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Description of The Concepts and Practice of Mathematical Finance |
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.
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Contents of The Concepts and Practice of Mathematical Finance |
Preface
1. Risk
2. Pricing methodologies and arbitrage
3. Trees and option pricing
4. Practicalities
5. The Ito calculus
6. Risk neutrality and Martingale measures
7. The practical pricing of a European option
8. Continuous barrier options
9. Multi-look exotic options
10. Static replication
11. Multiple sources of risk
12. Options with early exercise features
13. Interest rate derivatives
14. The pricing of exotic interest rate derivatives
15. Incomplete markets and jump-diffusion processes
16. Stochastic volatility
17. Variance gamma models
18. Smile dynamics and the pricing of exotic options
Appendix A. Financial and mathematical jargon
Appendix B. Computer projects
Appendix C. Elements of probability theory
Appendix D. Hints and answers to questions
Bibliography
Index
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About Mark Joshi |
Mark Joshi is the Head of Model Evaluation in the Quantitative Research Centre of Group Risk Management - his works involve managing projects within the QUARC team, as well as personally developing and implementing mathematical solutions to quantitative problems across the function.
Mark's largest focus is derivatives' pricing and he has published several research papers in mathematical finance journals. He is also a regular speaker at industry conferences including Risk Europe 2003, the ICBI Risk Management Conference 2003, Maths Week 2000 and 2001, and Quantitative Finance 2002.
Mark studied for a BA in mathematics at Hertford College, Oxford University, from 1987 to 1990 and was awarded the University Prize for his finals results.
Following this, he went to MIT where he gained a PhD in the theory of partial differential equations in May 1994. He taught mathematics in the Department of Pure Mathematics and Mathematical Statistics, University of Cambridge, from 1994 to 1999 where he was the youngest lecturer. During his time there, he wrote and published over twenty papers in pure mathematics
journals.
He joined (NatWest) Group Risk in 1999 as a senior quantitative analyst in July 1999, was promoted to team leader in January 2001, and was appointed Head of Model Evaluation in September 2001.
He can often be found wandering the Wilmott.com forums as MJ.
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