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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Probability & statistics

• Plný název: Concepts and Practice of Mathematical Finance
• Autor: Mark S. Joshi
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 558
• EAN: 9780521514088
• ISBN: 0521514088
• ID: 04092179
• Nakladatelství: Cambridge University Press
• Hmotnost: 1112 g
• Rozměry: 255 × 183 × 31 mm
• Datum vydání: 30. October 2008

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