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The Concepts and Practice of Mathematical Finance

Mark S. Joshi
Publisher: 
Cambridge University Press
Publication Date: 
2008
Number of Pages: 
539
Format: 
Hardcover
Series: 
Mathematics, Finance and Risk 8
Price: 
80.00
ISBN: 
9780521514088
Category: 
Textbook
We do not plan to review this book.

 

Preface; Acknowledgements; 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 exercises; Bibliography; Index.
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