|000||01387camuu2200361 a 4500|
|008||080620s2008 enka b 001 0 eng|
|020||▼a 9780521514088 (hardback)|
|020||▼a 0521514088 (hardback)|
|040||▼a DLC ▼c DLC ▼d OCLCG ▼d YDXCP ▼d C#P ▼d BWX ▼d CDX ▼d DLC ▼d 211009|
|050||0 0||▼a HG6024.A3 ▼b J67 2008|
|082||0 0||▼a 332.01/51 ▼2 22|
|084||▼a 332.0151 ▼2 DDCK|
|090||▼a 332.0151 ▼b J83c2|
|100||1||▼a Joshi, M. S. ▼q (Mark Suresh), ▼d 1969-.|
|245||1 4||▼a The concepts and practice of mathematical finance / ▼c M.S. Joshi.|
|250||▼a 2nd ed.|
|260||▼a Cambridge ; ▼a New York : ▼b Cambridge University Press, ▼c 2008.|
|300||▼a xviii, 539 p. : ▼b ill. ; ▼c 26 cm.|
|490||1||▼a Mathematics, finance and risk|
|504||▼a Includes bibliographical references (p. 526-532) and index.|
|650||0||▼a Derivative securities ▼x Prices ▼x Mathematical models.|
|650||0||▼a Options (Finance) ▼x Prices ▼x Mathematical models.|
|650||0||▼a Interest rates ▼x Mathematical models.|
|650||0||▼a Finance ▼x Mathematical models.|
|650||0||▼a Investments ▼x Mathematics.|
|650||0||▼a Risk management ▼x Mathematical models.|
|830||0||▼a Mathematics, finance, and risk.|
|No. 1||소장처 중앙도서관/서고6층/||청구기호 332.0151 J83c2||등록번호 111621353||도서상태 대출가능||반납예정일||예약||서비스|
|No. 1||소장처 과학도서관/Sci-Info(2층서고)/||청구기호 332.0151 J83c2||등록번호 121182301||도서상태 대출중||반납예정일 2021-06-28||예약 예약가능||서비스|
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.
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.