The Concepts and practice of mathematical finance / M S Joshi

By:

Joshi, M S

Material type: Text

TextPublication details: Cambridge : Cambridge University Press, 2010Edition: 2nd edDescription: xvii, 539 p. 25 cmISBN:

9780521514088

Subject(s):

DDC classification:

332.0151 JOS

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Book	Jammu	332.6 JOS (Browse shelf(Opens below))	Available		IIMLJ-2234

Total holds: 0

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.

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