The concepts and practice of mathematical finance.

zbMATH Open1145.91001MaRDI QIDQ3533738FDOQ3533738

Authors: Mark Joshi 

Publication date: 24 October 2008

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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)

Cited In (13)

• Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
• Accelerating pathwise Greeks in the LIBOR market model
• The blank swan. The end of probability
• The use of power numeraires in option pricing
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• Title not available (Why is that?)
• Experimental computation as an ontological game changer: the impact of modern mathematical computation tools on the ontology of mathematics
• The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
• Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
• Title not available (Why is that?)
• Volatility. Practical options theory
• Title not available (Why is that?)
• Truncation and acceleration of the Tian tree for the pricing of American put options

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