The Concepts and Practice of Mathematical Finance

出版者:Cambridge University Press

作者:Mark S. Joshi

页数:558

出版时间:2008-11-17

价格:USD 98.00

装帧:Hardcover

isbn号码:9780521514088

图书标签:quant金融数学金融/金融工程金融金融工程financeFinanceOptions,

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. This second edition contains many more worked examples and over 200 exercises with detailed solutions. Extensive appendices provide a guide to jargon, a recap of the elements of probability theory, and a collection of computer projects. The author brings to this book a blend of practical experience and rigorous mathematical background and supplies here the working knowledge needed to become a good quantitative analyst.

用户评价

A unique way for the mathematician to avenge the boredom of society.

我来考古，这书几百年没看过了，不是这专业谁看这种书啊，还有刷题的怀疑人生

适合和红皮书题集一起刷 能看出Joshi的个人思路一脉相承!

适合和红皮书题集一起刷 能看出Joshi的个人思路一脉相承!

适合和红皮书题集一起刷 能看出Joshi的个人思路一脉相承!