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The concepts and practice of mathematical finance 2nd ed

The concepts and practice of mathematical finance 2nd ed (Loan 10 times)

Material type
단행본
Personal Author
Joshi, M. S. (Mark Suresh), 1969-.
Title Statement
The concepts and practice of mathematical finance / M.S. Joshi.
판사항
2nd ed.
Publication, Distribution, etc
Cambridge ;   New York :   Cambridge University Press,   2008.  
Physical Medium
xviii, 539 p. : ill. ; 26 cm.
Series Statement
Mathematics, finance and risk
ISBN
9780521514088 (hardback) 0521514088 (hardback)
Bibliography, Etc. Note
Includes bibliographical references (p. 526-532) and index.
Subject Added Entry-Topical Term
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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001 000045507452
005 20110412110237
008 080620s2008 enka b 001 0 eng
010 ▼a 2008026914
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

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.0151 J83c2 Accession No. 111621353 Availability Available Due Date Make a Reservation Service B M
No. 2 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.0151 J83c2 Accession No. 121182301 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.0151 J83c2 Accession No. 111621353 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.0151 J83c2 Accession No. 121182301 Availability Available Due Date Make a Reservation Service B M

Contents information

Book Introduction

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.


Information Provided By: : Aladin

Table of Contents

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.


Information Provided By: : Aladin

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