The concepts and practice of mathematical finance.

MaRDI QIDQ3533738zbMATH OpenFDO

Authors Mark Joshi

Publication date 24 October 2008

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91Gxx)

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• The use of power numeraires in option pricing
• Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
• Volatility. Practical options theory
• scientific article; zbMATH DE number 2098010 (Why is no real title available?)
• Truncation and acceleration of the Tian tree for the pricing of American put options
• Accelerating pathwise Greeks in the LIBOR market model
• Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
• Experimental computation as an ontological game changer: the impact of modern mathematical computation tools on the ontology of mathematics
• scientific article; zbMATH DE number 5496230 (Why is no real title available?)
• The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM

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