The concepts and practice of mathematical finance

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The concepts and practice of mathematical finance / M.S. Joshi

版:: 2nd ed
資料種別:: 図書
出版情報:: Cambridge : Cambridge University Press, 2008
形態:: xviii, 539 p. ; 26 cm
シリーズ名:: Mathematics, finance, and risk / editorial board, Mark Broadie ... [et al.] <BA6539462X>
著者名:: Joshi, M. S.
ISBN:: 9780521514088 [0521514088] (: hardback)
書誌ID:: BA88005873

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注記:

Includes bibliographical references (p. 526-532) and index

主題:

Derivative securities--Prices--Mathematical models; Finance--Mathematical models; Interest rates--Mathematical models; Investments--Mathematics; Options (Finance)--Prices--Mathematical models; Risk management--Mathematical models

言語:

英語

目次情報:

Preface

Acknowledgements

Risk / 1：

Pricing methodologies and arbitrage / 2：

Trees and option pricing / 3：

Practicalities / 4：

The Ito calculus / 5：

Risk neutrality and martingale measures / 6：

The practical pricing of a European option / 7：

Continuous barrier options / 8：

Multi-look exotic options / 9：

Static replication / 10：

Multiple sources of risk / 11：

Options with early exercise features / 12：

Interest rate derivatives / 13：

The pricing of exotic interest rate derivatives / 14：

Incomplete markets and jump-diffusion processes / 15：

Stochastic volatility / 16：

Variance gamma models / 17：

Smile dynamics and the pricing of exotic options / 18：

Financial and mathematical jargon / Appendix A：

Computer projects / Appendix B：

Elements of probability theory / Appendix C：

Hints and answers to exercises / Appendix D：

Bibliography

Index

Preface

Acknowledgements

Risk / 1：

Pricing methodologies and arbitrage / 2：

Trees and option pricing / 3：

Practicalities / 4：

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