The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk)
By Mark S. Joshi
* Publisher: Cambridge University Press
* Number Of Pages: 492
* Publication Date: 2004-01-26
* ISBN-10 / ASIN: 0521823552
* ISBN-13 / EAN: 9780521823555
* Binding: Hardcover
Product Description:
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.
Summary: It's all about the mathematical finance!
Rating: 5
As the title says, you can get both concepts and practice of mathematical finance without strong mathematics background. The author covers every aspects from the basic trees and BS to the LIBOR market model.
It is not plain as much as Hull (1999) Options, Futures & Other Derivatives or Neftci (2000) An Introduction to the Mathematics of Financial Derivatives etc. Also you don't have to get sick of heavy mathematics as much as Karatzas and Shreve (1991) Brownian Motion and Stochastic Calculus or Steele (2000) Stochastic Calculus and Financial Applications. (Strictly speaking, the latter ones are about stochastic calculus not mathematical finance.)
In addition, you can find the "Further reading"-relevant references with comments at the end of the most chapter. It drives you to read relatively recent research/papers in depths.
I don't know whether it is a great book for practitioners. However, Joshi's book is definitely one of the must-read item for quant wannabe.
http://ifile.it/r1bc46p/the_concepts_of_mathematical_finance.pdf
