This introductory text provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. M. Joshi covers the strengths and weaknesses of such models as stochastic volatility, jump diffusion, and variance gamma, as well as the Black-Scholes. Examples and exercises, with answers, as well as computer projects, challenge the mind and encourage learning how to become a good quantitative analyst.
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For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. There are plenty of worked examples and exercises, with answers, and many computer projects supplied.The author brings to this book a blend of practical experience and rigorous mathematical background, and provides here the working knowledge needed to become a good quantitative analyst.
"Very few books provide a balance between financial theory and practice. This book is one of the few books that strikes that balance."
SIAM Reivew
"Joshi delivers an intuitive introduction to some fairly sophisticated financial engineering."
riskbook.com
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