Free Download More Mathematical Finance
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Book Details :
Published on: 2011-09-01
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Original language: English
The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst. "More Mathematical Finance" is Mark Joshi's fourth book. His previous books including "C++ Design Patterns and Derivatives Pricing" and "Quant Job Interview Questions and Answers" have proven to be indispensable for individuals seeking to become quantitative analysts. His new book continues this trend with a clear exposition of a range of models and techniques in the field of derivatives pricing. Each chapter is accompanied by a set of exercises. These are of a variety of types including simple proofs, complicated derivations and computer projects. Chapter 1. Optionality, convexity and volatility 1 Chapter 2. Where does the money go 9 Chapter 3. The Bachelier model 23 Chapter 4. Deriving the Delta 29 Chapter 5. Volatility derivatives and model-free dynamic replication 33 Chapter 6. Credit derivatives 41 Chapter 7. The Monte Carlo pricing of portfolio credit derivatives 53 Chapter 8. Quasi-analytic methods for pricing portfolio credit derivatives 71 Chapter 9. Implied correlation for portfolio credit derivatives 81 Chapter 10. Alternate models for portfolio credit derivatives 93 Chapter 11. The non-commutativity of discretization 113 Chapter 12. What is a factor 129 Chapter 13. Early exercise and Monte Carlo Simulation 151 Chapter 14. The Brownian bridge 175 Chapter 15. Quasi Monte Carlo Simulation 185 Chapter 16. Pricing continuous barrier options using a jump-diffusion model 207 Chapter 17. The Fourier-Laplace transform and option pricing 219 Chapter 18. The cos method 253 Chapter 19. What are market models 265 Chapter 20. Discounting in market models 281 Chapter 21. Drifts again 293 Chapter 22. Adjoint and automatic Greeks 307 Chapter 23. Estimating correlation for the LIBOR market model 327 Chapter 24. Swap-rate market models 341 Chapter 25. Calibrating market models 363 Chapter 26. Cross-currency market models 389 Chapter 27. Mixture models 401 Chapter 28. The convergence of binomial trees 407 Chapter 29. Asymmetry in option pricing 433 Chapter 30. A perfect model 443 Chapter 31. The fundamental theorem of asset pricing. 449 Appendix A. The discrete Fourier transform 457 Praise for the Concepts and Practice of Mathematical Finance: "overshadows many other books available on the same subject" -- ZentralBlatt Math "Mark Joshi succeeds admirably - an excellent starting point for a numerate person in the field of mathematical finance." -- Risk Magazine "Very few books provide a balance between financial theory and practice. This book is one of the few books that strikes that balance." -- SIAM Review Department of Mathematical Sciences Mathematical Sciences The internationally recognized Department of Mathematical Sciences offers undergraduate and graduate study in areas that include applied ... Certificate in Quantitative Finance (CQF) - Mathematical ... June 17 applications open. Founded by Dr. Paul Wilmott; Part-time online flexible learning; In 6 months or two 3-month levels; Free CPD program included Wolfram Products & Services: Delivering Computation and ... Wolfram Language Revolutionary knowledge-based programming language. Wolfram Cloud Central infrastructure for Wolfram's cloud products & services. Applied Mathematical Finance: Vol 23 No 3 (Routledge) Tables of contents of all volumes. Abstracts from vol.4 (1997). Full text to subscribers. Wolfram Technical Computing Solutions for Innovation Wolfram offers advanced technical computing solutions for all fields of industry education and technology Browse Coursera Browse hundreds of courses and specializations in Business Computer Science Arts Humanities and more. 2000+ courses from schools like Stanford ... MS Mathematics with Mathematical Finance Option Mathematical Finance Department of Mathematics The School of Arts and Sciences Rutgers The State University of New Jersey Finance - Wikipedia Finance is a field that deals with the study of investments. It includes the dynamics of assets and liabilities over time under conditions of different degrees of ... Mathematical Finance MSc - University of Birmingham University of Birmingham. Postgraduate study. This Mathematical Finance programme taught jointly by the School of Mathematics and the Department of Economics ... Volatility (finance) - Wikipedia In finance volatility (symbol ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns.
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