- Hardcover: 492 pages
- Publisher: Cambridge University Press; illustrated edition edition (8 Dec 2003)
- Language English
- ISBN-10: 0521823552
- ISBN-13: 978-0521823555
- Product Dimensions: 25 x 18 x 3 cm
- Average Customer Review: 4.9 out of 5 stars See all reviews (8 customer reviews)
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Amazon Bestsellers Rank:
336,775 in Books (See Top 100 in Books)
- #58 in Books > Business, Finance & Law > Personal Finance > Technical Analysis
- See Complete Table of Contents
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Review
'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
'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
'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 leading to new or better insights in several aspects of the material. An innovation is that besides worked out examples and exercises, a list of computer projects are included which encourage the reader to implement the models. This certainly adds to the learning process.' Kwantitatieve Methoden
'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
'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 leading to new or better insights in several aspects of the material. An innovation is that besides worked out examples and exercises, a list of computer projects are included which encourage the reader to implement the models. This certainly adds to the learning process.' Kwantitatieve Methoden
Product Description
For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with 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. Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems. 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.
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First Sentence
It is arguable that risk is the key concept in modern finance. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
It is arguable that risk is the key concept in modern finance. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
27 of 28 people found the following review helpful:
5.0 out of 5 stars
Outstanding book in a crowded field,
By A Customer
This review is from: The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) (Hardcover)
In recent years bookshelves (and readers) have groaned under the weight of new First Courses in Mathematical Finance. There is, of course, a huge overlap in content and it is no easy task to write a book which is both better than its predecessors and genuinely novel. In both tasks Mark Joshi has succeeded admirably: this book deserves to become the leader in its field.Finding the right level of mathematical sophistication is a difficult balancing act in which it is impossible to please all readers. Here, the author has had a clear vision that the principal audience is the practising or potential quantitative analyst (or quant) and writes accordingly; it is impossible to do better than taking an approach of this sort. Such a quant must have a certain minimum level of mathematical background (a good degree in a numerate discipline). By definition, this has to be assumed for a decent understanding of the material, but the author always has an eye on what a quant really needs to know. Integrated into this mathematical work is a good deal of information about how markets, banks and other corporations operate in practice, not found in more academically-oriented books. The first half of the book includes the core material found in any decent first course on the subject including basic stochastic calculus, pricing of European options through discounted expectation under a risk-neutral measure, the Black-Scholes differential equation and so forth. Where this book really stands out, however, is the exceptional clarity with which the key concepts are separated. Not only are three different ways for deriving the Black-Scholes formula presented (through PDEs, expectation, and the limit of discrete tree-models) ; much more significantly, the different roles played by hedging, replication and equivalent martingale measures in enforcing a price are made crystal clear. In whatever way you already think about this material, you will almost certainly come away with something new from reading this treatment. In my case, for example, I gained a much greater understanding of why “risk-neutral” pricing is so called. The second half of the book, roughly speaking, covers a selection of more sophisticated material. The major areas covered include interest-rate derivatives and models; and more complicated models for stock price evolution (such as stochastic-volatility, jump-diffusion and variance-gamma) that have been proposed to correct inadequacies in the Black-Scholes model such as its failure to explain market smiles. Once the core ideas have been so thoroughly explained in the first half, a great deal of interesting and diverse material can be covered rapidly yet with a great deal of clarity and coherence, relating the new models to core ideas such as uniqueness of prices and hedging issues. Those with quantitative finance experience are still likely to find a good deal that is new and worthwhile in this book. And if you a thinking about becoming a quant, I cannot think of a better book to read first.
10 of 10 people found the following review helpful:
5.0 out of 5 stars
A fantastic book from which to learn,
By
This review is from: The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) (Hardcover)
Anyone who has started, or is thinking of starting, a career as a quant should read this book. If you buy it, and its sister publication "C++ Design Patterns and Derivatives Pricing", there is no need to buy Hull, or Wilmott, or any other introductory financial mathematics book. It manages to engage the mathematical interest of the reader, without ever loosing its pace and focus; learning from it is a genuine pleasure.Each chapter concludes with a set of exercises, all of which are pitched at precisely the right level. Having started reading both Hull's book "Options, futures and other derivatives" and Wilmott et al "The mathematics of financial derivatives: a student introduction", I found the speed at which I was able to absorb the mathematics doubled after switching to this book - an impressive feat. It was recommended to me by a senior member of our quant team, who claims the book contains much that is new and of interest to those with many years experience in financial mathematics. I thoroughly recommend reading it.
6 of 6 people found the following review helpful:
5.0 out of 5 stars
The most lucid introduction to quantitative finance so far,
By
This review is from: The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) (Hardcover)
There's a host of books on quantitative finance basics out there these days - but this one really stands out.Joshi brilliantly succeeds in conveying the ideas and intuitions underlying the theory, using equations where necessary to clarify his points, but without confusing the issues with a jumble of marginally relevant math. This is lucidity and simplicity that comes of true mastery - what a contrast to, say, Hull, who tries to cover every base hastily, and as a result comes over as tangled and confusing (in my opinion).
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