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9780521514088

The Concepts and Practice of Mathematical Finance

by
  • ISBN13:

    9780521514088

  • ISBN10:

    0521514088

  • Edition: 2nd
  • Format: Hardcover
  • Copyright: 2008-11-17
  • Publisher: Cambridge University Press

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Summary

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.

Table of Contents

Preface
Acknowledgements
Risk
Pricing methodologies and arbitrage
Trees and option pricing
Practicalities
The Ito calculus
Risk neutrality and martingale measures
The practical pricing of a European option
Continuous barrier options
Multi-look exotic options
Static replication
Multiple sources of risk
Options with early exercise features
Interest rate derivatives
The pricing of exotic interest rate derivatives
Incomplete markets and jump-diffusion processes
Stochastic volatility
Variance gamma models
Smile dynamics and the pricing of exotic options
Financial and mathematical jargon
Computer projects
Elements of probability theory
Hints and answers to exercises
Bibliography
Index
Table of Contents provided by Publisher. All Rights Reserved.

Supplemental Materials

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The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

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