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More Mathematical Finance, by Mark Suresh Joshi
Download PDF More Mathematical Finance, by Mark Suresh Joshi
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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 1
Chapter 2. Where does the money go? 9
Chapter 3. The Bachelier model 23
Chapter 4. Deriving the Delta 29
Chapter 5. Volatility derivatives and model-free dynamic replication 33
Chapter 6. Credit derivatives 41
Chapter 7. The Monte Carlo pricing of portfolio credit derivatives 53
Chapter 8. Quasi-analytic methods for pricing portfolio credit derivatives 71
Chapter 9. Implied correlation for portfolio credit derivatives 81
Chapter 10. Alternate models for portfolio credit derivatives 93
Chapter 11. The non-commutativity of discretization 113
Chapter 12. What is a factor? 129
Chapter 13. Early exercise and Monte Carlo Simulation 151
Chapter 14. The Brownian bridge 175
Chapter 15. Quasi Monte Carlo Simulation 185
Chapter 16. Pricing continuous barrier options using a jump-diffusion model 207
Chapter 17. The Fourier-Laplace transform and option pricing 219
Chapter 18. The cos method 253
Chapter 19. What are market models? 265
Chapter 20. Discounting in market models 281
Chapter 21. Drifts again 293
Chapter 22. Adjoint and automatic Greeks 307
Chapter 23. Estimating correlation for the LIBOR market model 327
Chapter 24. Swap-rate market models 341
Chapter 25. Calibrating market models 363
Chapter 26. Cross-currency market models 389
Chapter 27. Mixture models 401
Chapter 28. The convergence of binomial trees 407
Chapter 29. Asymmetry in option pricing 433
Chapter 30. A perfect model? 443
Chapter 31. The fundamental theorem of asset pricing. 449
Appendix A. The discrete Fourier transform 457
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
- Sales Rank: #836085 in Books
- Brand: Brand: Pilot Whale Press
- Published on: 2011-09-01
- Original language: English
- Number of items: 1
- Dimensions: 10.00" h x 1.06" w x 7.01" l, 2.38 pounds
- Binding: Hardcover
- 502 pages
- Used Book in Good Condition
Most helpful customer reviews
4 of 4 people found the following review helpful.
Essential reading
By M. Staunton
Far too many math finance theory books have such a high ratio of complex equations and Ito calculus to words that they defy understanding - this is a wonderful antidote to such horrors
Instead, Mark starts with key building blocks such as the Black-Scholes and Merton jump diffusion models and builds a great depth of understanding by concentrating on the practical. Despite it's rather formal title "the non-commutativity of discretization", chapter 11 is thought-provoking and unique; similarly the chapters on Fourier transforms and the Cos method really do give so much insight into what's going on, yet in a way that students will find easy to grasp
If that's what Mark can do with material that others have developed, you can but imagine how good his chapters on the Libor Market model and the use of intensity gamma for credit derivatives are
And, unlike some authors of theory books,Mark also has a great feel for the numerical methods used to implement option pricing as the chapter on the convergence of binomial trees confirms
2 of 2 people found the following review helpful.
Excellent follow-on to Concepts!
By Andrew D.
This book is an excellent continuation from The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk).
The topics are varied, interesting, and relevant, all providing important insight into an area of financial maths. Sections can be read independently so you can jump straight into the topics which are most relevant to you and easily revise specific subject matter.
As usual, everything is written in the author's clear and easy to understand style. As well as presenting formal proofs of relevant theorems readers gain a practical understanding of why results hold and how they are used in the real world (numerical methods are particularly well covered).
In summary, this is an excellent book and well worth reading to continue your education in financial maths.
1 of 1 people found the following review helpful.
Another great book!!
By CA
I found More Mathematical Finance to be a wonderful follow up to Concepts. It covers a wide variety of not only interesting math finance problems, but also very practically relevant ones. Mark maintains his trademark style and makes potentially challenging concepts seem quite straightforward. In addition, the insights and intuition provided allowed me to obtain a really in depth understanding of the material presented.
I studied Concepts while at university and found it to be an extremely useful resource. I am now working in the city and have similarly found More Mathematical Finance to be very useful since I've had it. Many important aspects of market models not covered (or touched upon briefly) in Concepts are covered in great depth here. In addition, the chapter on early exercise and Monte Carlo is extremely clear and concise, and is one of the best descriptions of this difficult topic that I have found in the literature. Similarly for Quasi-Monte Carlo.
As mentioned above, it has been really helpful with work - I have just had to implement the pathwise method for LMM and found the chapter on adjoint methods to be a great resource. It went well beyond the algorithms needed and gave me a full appreciation of the topic as a whole and the subtleties involved which definitely helped me impress at work.
In summary, if you liked Concepts then you will find More Mathematical Finance very useful, particularly if you are working in industry or looking to study practically relevant problems. I cannot recommend it highly enough - definitely 5 stars!
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