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.

Product Details

• Amazon Sales Rank: #48431 in Books
• Published on: 2004-01-26
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 492 pages

Review
"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

Customer Reviews

It's all about the mathematical finance!
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.

A Unique Take on the Fundamentals - > Great Start and a Great Addition
This is the book that sparked my interest in mathematical finance. Unlike most other books that attempt to teach readers results ONLY through mathematical proofs that sometimes involve tedious algebra, Joshi's primary approach is to drive intuition in (as well as including less rigourous proofs, but this does make it more accessible).

Another more distinct feature of Joshi's book is that it is written in a more colloquial tone (upon reading the first chapter you will immediately see so) which again makes it an easier read.

Having read some of the other reviews I would agree that the main con is the typos; however, the authour has pointed out that the new copies had these corrected and, in any case, the more alert reader should have picked up most of the obvious typos themselves.

Also, I agree that the exercises that Joshi sets are somewhat different to those of other texts but I do NOT find this to be a con. This is because Mark Joshi appears to avoid focusing on the numerics but rather his exercises emphasizes the need to understand the concepts.

Those who are looking for either numerical exercises that focus on memorisizing formulae or exercises involving mathematical proofs should look elsewhere but I will stil strongly recommend to read this book COMPLEMENTARY to others due to its unique take on the fundamentals; therefore I not only recommened this book to those beginning to pursue a career in mathematical finance but also that this book is an excellent ADDITION to those on an intermediate level. 5 Stars.

A wonderful introductory book
Mark Joshi's work really stands out from the crowd of introductory mathematical finance books. In particular, the level of financial intuition provided is very hard to find elsewhere, yet the treatment retains mathematical rigour without becoming too dry. Mark's ability to highlight and focus on the key ideas and concepts of the various topics covered also distinguishes this book from others.

I found the chapter on the LIBOR market model particularly useful. It covered the fundamental issues of this difficult topic in a clear and precise way, and relative to many of the other books, in a very efficient way. The balance between theory and practice in this chapter (and the rest of the book!) was excellent.

My single criticism is that in some cases it would have been nice to have more guidance for the computer exercises. However, this wasn't really part of the scope of the book, and Mark's book on C++ does a great job helping here in any case.