More Mathematical Finance
Language: English
Published by Pilot Whale Press, 2011
- Hardcover
- New
Seller: Ria Christie Collections, Uxbridge, United KingdomRia Christie Collections
AbeBooks seller since March 25, 2015
Condition: New
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In English.
Seller Inventory # ria9780987122803_new
- Title
- More Mathematical Finance
- Author
- Joshi, Mark Suresh
- Publisher
- Pilot Whale Press
- Publication year
- 2011
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0987122800
- ISBN 13
- 9780987122803
- Item weight
- 1,202 grams
"More Mathematical Finance" is Mark Joshi's fourth book. His previous books including "C++ Design Patterns and Derivatives Pricing" and "Quant Job Interview Questions and Answers" have proven to be indispensable for individuals seeking to become quantitative analysts. His new book continues this trend with a clear exposition of a range of models and techniques in the field of derivatives pricing. Each chapter is accompanied by a set of exercises. These are of a variety of types including simple proofs, complicated derivations and computer projects.
Chapter 1. Optionality, convexity and volatility 1
Chapter 2. Where does the money go? 9
Chapter 3. The Bachelier model 23
Chapter 4. Deriving the Delta 29
Chapter 5. Volatility derivatives and model-free dynamic replication 33
Chapter 6. Credit derivatives 41
Chapter 7. The Monte Carlo pricing of portfolio credit derivatives 53
Chapter 8. Quasi-analytic methods for pricing portfolio credit derivatives 71
Chapter 9. Implied correlation for portfolio credit derivatives 81
Chapter 10. Alternate models for portfolio credit derivatives 93
Chapter 11. The non-commutativity of discretization 113
Chapter 12. What is a factor? 129
Chapter 13. Early exercise and Monte Carlo Simulation 151
Chapter 14. The Brownian bridge 175
Chapter 15. Quasi Monte Carlo Simulation 185
Chapter 16. Pricing continuous barrier options using a jump-diffusion model 207
Chapter 17. The Fourier-Laplace transform and option pricing 219
Chapter 18. The cos method 253
Chapter 19. What are market models? 265
Chapter 20. Discounting in market models 281
Chapter 21. Drifts again 293
Chapter 22. Adjoint and automatic Greeks 307
Chapter 23. Estimating correlation for the LIBOR market model 327
Chapter 24. Swap-rate market models 341
Chapter 25. Calibrating market models 363
Chapter 26. Cross-currency market models 389
Chapter 27. Mixture models 401
Chapter 28. The convergence of binomial trees 407
Chapter 29. Asymmetry in option pricing 433
Chapter 30. A perfect model? 443
Chapter 31. The fundamental theorem of asset pricing. 449
Appendix A. The discrete Fourier transform 457
Praise for the Concepts and Practice of Mathematical Finance:
"overshadows many other books available on the same subject" -- ZentralBlatt Math
"Mark Joshi succeeds admirably - an excellent starting point for a numerate person in the field of mathematical finance." -- Risk Magazine
"Very few books provide a balance between financial theory and practice. This book is one of the few books that strikes that balance." -- SIAM Review
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Ria Christie Collections
Uxbridge, United Kingdom
AbeBooks seller since March 25, 2015
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