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The Concepts and Practice of Mathematical Finance

Publisher: 
Cambridge University Press
Number of Pages: 
539
Price: 
80.00
ISBN: 
9780521514088
Date Received: 
Wednesday, December 31, 2008
Reviewable: 
No
Include In BLL Rating: 
No
Reviewer Email Address: 
Mark S. Joshi
Series: 
Mathematics, Finance and Risk 8
Publication Date: 
2008
Format: 
Hardcover
Category: 
Textbook
Tags: 

 

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.
Publish Book: 
Modify Date: 
Wednesday, December 31, 2008

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