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the concepts and practice of mathematical finance
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the concepts and practice of mathematical finance
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THE CONCEPTS AND PRACTICE OF
MATHEMATICAL FINANCE
Second Edition
Mathematics, Finance and Risk
Editorial Board
Mark Broadie, Graduate School of Business, Columbia University
Sam Howison, Mathematical Institute, University of Oxford
Neil Johnson, Centre for Computational Finance, University of Oxford
George Papanicolaou, Department of Mathematics, Stanford University
Modern finance in theory and practice relies absolutely on mathematical models
and analysis. It draws on and extends classical applied mathematics, stochastic
and probabilistic methods, and numerical techniques to enable models of financial
systems to be constructed, analysed and interpreted. This methodology underpins
applications to derivatives pricing for equities and fixed income products, asset-
liability modelling, volatility, risk management, credit risk, insurance analysis and
many more. This new series will consist of books that explain the processes and
techniques of the new applied mathematics, and how to use them to model finan-
cial systems and to understand the underlying phenomena and forces that drive
financial markets.
The audience for mathematical finance ranges from mathematics and probability
through econophysics to financial economics, and the series will reflect this breadth
of appeal, while maintaining a firm footing in the tradition of applied mathematics.
Books will be pedagogical in style, enabling them to be used for teaching in uni-
versities, business schools and financial institutions, and sufficiently self-contained
for stand-alone use. Mathematical techniques will be motivated by examples and
their use illustrated through applications, and complemented by computation.
THE CONCEPTS AND PRACTICE OF
MATHEMATICAL FINANCE
Second Edition
M. S. JOSHI
University of Melbourne
CAMBRIDGE
UNIVERSITY PRESS
CAMBRIDGE UNIVERSITY PRESS
Cambridge, New York, Melbourne, Madrid, Cape Town, Singapore, Sao Paulo, Delhi
Cambridge University Press
The Edinburgh Building, Cambridge CB2 8RU, UK
www.cainbridge.org
Information on this title: www.cambridge.org/9780521514088
M. S. Joshi 2003
This publication is in copyright. Subject to statutory exception
and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without
the written permission of Cambridge University Press.
First published 2003
Reprinted 2004
Second Edition 2008
Printed in the United Kingdom at the University Press, Cambridge
A catalogue record for this publication is available from the British Library
Library of Congress Cataloguing in Publication data
Joshi, M. S. (Mark Suresh), 1969-
The concepts and practice of mathematical finance / M. S. Joshi.
p.
cm. - (Mathematics, finance and risk)
Includes bibliographical references and index.
ISBN 0 521 82355 2
1. Derivative securities - Prices - Mathematical models.
2. Options (Finance) - Prices - Mathematical
models. 3. Interest rates - Mathematical models. 4. Finance - Mathematical models. 5. Investments -
Mathematics. 6. Risk management - Mathematical models. I. Title. II. Series.
HG6024.A3J67 2003
332'.01'51- dc22 2003055594
ISBN 978-0-521-51408-8 hardback
Cambridge University Press has no responsibility for the persistence or
accuracy of URLs for external or third-party internet websites referred to
in this publication, and does not guarantee that any content on such
websites is, or will remain, accurate or appropriate.
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- qq_289850592015-11-08很好的资料,清楚。
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