The Concepts and Practice of Mathematical Finance

Preface; Acknowledgements; 1. Risk; 2. Pricing methodologies and arbitrage; 3. Trees and option pricing; 4. Practicalities; 5. The Ito calculus; 6. Risk neutrality and martingale measures; 7. The practical pricing of a European option; 8. Continuous barrier options; 9. Multi-look exotic options; 10. Static replication; 11. Multiple sources of risk; 12. Options with early exercise features; 13. Interest rate derivatives; 14. The pricing of exotic interest rate derivatives; 15. Incomplete markets and jump-diffusion processes; 16. Stochastic volatility; 17. Variance gamma models; 18. Smile dynamics and the pricing of exotic options; Appendix A. Financial and mathematical jargon; Appendix B. Computer projects; Appendix C. Elements of probability theory; Appendix D. Hints and answers to exercises; Bibliography; Index.

Joshi, Mark S.
Mark S. Joshi is an Associate Professor in the Centre for Actuarial Studies at the University of Melbourne. He has wide experience of teaching courses in financial mathematics and has previously held posts at the University of Cambridge and at Royal Bank of Scotland Group Risk Management. In February 2004 he was appointed Head of Quantitative Research Centre (QUARC) at RBS. He is the author of two books and numerous papers on both financial and pure mathematics, and has been an invited speaker at many international conferences.

'The book is intended as an introduction for a numerate person to the discipline of mathematical finance. In this, Mark Joshi succeeds admirably - an excellent starting point for a numerate person in the field of mathematical finance.' Risk Magazine ' ... ideal for those who want to learn or deepen their knowledge about Quantitative Finance ... The breadth of the book particularly impressed me. It went from theoretical to practical, while covering implementation-related issues. It makes concepts such as Martingales, Measures and Numeraires look so natural and easy. Pricing Quantos or Spread-Options becomes an innate result of these concepts.' Wilmott Magzine The author allows the reader as often as possible to get an intuition for the models and concepts. Helpful information is given on how to use and implement these models and concepts in practical terms. This practice-orientation makes this book different from others belonging to this category ... the text is also well suited as a textbook for a quantitative-oriented introductory course on finance at universities or other academic institutions ... one can say that this introductory book in offering a well balanced and up-to-date introduction to the theory and practice of mathematical finance overshadows many other books available on the same subject.' Zentralblatt MATH 'The book has been very nicely produced by Cambridge University Press. I would certainly recommend that anyone teaching an introductory or intermediate course on this topic seriously consider this book as a potential course text.' International Statistical Institute 'Very few books provide a balance between financial theory and practice. This book is one of the few that strikes that balance ... certainly a good addition to your collection of financial mathematics books.' SIAM Review 'The set-up of this book certainly meets the needs of the audience for whom this book is written. Moreover, the author brings the material in a very comprehensive way