By Mark S. Joshi
A fantastic advent for these beginning out as practitioners of mathematical finance, this ebook offers a transparent figuring out of the instinct at the back of derivatives pricing, how types are applied, and the way they're used and tailored in perform. Strengths and weaknesses of alternative types, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are tested. either the idea and the implementation of the industry-standard LIBOR industry version are thought of intimately. every one pricing challenge is approached utilizing a number of thoughts together with the well known PDE and martingale techniques. This moment variation includes many extra labored examples and over two hundred routines with special options. vast appendices offer a advisor to jargon, a recap of the weather of likelihood thought, and a set of desktop tasks. the writer brings to this publication a mix of functional event and rigorous mathematical history and offers the following the operating wisdom had to develop into a very good quantitative analyst.