The Concepts and Practice of Mathematical Finance PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Concepts and Practice of Mathematical Finance PDF full book. Access full book title The Concepts and Practice of Mathematical Finance by Mark S. Joshi. Download full books in PDF and EPUB format.
Author: Mark S. Joshi
Publisher: Cambridge University Press
ISBN: 0521514088
Category : Business & Economics
Languages : en
Pages : 0
Get Book Here
Book Description
The second edition of a successful text providing the working knowledge needed to become a good quantitative analyst. An ideal introduction to mathematical finance, readers will gain a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice.
Author: Mark S. Joshi
Publisher: Cambridge University Press
ISBN: 0521514088
Category : Business & Economics
Languages : en
Pages : 0
Get Book Here
Book Description
The second edition of a successful text providing the working knowledge needed to become a good quantitative analyst. An ideal introduction to mathematical finance, readers will gain a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice.
Author: Ansgar Steland
Publisher: John Wiley & Sons
ISBN: 1118316568
Category : Business & Economics
Languages : en
Pages : 355
Get Book Here
Book Description
Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. Mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, it considers various aspects of the application of statistical methods in finance and illustrates some of the many ways that statistical tools are used in financial applications. Financial Statistics and Mathematical Finance: Provides an introduction to the basics of financial statistics and mathematical finance. Explains the use and importance of statistical methods in econometrics and financial engineering. Illustrates the importance of derivatives and calculus to aid understanding in methods and results. Looks at advanced topics such as martingale theory, stochastic processes and stochastic integration. Features examples throughout to illustrate applications in mathematical and statistical finance. Is supported by an accompanying website featuring R code and data sets. Financial Statistics and Mathematical Finance introduces the financial methodology and the relevant mathematical tools in a style that is both mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, both graduate students and researchers in statistics, finance, econometrics and business administration will benefit from this book.
Author: Mark Suresh Joshi
Publisher: Cambridge University Press
ISBN: 9780521823555
Category : Business & Economics
Languages : en
Pages : 496
Get Book Here
Book Description
For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with 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. Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems. 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.
Author: Christian Fries
Publisher: John Wiley & Sons
ISBN: 9780470179772
Category : Mathematics
Languages : en
Pages : 512
Get Book Here
Book Description
A balanced introduction to the theoretical foundations and real-world applications of mathematical finance The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this self-contained text applies theoretical concepts to real-world examples and introduces state-of-the-art, object-oriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models. Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful Motivation and Interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. In-depth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related Web site that features interactive Java experiments and exercises. While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries.
Author: Marek Capinski
Publisher: Springer
ISBN: 1852338466
Category : Business & Economics
Languages : en
Pages : 317
Get Book Here
Book Description
This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.
Author: R. J. Williams
Publisher: American Mathematical Society
ISBN: 1470460386
Category : Mathematics
Languages : en
Pages : 162
Get Book Here
Book Description
The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting. Tools from probability such as conditional expectation, filtration, (super)martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions.
Author: Martin Baxter
Publisher: Cambridge University Press
ISBN: 9780521552899
Category : Business & Economics
Languages : en
Pages : 252
Get Book Here
Book Description
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
Author: Mark Suresh Joshi
Publisher: Cambridge University Press
ISBN: 9780521832359
Category : Business & Economics
Languages : en
Pages : 220
Get Book Here
Book Description
Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.
Author: Mark Suresh Joshi
Publisher:
ISBN: 9780987122803
Category : Business & Economics
Languages : en
Pages : 484
Get Book Here
Book Description
The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst. "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
Author: Mark S. Joshi
Publisher: Cambridge University Press
ISBN: 1107042313
Category : Business & Economics
Languages : en
Pages : 327
Get Book Here
Book Description
This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.
