Designed for the widest audience, without sacrificing a high level of understanding, graduating from limited math to arithmetic and algebra and some calculus
Covers forwards and futures, options, binomial trees, Black-Scholes, volatility and dynamic strategies with detailed definitions and examples
When asked why they tackled Mount Everest, climbers typically reply “Because it was
there”. Our motivation for writing Advanced Modelling in Finance is for exactly the
opposite reason. There were then, and still are now, almost no books that give due
prominence to and explanation of the use of VBA functions within Excel. There is an
almost similar lack of books that capture the true vibrant spirit of numerical methods
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....
We build a three-factor term-structure of interest rates model and use it to price corporate
bonds. The first two factors allow the risk-free term structure to shift and tilt. The third
factor generates a stochastic credit-risk premium. To implement the model, we apply the
Peterson and Stapleton (2002) diffusion approximation methodology. The method approximates
a correlated and lagged-dependent lognormal diffusion processes. We then price
options on credit-sensitive bonds.