The Concepts and Practice of Mathematical Finance » (2nd Edition)

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.

Second edition of successful text providing the working knowledge needed to become a good quantitative analyst.

1 Risk 1

2 Pricing methodologies and arbitrage 16

3 Trees and option pricing 44

4 Practicalities 73

5 The Ito calculus 97

6 Risk neutrality and martingale measures 127

7 The practical pricing of a European option 181

8 Continuous barrier options 202

9 Multi-look exotic options 222

10 Static replication 243

11 Multiple sources of risk 260

12 Options with early exercise features 284

13 Interest rate derivatives 300

14 The pricing of exotic interest rate derivatives 319

15 Incomplete markets and jump-diffusion processes 361

16 Stochastic volatility 389

17 Variance Gamma models 401

18 Smile dynamics and the pricing of exotic options 412

App. A Financial and mathematical jargon 429

App. B Computer projects 434

App. C Elements of probability theory 458

App. D Order notation 469

App. E Hints and answers to exercises 472

References 526

Index 533