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The concepts and practice of mathematical finance 2nd ed

The concepts and practice of mathematical finance 2nd ed (10회 대출)

자료유형
단행본
개인저자
Joshi, M. S. (Mark Suresh), 1969-.
서명 / 저자사항
The concepts and practice of mathematical finance / M.S. Joshi.
판사항
2nd ed.
발행사항
Cambridge ;   New York :   Cambridge University Press,   2008.  
형태사항
xviii, 539 p. : ill. ; 26 cm.
총서사항
Mathematics, finance and risk
ISBN
9780521514088 (hardback) 0521514088 (hardback)
서지주기
Includes bibliographical references (p. 526-532) and index.
일반주제명
Derivative securities -- Prices -- Mathematical models. Options (Finance) -- Prices -- Mathematical models. Interest rates -- Mathematical models. Finance -- Mathematical models. Investments -- Mathematics. Risk management -- Mathematical models.
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020 ▼a 9780521514088 (hardback)
020 ▼a 0521514088 (hardback)
035 ▼a (KERIS)REF000014994266
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.
945 ▼a KINS

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컨텐츠정보

책소개

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.


정보제공 : Aladin

목차

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.


정보제공 : Aladin

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