The Concepts and Practice of Mathematical Finance Hardback

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.