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Book Cover
Book
Author Joshi, M. S. (Mark Suresh), 1969-

Title The Concepts and practice of mathematical finance / Mark S. Joshi
Published Cambridge, U.K. ; New York : Cambridge University Press, 2003

Copies

Location Call no. Vol. Availability
 MELB  332.0151 Jos/Cap  AVAILABLE
Description xvii, 473 pages : illustrations ; 26 cm
Series Mathematics, finance, and risk
Mathematics, finance, and risk.
Contents 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 -- App. A. Financial and mathematical jargon -- App. B. Computer projects -- App. C. Elements of probability theory -- App. D. Hints and answers to exercises
Bibliography Includes bibliographical references and index
Subject Derivative securities -- Prices -- Mathematical models.
Options (Finance) -- Prices -- Mathematical models.
Interest rates -- Mathematical models.
Finance -- Mathematical models.
Investments -- Mathematics.
Risk management -- Mathematical models.
LC no. 2003055594
ISBN 0521823552