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 l#]