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Mathematics, Finance and Risk : The Concepts and Practice of Mathematical Finance Series Number 8, Hardback Book

Mathematics, Finance and Risk : The Concepts and Practice of Mathematical Finance Series Number 8 Hardback

Description

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.

Information

  • Format: Hardback
  • Pages: 558 pages, Worked examples or Exercises
  • Publisher: Cambridge University Press
  • Publication Date:
  • Category: Finance
  • ISBN: 9780521514088

£62.99

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