This textbook by Mark S. Joshi provides the working knowledge needed to become a strong quantitative analyst. It clearly explains the intuition behind derivatives pricing, discusses model implementation and practical applications within the financial sector. The content covers various models such as Black-Scholes, stochastic volatility, and jump-diffusion.
Content and features
The text is intended for entry-level professionals in mathematical finance and offers an in-depth overview of theory and practice. It focuses on the LIBOR market model and different solution methods such as PDEs and martingales. This second edition includes extensive examples, more than 200 exercises with solutions, and additional material on probability theory and programming projects.
Product specifications
- Author: Mark S. Joshi (University of Melbourne)
- Publisher: Cambridge University Press
- Publication date: 2008-10-30
- Number of pages: 558
- ISBN: 9780521514088
- Subject: Finance and the finance industry
- BISAC: BUSINESS & ECONOMICS / Finance / General
About the author
Mark S. Joshi is Associate Professor at the University of Melbourne and specializes in financial mathematics. He combines academic knowledge with practical experience, including at the Royal Bank of Scotland, and is the author of various scholarly publications and books.