MARC details
| 000 -LEADER |
|---|
| fixed length control field |
09572cam a2200457 i 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20221101232447.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
081209s2008 enka b 001 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
|---|
| LC control number |
2008026914 |
| 011 ## - LINKING LIBRARY OF CONGRESS CONTROL NUMBER [OBSOLETE] |
|---|
| Local cataloguing issues note |
BIB MATCHES WORLDCAT |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
0521514088 |
| Qualifying information |
hardback |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9780521514088 |
| Qualifying information |
hardback |
| 035 ## - SYSTEM CONTROL NUMBER |
|---|
| System control number |
(ATU)b11424813 |
| 035 ## - SYSTEM CONTROL NUMBER |
|---|
| System control number |
(OCoLC)232536726 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Description conventions |
rda |
| Transcribing agency |
DLC |
| Modifying agency |
YDXCP |
| -- |
C#P |
| -- |
BWX |
| -- |
CDX |
| -- |
UKM |
| -- |
BTCTA |
| -- |
BWK |
| -- |
ATU |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG6024.A3 |
| Item number |
J67 2008 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.0151 |
| Edition number |
22 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Joshi, M. S. |
| Fuller form of name |
(Mark Suresh), |
| Dates associated with a name |
1969- |
| Relator term |
author. |
| 9 (RLIN) |
253884 |
| 245 14 - TITLE STATEMENT |
|---|
| Title |
The concepts and practice of mathematical finance / |
| Statement of responsibility, etc. |
M.S. Joshi. |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
Second edition. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge ; |
| -- |
New York : |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2008. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xviii, 539 pages : |
| Other physical details |
illustrations ; |
| Dimensions |
26 cm. |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
|---|
| Media type term |
unmediated |
| Media type code |
n |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
volume |
| Carrier type code |
nc |
| Source |
rdacarrier |
| 490 1# - SERIES STATEMENT |
|---|
| Series statement |
Mathematics, finance and risk |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc. note |
Includes bibliographical references (pages 526-532) and index. |
| 505 00 - FORMATTED CONTENTS NOTE |
|---|
| Miscellaneous information |
1. |
| Title |
Risk -- |
| Miscellaneous information |
1.1 |
| Title |
What is risk? -- |
| Miscellaneous information |
1.2 |
| Title |
Market efficiency -- |
| Miscellaneous information |
1.3 |
| Title |
The most important assets -- |
| Miscellaneous information |
1.4 |
| Title |
Risk diversification and hedging -- |
| Miscellaneous information |
1.5 |
| Title |
The use of options -- |
| Miscellaneous information |
1.6 |
| Title |
Classifying market participants -- |
| Miscellaneous information |
2. |
| Title |
Pricing methodologies and arbitrage -- |
| Miscellaneous information |
2.1 |
| Title |
Some possible methodologies -- |
| Miscellaneous information |
2.2 |
| Title |
Delta hedging -- |
| Miscellaneous information |
2.3 |
| Title |
What is arbitrage? -- |
| Miscellaneous information |
2.4 |
| Title |
The assumptions of mathematical finance -- |
| Miscellaneous information |
2.5 |
| Title |
An example of arbitrage-free pricing -- |
| Miscellaneous information |
2.6 |
| Title |
The time value of money -- |
| Miscellaneous information |
2.7 |
| Title |
Mathematically defining arbitrage -- |
| Miscellaneous information |
2.8 |
| Title |
Using arbitrage to bound option prices -- |
| Miscellaneous information |
2.9 |
| Title |
Conclusion -- |
| Miscellaneous information |
3. |
| Title |
Trees and option pricing -- |
| Miscellaneous information |
3.1 |
| Title |
A two-world universe -- |
| Miscellaneous information |
3.2 |
| Title |
A three-state model -- |
| Miscellaneous information |
3.3 |
| Title |
Multiple time steps -- |
| Miscellaneous information |
3.4 |
| Title |
Many time steps -- |
| Miscellaneous information |
3.5 |
| Title |
A normal model -- |
| Miscellaneous information |
3.6 |
| Title |
Putting interest rates in -- |
| Miscellaneous information |
3.7 |
| Title |
A log-normal model -- |
| Miscellaneous information |
3.8 |
| Title |
Consequences -- |
| Miscellaneous information |
3.9 |
| Title |
Summary -- |
| Miscellaneous information |
4. |
| Title |
Practicalities -- |
| Miscellaneous information |
4.1 |
| Title |
Introduction -- |
| Miscellaneous information |
4.2 |
| Title |
Trading volatility -- |
| Miscellaneous information |
4.3 |
| Title |
Smiles -- |
| Miscellaneous information |
4.4 |
| Title |
The Greeks -- |
| Miscellaneous information |
4.5 |
| Title |
Alternative models -- |
| Miscellaneous information |
4.6 |
| Title |
Transaction costs -- |
| Miscellaneous information |
5. |
| Title |
The Ito calculus -- |
| Miscellaneous information |
5.1 |
| Title |
Introduction -- |
| Miscellaneous information |
5.2 |
| Title |
Brownian motion -- |
| Miscellaneous information |
5.3 |
| Title |
Quadratic variation -- |
| Miscellaneous information |
5.4 |
| Title |
Stochastic processes -- |
| Miscellaneous information |
5.5 |
| Title |
Ito's lemma -- |
| Miscellaneous information |
5.6 |
| Title |
Applying Ito's lemma -- |
| Miscellaneous information |
5.7 |
| Title |
An informal derivation of the Black-Scholes equation -- |
| Miscellaneous information |
5.8 |
| Title |
Justifying the derivation -- |
| Miscellaneous information |
5.9 |
| Title |
Solving the Black-Scholes equation -- |
| Miscellaneous information |
5.10 |
| Title |
Dividend-paying assets -- |
| Miscellaneous information |
6. |
| Title |
Risk neutrality and martingale measures -- |
| Miscellaneous information |
6.1 |
| Title |
Plan -- |
| Miscellaneous information |
6.2 |
| Title |
Introduction -- |
| Miscellaneous information |
6.3 |
| Title |
The existence of risk-neutral measures -- |
| Miscellaneous information |
6.4 |
| Title |
The concept of information -- |
| Miscellaneous information |
6.5 |
| Title |
Discrete martingale pricing -- |
| Miscellaneous information |
6.6 |
| Title |
Continuous martingales and filtrations -- |
| Miscellaneous information |
6.7 |
| Title |
Identifying continuous martingales -- |
| Miscellaneous information |
6.8 |
| Title |
Continuous martingale pricing -- |
| Miscellaneous information |
6.9 |
| Title |
Equivalence to the PDE method -- |
| Miscellaneous information |
6.10 |
| Title |
Hedging -- |
| Miscellaneous information |
6.11 |
| Title |
Time-dependent parameters -- |
| Miscellaneous information |
6.12 |
| Title |
Completeness and uniqueness -- |
| Miscellaneous information |
6.13 |
| Title |
Changing numeraire -- |
| Miscellaneous information |
6.14 |
| Title |
Dividend-paying assets -- |
| Miscellaneous information |
6.15 |
| Title |
Working with the forward -- |
| Miscellaneous information |
7. |
| Title |
The practical pricing of a European option -- |
| Miscellaneous information |
7.1 |
| Title |
Introduction -- |
| Miscellaneous information |
7.2 |
| Title |
Analytic formulae -- |
| Miscellaneous information |
7.3 |
| Title |
Trees -- |
| Miscellaneous information |
7.4 |
| Title |
Numerical integration -- |
| Miscellaneous information |
7.5 |
| Title |
Monte Carlo -- |
| Miscellaneous information |
7.6 |
| Title |
PDE methods -- |
| Miscellaneous information |
7.7 |
| Title |
Replication -- |
| Miscellaneous information |
8. |
| Title |
Continuous barrier options -- |
| Miscellaneous information |
8.1 |
| Title |
Introduction -- |
| Miscellaneous information |
8.2 |
| Title |
The PDE pricing of continuous barrier options -- |
| Miscellaneous information |
8.3 |
| Title |
Expectation pricing of continuous barrier options -- |
| Miscellaneous information |
8.4 |
| Title |
The reflection principle -- |
| Miscellaneous information |
8.5 |
| Title |
Girsanov's theorem revisited -- |
| Miscellaneous information |
8.6 |
| Title |
Joint distribution -- |
| Miscellaneous information |
8.7 |
| Title |
Pricing continuous barriers by expectation -- |
| Miscellaneous information |
8.8 |
| Title |
American digital options -- |
| Miscellaneous information |
9. |
| Title |
Multi-look exotic options -- |
| Miscellaneous information |
9.1 |
| Title |
Introduction -- |
| Miscellaneous information |
9.2 |
| Title |
Risk-neutral pricing for path-dependent options -- |
| Miscellaneous information |
9.3 |
| Title |
Weak path dependence -- |
| Miscellaneous information |
9.4 |
| Title |
Path generation and dimensionality reduction -- |
| Miscellaneous information |
9.5 |
| Title |
Moment matching -- |
| Miscellaneous information |
9.6 |
| Title |
Trees, PDEs and Asian options -- |
| Miscellaneous information |
9.7 |
| Title |
Practical issues in pricing multi-look options -- |
| Miscellaneous information |
9.8 |
| Title |
Greeks of multi-look options -- |
| Miscellaneous information |
10. |
| Title |
Static replication -- |
| Miscellaneous information |
10.1 |
| Title |
Introduction -- |
| Miscellaneous information |
10.2 |
| Title |
Continuous barrier options -- |
| Miscellaneous information |
10.3 |
| Title |
Discrete barriers -- |
| Miscellaneous information |
10.4 |
| Title |
Path-dependent exotic options -- |
| Miscellaneous information |
10.5 |
| Title |
The up-and-in put with barrier at strike -- |
| Miscellaneous information |
10.6 |
| Title |
Put-call symmetry -- |
| Miscellaneous information |
10.7 |
| Title |
Conclusion and further reading -- |
| Miscellaneous information |
11. |
| Title |
Multiple sources of risk -- |
| Miscellaneous information |
11.1 |
| Title |
Introduction -- |
| Miscellaneous information |
11.2 |
| Title |
Higher-dimensional Brownian motions -- |
| Miscellaneous information |
11.3 |
| Title |
The higher-dimensional Ito calculus -- |
| Miscellaneous information |
11.4 |
| Title |
The higher-dimensional Girsanov theorem -- |
| Miscellaneous information |
11.5 |
| Title |
Practical pricing -- |
| Miscellaneous information |
11.6 |
| Title |
The Margrabe option -- |
| Miscellaneous information |
11.7 |
| Title |
Quanto options -- |
| Miscellaneous information |
11.8 |
| Title |
Higher-dimensional trees -- |
| Miscellaneous information |
12. |
| Title |
Options with early exercise features -- |
| Miscellaneous information |
12.1 |
| Title |
Introduction -- |
| Miscellaneous information |
12.2 |
| Title |
The tree approach -- |
| Miscellaneous information |
12.3 |
| Title |
The PDE approach to American options -- |
| Miscellaneous information |
12.4 |
| Title |
American options by replication -- |
| Miscellaneous information |
12.5 |
| Title |
American options by Monte Carlo -- |
| Miscellaneous information |
12.6 |
| Title |
Upper bounds by Monte Carlo -- |
| Miscellaneous information |
13. |
| Title |
Interest rate derivatives -- |
| Miscellaneous information |
13.1 |
| Title |
Introduction -- |
| Miscellaneous information |
13.2 |
| Title |
The simplest instruments -- |
| Miscellaneous information |
13.3 |
| Title |
Caplets and swaptions -- |
| Miscellaneous information |
13.4 |
| Title |
Curves and more curves -- |
| Miscellaneous information |
14. |
| Title |
The pricing of exotic interest rate derivatives -- |
| Miscellaneous information |
14.1 |
| Title |
Introduction -- |
| Miscellaneous information |
14.2 |
| Title |
Decomposing an instrument into forward rates -- |
| Miscellaneous information |
14.3 |
| Title |
Computing the drift of a forward rate -- |
| Miscellaneous information |
14.4 |
| Title |
The instantaneous volatility curves -- |
| Miscellaneous information |
14.5 |
| Title |
The instantaneous correlations between forward rates -- |
| Miscellaneous information |
14.6 |
| Title |
Doing the simulation -- |
| Miscellaneous information |
14.7 |
| Title |
Rapid pricing of swaptions in a BGM model -- |
| Miscellaneous information |
14.8 |
| Title |
Automatic calibration to co-terminal swaptions -- |
| Miscellaneous information |
14.9 |
| Title |
Lower bounds for Bermudan swaptions -- |
| Miscellaneous information |
14.10 |
| Title |
Upper bounds for Bermudan swaptions -- |
| Miscellaneous information |
14.11 |
| Title |
Factor reduction and Bermudan swaptions -- |
| Miscellaneous information |
14.12 |
| Title |
Interest-rate smiles -- |
| Miscellaneous information |
15. |
| Title |
Incomplete markets and jump-diffusion processes -- |
| Miscellaneous information |
15.1 |
| Title |
Introduction -- |
| Miscellaneous information |
15.2 |
| Title |
Modelling jumps with a tree -- |
| Miscellaneous information |
15.3 |
| Title |
Modelling jumps in a continuous framework -- |
| Miscellaneous information |
15.4 |
| Title |
Market incompleteness -- |
| Miscellaneous information |
15.5 |
| Title |
Super- and sub-replication -- |
| Miscellaneous information |
15.6 |
| Title |
Choosing the measure and hedging exotic options -- |
| Miscellaneous information |
15.7 |
| Title |
Matching the market -- |
| Miscellaneous information |
15.8 |
| Title |
Pricing exotic options using jump-diffusion models -- |
| Miscellaneous information |
15.9 |
| Title |
Does the model matter? -- |
| Miscellaneous information |
15.10 |
| Title |
Log-type models -- |
| Miscellaneous information |
16. |
| Title |
Stochastic volatility -- |
| Miscellaneous information |
16.1 |
| Title |
Introduction -- |
| Miscellaneous information |
16.2 |
| Title |
Risk-neutral pricing with stochastic-volatility models -- |
| Miscellaneous information |
16.3 |
| Title |
Monte Carlo and stochastic volatility -- |
| Miscellaneous information |
16.4 |
| Title |
Hedging issues -- |
| Miscellaneous information |
16.5 |
| Title |
PDE pricing and transform methods -- |
| Miscellaneous information |
16.6 |
| Title |
Stochastic volatility smiles -- |
| Miscellaneous information |
16.7 |
| Title |
Pricing exotic options -- |
| Miscellaneous information |
17. |
| Title |
Variance Gamma models -- |
| Miscellaneous information |
17.1 |
| Title |
The Variance Gamma process -- |
| Miscellaneous information |
17.2 |
| Title |
Pricing options with Variance Gamma models -- |
| Miscellaneous information |
17.3 |
| Title |
Pricing exotic options with Variance Gamma models -- |
| Miscellaneous information |
17.4 |
| Title |
Deriving the properties -- |
| Miscellaneous information |
18. |
| Title |
Smile dynamics and the pricing of exotic options -- |
| Miscellaneous information |
18.1 |
| Title |
Introduction -- |
| Miscellaneous information |
18.2 |
| Title |
Smile dynamics in the market -- |
| Miscellaneous information |
18.3 |
| Title |
Dynamics implied by models -- |
| Miscellaneous information |
18.4 |
| Title |
Matching the smile to the model -- |
| Miscellaneous information |
18.5 |
| Title |
Hedging -- |
| Miscellaneous information |
18.6 |
| Title |
Matching the model to the product -- |
| Miscellaneous information |
Appendix A |
| Title |
Financial and mathematical jargon -- |
| Miscellaneous information |
Appendix B |
| Title |
Computer projects -- |
| Miscellaneous information |
B.1 |
| Title |
Introduction -- |
| Miscellaneous information |
B.2 |
| Title |
Two important functions -- |
| Miscellaneous information |
B.3 |
| Title |
Project 1: Vanilla options in a Black-Scholes world -- |
| Miscellaneous information |
B.4 |
| Title |
Project 2: Vanilla Greeks -- |
| Miscellaneous information |
B.5 |
| Title |
Project 3: Hedging -- |
| Miscellaneous information |
B.6 |
| Title |
Project 4: Recombining trees -- |
| Miscellaneous information |
B.7 |
| Title |
Project 5: Exotic options by Monte Carlo -- |
| Miscellaneous information |
B.8 |
| Title |
Project 6: Using low-discrepancy numbers -- |
| Miscellaneous information |
B.9 |
| Title |
Project 7: Replication models for continuous barrier options -- |
| Miscellaneous information |
B.10 |
| Title |
Project 8: Multi-asset options -- |
| Miscellaneous information |
B.11 |
| Title |
Project 9: Simple interest-rate derivative pricing -- |
| Miscellaneous information |
B.12 |
| Title |
Project 10: LIBOR-in-arrears -- |
| Miscellaneous information |
B.13 |
| Title |
Project 11: BGM -- |
| Miscellaneous information |
B.14 |
| Title |
Project 12: Jump-diffusion models -- |
| Miscellaneous information |
B.15 |
| Title |
Project 13: Stochastic volatility -- |
| Miscellaneous information |
B.16 |
| Title |
Project 14: Variance Gamma -- |
| Miscellaneous information |
Appendix C |
| Title |
Elements of probability theory -- |
| Miscellaneous information |
C.1 |
| Title |
Definitions -- |
| Miscellaneous information |
C.2 |
| Title |
Expectations and moments -- |
| Miscellaneous information |
C.3 |
| Title |
Joint density and distribution functions -- |
| Miscellaneous information |
C.4 |
| Title |
Covariances and correlations -- |
| Miscellaneous information |
Appendix D |
| Title |
Order notation -- |
| Miscellaneous information |
D.1 |
| Title |
Big O -- |
| Miscellaneous information |
D.2 |
| Title |
Small o. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
"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."--Publisher. |
| 588 ## - SOURCE OF DESCRIPTION NOTE |
|---|
| Source of description note |
Machine converted from AACR2 source record. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Derivative securities |
| General subdivision |
Prices |
| -- |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Options (Finance) |
| General subdivision |
Prices |
| -- |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Interest rates |
| General subdivision |
Mathematical models |
| 9 (RLIN) |
718009 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
370807 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Investments |
| General subdivision |
Mathematics |
| 9 (RLIN) |
319550 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Risk management |
| General subdivision |
Mathematical models |
| 9 (RLIN) |
717451 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Mathematics, finance, and risk. |
| 9 (RLIN) |
1054152 |
| 907 ## - LOCAL DATA ELEMENT G, LDG (RLIN) |
|---|
| a |
.b11424813 |
| b |
28-09-17 |
| c |
27-10-15 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Koha item type |
Book |
| 945 ## - LOCAL PROCESSING INFORMATION (OCLC) |
|---|
| a |
332.0151 JOS |
| g |
1 |
| i |
A433001B |
| j |
0 |
| l |
cmain |
| o |
- |
| p |
$116.95 |
| q |
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| r |
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| t |
0 |
| u |
12 |
| v |
0 |
| w |
0 |
| x |
4 |
| y |
.i12871400 |
| z |
29-10-15 |
| 998 ## - LOCAL CONTROL INFORMATION (RLIN) |
|---|
| -- |
(2)b |
| -- |
(2)c |
| Operator's initials, OID (RLIN) |
06-04-16 |
| Cataloger's initials, CIN (RLIN) |
m |
| First date, FD (RLIN) |
a |
| -- |
eng |
| -- |
enk |
| -- |
4 |
