More Mathematical Finance
Owner: MoneyScience Books
Description:
Praise for the Concepts and Practice of Mathematical Finance:
"overshadows many other books available on the same subject" -- ZentralBlatt Math
"Mark Joshi succeeds admirably - an excellent starting point for a numerate person in the field of mathematical finance." -- Risk Magazine
"Very few books provide a balance between financial theory and practice. This book is one of the few books that strikes that balance." -- SIAM Review
The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst.
"More Mathematical Finance" is Mark Joshi's fourth book. His previous books including "C++ Design Patterns and Derivatives Pricing" and "Quant Job Interview Questions and Answers" have proven to be indispensable for individuals seeking to become quantitative analysts. His new book continues this trend with a clear exposition of a range of models and techniques in the field of derivatives pricing. Each chapter is accompanied by a set of exercises. These are of a variety of types including simple proofs, complicated derivations and computer projects.
Chapter 1. Optionality, convexity and volatility
Chapter 2. Where does the money go?
Chapter 3. The Bachelier model
Chapter 4. Deriving the Delta
Chapter 5. Volatility derivatives and model-free dynamic replication
Chapter 6. Credit derivatives
Chapter 7. The Monte Carlo pricing of portfolio credit derivatives
Chapter 8. Quasi-analytic methods for pricing portfolio credit derivatives
Chapter 9. Implied correlation for portfolio credit derivatives
Chapter 10. Alternate models for portfolio credit derivatives
Chapter 11. The non-commutativity of discretization
Chapter 12. What is a factor?
Chapter 13. Early exercise and Monte Carlo Simulation
Chapter 14. The Brownian bridge
Chapter 15. Quasi Monte Carlo Simulation
Chapter 16. Pricing continuous barrier options using a jump-diffusion model
Chapter 17. The Fourier-Laplace transform and option pricing
Chapter 18. The cos method
Chapter 19. What are market models?
Chapter 20. Discounting in market models
Chapter 21. Drifts again
Chapter 22. Adjoint and automatic Greeks
Chapter 23. Estimating correlation for the LIBOR market model
Chapter 24. Swap-rate market models
Chapter 25. Calibrating market models
Chapter 26. Cross-currency market models
Chapter 27. Mixture models
Chapter 28. The convergence of binomial trees
Chapter 29. Asymmetry in option pricing
Chapter 30. A perfect model?
Chapter 31. The fundamental theorem of asset pricing.
Appendix A. The discrete Fourier transform
Brief description: "overshadows many other books available on the same subject" -- ZentralBlatt Math
Tags: mark joshi, optionality, convexity, volatility, the bachelier model, deriving the delta, volatility derivatives, model-free dynamic replication, credit derivatives, the monte carlo pricing of portfolio credit derivatives, quasi-analytic methods for pricing portfolio credit derivatives, implied correlation for portfolio credit derivatives, alternate models for portfolio credit derivatives, the non-commutativity of discretization, early exercise, monte carlo simulation, the brownian bridge, pricing continuous barrier options using a jump-diffusion model, the fourier-laplace transform and option pricing, the cos method, discounting in market models, drifts again, adjoint grreks, automatic greeks, estimating correlation for the libor market model, swap-rate market models, calibrating market models, cross-currency market models, mixture models, the convergence of binomial trees, asymmetry in option pricing, fundamental theorem of asset pricing, discrete fourier transform
