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  The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) (Hardback) By (author) M.S. Joshi

  

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  Short Description for The Concepts and Practice of Mathematical FinanceSecond edition of successful text providing the working knowledge needed to become a good quantitative analyst.
  Full description

  • Publisher: CAMBRIDGE UNIVERSITY PRESS
  • Published: 30 November 2008
  • Format: Hardback 560 pages
  • See: Full bibliographic data
  • Categories: Finance | Probability & Statistics | Applied Mathematics
  • ISBN 13: 9780521514088 ISBN 10: 0521514088
  • Sales rank: 74,050

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Full description for The Concepts and Practice of Mathematical Finance

• 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.