item Specifics
All returns accepted: ReturnsNotAccepted
Subject Area: Mathematics, Business & Economics
Publication Name: concepts and Practice of Mathematical Finance
Publisher: Cambridge University Press
Item Length: 10 in
Subject: Interest, Investments & Securities / Derivatives, Decision-Making & Problem Solving, Finance / General, Investments & Securities / Analysis & Trading Strategies, Investments & Securities / Options, Applied
Publication Year: 2003
Series: Mathematics, Finance and Risk Ser.
Type: Textbook
Format: Hardcover
Language: English
Item Height: 1.3 in
Author: Mark S. Joshi
Features: 2nd Edition
Item Weight: 43.8 Oz
Item Width: 7.1 in
Number of Pages: 539 Pages
