Description
CAMBRIDGE UNIVERSITY PRESS The Concepts And Practice Of Mathematical Finance by Mark S. Joshi
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. BlackScholes stochastic volatility jumpdiffusion and variance gamma are examined. Both the theory and the implementation of the industrystandard LIBOR market model are considered in detail. Each pricing problem is approached using multiple techniques including the wellknown 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.