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008			081209s2008 enka b 001 0 eng d
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011			_aBIB MATCHES WORLDCAT
020			_a0521514088 _qhardback
020			_a9780521514088 _qhardback
035			_a(ATU)b11424813
035			_a(OCoLC)232536726
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050	0	0	_aHG6024.A3 _bJ67 2008
082	0	0	_a332.0151 _222
100	1		_aJoshi, M. S. _q(Mark Suresh), _d1969- _eauthor. _9253884
245	1	4	_aThe concepts and practice of mathematical finance / _cM.S. Joshi.
250			_aSecond edition.
264		1	_aCambridge ; _aNew York : _bCambridge University Press, _c2008.
300			_axviii, 539 pages : _billustrations ; _c26 cm.
336			_atext _btxt _2rdacontent
337			_aunmediated _bn _2rdamedia
338			_avolume _bnc _2rdacarrier
490	1		_aMathematics, finance and risk
504			_aIncludes bibliographical references (pages 526-532) and index.
505	0	0	_g1. _tRisk -- _g1.1 _tWhat is risk? -- _g1.2 _tMarket efficiency -- _g1.3 _tThe most important assets -- _g1.4 _tRisk diversification and hedging -- _g1.5 _tThe use of options -- _g1.6 _tClassifying market participants -- _g2. _tPricing methodologies and arbitrage -- _g2.1 _tSome possible methodologies -- _g2.2 _tDelta hedging -- _g2.3 _tWhat is arbitrage? -- _g2.4 _tThe assumptions of mathematical finance -- _g2.5 _tAn example of arbitrage-free pricing -- _g2.6 _tThe time value of money -- _g2.7 _tMathematically defining arbitrage -- _g2.8 _tUsing arbitrage to bound option prices -- _g2.9 _tConclusion -- _g3. _tTrees and option pricing -- _g3.1 _tA two-world universe -- _g3.2 _tA three-state model -- _g3.3 _tMultiple time steps -- _g3.4 _tMany time steps -- _g3.5 _tA normal model -- _g3.6 _tPutting interest rates in -- _g3.7 _tA log-normal model -- _g3.8 _tConsequences -- _g3.9 _tSummary -- _g4. _tPracticalities -- _g4.1 _tIntroduction -- _g4.2 _tTrading volatility -- _g4.3 _tSmiles -- _g4.4 _tThe Greeks -- _g4.5 _tAlternative models -- _g4.6 _tTransaction costs -- _g5. _tThe Ito calculus -- _g5.1 _tIntroduction -- _g5.2 _tBrownian motion -- _g5.3 _tQuadratic variation -- _g5.4 _tStochastic processes -- _g5.5 _tIto's lemma -- _g5.6 _tApplying Ito's lemma -- _g5.7 _tAn informal derivation of the Black-Scholes equation -- _g5.8 _tJustifying the derivation -- _g5.9 _tSolving the Black-Scholes equation -- _g5.10 _tDividend-paying assets -- _g6. _tRisk neutrality and martingale measures -- _g6.1 _tPlan -- _g6.2 _tIntroduction -- _g6.3 _tThe existence of risk-neutral measures -- _g6.4 _tThe concept of information -- _g6.5 _tDiscrete martingale pricing -- _g6.6 _tContinuous martingales and filtrations -- _g6.7 _tIdentifying continuous martingales -- _g6.8 _tContinuous martingale pricing -- _g6.9 _tEquivalence to the PDE method -- _g6.10 _tHedging -- _g6.11 _tTime-dependent parameters -- _g6.12 _tCompleteness and uniqueness -- _g6.13 _tChanging numeraire -- _g6.14 _tDividend-paying assets -- _g6.15 _tWorking with the forward -- _g7. _tThe practical pricing of a European option -- _g7.1 _tIntroduction -- _g7.2 _tAnalytic formulae -- _g7.3 _tTrees -- _g7.4 _tNumerical integration -- _g7.5 _tMonte Carlo -- _g7.6 _tPDE methods -- _g7.7 _tReplication -- _g8. _tContinuous barrier options -- _g8.1 _tIntroduction -- _g8.2 _tThe PDE pricing of continuous barrier options -- _g8.3 _tExpectation pricing of continuous barrier options -- _g8.4 _tThe reflection principle -- _g8.5 _tGirsanov's theorem revisited -- _g8.6 _tJoint distribution -- _g8.7 _tPricing continuous barriers by expectation -- _g8.8 _tAmerican digital options -- _g9. _tMulti-look exotic options -- _g9.1 _tIntroduction -- _g9.2 _tRisk-neutral pricing for path-dependent options -- _g9.3 _tWeak path dependence -- _g9.4 _tPath generation and dimensionality reduction -- _g9.5 _tMoment matching -- _g9.6 _tTrees, PDEs and Asian options -- _g9.7 _tPractical issues in pricing multi-look options -- _g9.8 _tGreeks of multi-look options -- _g10. _tStatic replication -- _g10.1 _tIntroduction -- _g10.2 _tContinuous barrier options -- _g10.3 _tDiscrete barriers -- _g10.4 _tPath-dependent exotic options -- _g10.5 _tThe up-and-in put with barrier at strike -- _g10.6 _tPut-call symmetry -- _g10.7 _tConclusion and further reading -- _g11. _tMultiple sources of risk -- _g11.1 _tIntroduction -- _g11.2 _tHigher-dimensional Brownian motions -- _g11.3 _tThe higher-dimensional Ito calculus -- _g11.4 _tThe higher-dimensional Girsanov theorem -- _g11.5 _tPractical pricing -- _g11.6 _tThe Margrabe option -- _g11.7 _tQuanto options -- _g11.8 _tHigher-dimensional trees -- _g12. _tOptions with early exercise features -- _g12.1 _tIntroduction -- _g12.2 _tThe tree approach -- _g12.3 _tThe PDE approach to American options -- _g12.4 _tAmerican options by replication -- _g12.5 _tAmerican options by Monte Carlo -- _g12.6 _tUpper bounds by Monte Carlo -- _g13. _tInterest rate derivatives -- _g13.1 _tIntroduction -- _g13.2 _tThe simplest instruments -- _g13.3 _tCaplets and swaptions -- _g13.4 _tCurves and more curves -- _g14. _tThe pricing of exotic interest rate derivatives -- _g14.1 _tIntroduction -- _g14.2 _tDecomposing an instrument into forward rates -- _g14.3 _tComputing the drift of a forward rate -- _g14.4 _tThe instantaneous volatility curves -- _g14.5 _tThe instantaneous correlations between forward rates -- _g14.6 _tDoing the simulation -- _g14.7 _tRapid pricing of swaptions in a BGM model -- _g14.8 _tAutomatic calibration to co-terminal swaptions -- _g14.9 _tLower bounds for Bermudan swaptions -- _g14.10 _tUpper bounds for Bermudan swaptions -- _g14.11 _tFactor reduction and Bermudan swaptions -- _g14.12 _tInterest-rate smiles -- _g15. _tIncomplete markets and jump-diffusion processes -- _g15.1 _tIntroduction -- _g15.2 _tModelling jumps with a tree -- _g15.3 _tModelling jumps in a continuous framework -- _g15.4 _tMarket incompleteness -- _g15.5 _tSuper- and sub-replication -- _g15.6 _tChoosing the measure and hedging exotic options -- _g15.7 _tMatching the market -- _g15.8 _tPricing exotic options using jump-diffusion models -- _g15.9 _tDoes the model matter? -- _g15.10 _tLog-type models -- _g16. _tStochastic volatility -- _g16.1 _tIntroduction -- _g16.2 _tRisk-neutral pricing with stochastic-volatility models -- _g16.3 _tMonte Carlo and stochastic volatility -- _g16.4 _tHedging issues -- _g16.5 _tPDE pricing and transform methods -- _g16.6 _tStochastic volatility smiles -- _g16.7 _tPricing exotic options -- _g17. _tVariance Gamma models -- _g17.1 _tThe Variance Gamma process -- _g17.2 _tPricing options with Variance Gamma models -- _g17.3 _tPricing exotic options with Variance Gamma models -- _g17.4 _tDeriving the properties -- _g18. _tSmile dynamics and the pricing of exotic options -- _g18.1 _tIntroduction -- _g18.2 _tSmile dynamics in the market -- _g18.3 _tDynamics implied by models -- _g18.4 _tMatching the smile to the model -- _g18.5 _tHedging -- _g18.6 _tMatching the model to the product -- _gAppendix A _tFinancial and mathematical jargon -- _gAppendix B _tComputer projects -- _gB.1 _tIntroduction -- _gB.2 _tTwo important functions -- _gB.3 _tProject 1: Vanilla options in a Black-Scholes world -- _gB.4 _tProject 2: Vanilla Greeks -- _gB.5 _tProject 3: Hedging -- _gB.6 _tProject 4: Recombining trees -- _gB.7 _tProject 5: Exotic options by Monte Carlo -- _gB.8 _tProject 6: Using low-discrepancy numbers -- _gB.9 _tProject 7: Replication models for continuous barrier options -- _gB.10 _tProject 8: Multi-asset options -- _gB.11 _tProject 9: Simple interest-rate derivative pricing -- _gB.12 _tProject 10: LIBOR-in-arrears -- _gB.13 _tProject 11: BGM -- _gB.14 _tProject 12: Jump-diffusion models -- _gB.15 _tProject 13: Stochastic volatility -- _gB.16 _tProject 14: Variance Gamma -- _gAppendix C _tElements of probability theory -- _gC.1 _tDefinitions -- _gC.2 _tExpectations and moments -- _gC.3 _tJoint density and distribution functions -- _gC.4 _tCovariances and correlations -- _gAppendix D _tOrder notation -- _gD.1 _tBig O -- _gD.2 _tSmall o.
520			_a"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			_aMachine converted from AACR2 source record.
650		0	_aDerivative securities _xPrices _xMathematical models.
650		0	_aOptions (Finance) _xPrices _xMathematical models.
650		0	_aInterest rates _xMathematical models _9718009
650		0	_aFinance _xMathematical models. _9370807
650		0	_aInvestments _xMathematics _9319550
650		0	_aRisk management _xMathematical models _9717451
830		0	_aMathematics, finance, and risk. _91054152
907			_a.b11424813 _b28-09-17 _c27-10-15
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