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The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk, Band 1) (Englisch) Gebundene Ausgabe – 24. Dezember 2003


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Produktinformation

  • Gebundene Ausgabe: 492 Seiten
  • Verlag: Cambridge University Press (24. Dezember 2003)
  • Sprache: Englisch
  • ISBN-10: 0521823552
  • ISBN-13: 978-0521823555
  • Größe und/oder Gewicht: 25 x 18 x 3 cm
  • Durchschnittliche Kundenbewertung: 5.0 von 5 Sternen  Alle Rezensionen anzeigen (1 Kundenrezension)
  • Amazon Bestseller-Rang: Nr. 640.187 in Fremdsprachige Bücher (Siehe Top 100 in Fremdsprachige Bücher)
  • Komplettes Inhaltsverzeichnis ansehen

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7 von 7 Kunden fanden die folgende Rezension hilfreich Von CorMag on 22. April 2008
Format: Gebundene Ausgabe Verifizierter Kauf
Ich habe das Buch sehr genossen. Es ist mathematisch etwas anspruchsvoller als das Buch von Hull, dafür aber auch exakter und dennoch stellenweise etwas intuitiver, verwendet weniger Zeit auf instutitionelle Einzelheiten (was ist ein clearing house, wie werden forward kontrakte spezifiziert?). Ich habe bisher noch nirgendwo eine so intuitive Einführung in die Martingal Preistheorie gefunden. Joshi ist stets bemüht auch den mathematisch nicht allzu gut gewappneten Leser bei der Stange zu halten , ohne dabei zu oberflächlich zu werden. Joshi + Hull sind wohl ein sehr guter erster Schritt sich mit Finanzmathematik auseinander zu setzen.
Noch einmal pros und contras:
+ sehr intuitiv und zugänglich geschrieben
+ viele themen abgedeckt
+ forum zum Buch mit Errata online
+ gute Literaturhinweise am Ende jedes Kapitels zu weiteren Vertiefung

- etwas mehr Übungsaufgaben mit unterschiedlichen Schwierigkeitsgraden wären wünschenswert
- nicht ganz billig
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Die hilfreichsten Kundenrezensionen auf Amazon.com (beta)

Amazon.com: 19 Rezensionen
87 von 99 Kunden fanden die folgende Rezension hilfreich
This is a highly recommended work for any quant. 18. Juni 2005
Von Bachelier - Veröffentlicht auf Amazon.com
Format: Gebundene Ausgabe
As I write this in June of 2005, quantitative finance has grown up. What was once a cross-over subfield of finance with a veneer of mathematics is now a field unto itself, and hence, in the past decade there have been an explosion of books which often replicate or restate what has been said before with little new to add. Also, there remains an unforgiving gap between introductory texts that are too superficial and specialists' mathematics books that are rigorous and difficult works beyond the commitment for mastery of the busy, intelligent, practical front-line quant. In addition, works that were once adequate are now simplistic and under serve their readers by lulling them into false confidence. Into this fray Dr. Mark S. Joshi's "The Concepts and Practice of Mathematical Finance" enters with a modern voice and delivers what previous texts have only promised and failed to. The work lives up to its title by presenting both concepts and practicalities, and makes other works that do neither well obsolete. Those familiar with my other reviews on quantitative finance texts know that I place a premium on clarity, and on this front Joshi deserves six stars, for he is a master of what William Strunk called "the plain style." I am always sensitive to the fact that many of the world's best quants come from nations where English is not the first language. Readers from China, France, Germany, Greece, Italy, Norway, Sweden, Russia and eastern Europe will enjoy Joshi's clarity and find his English easy to follow. It would be impossible to cover everything in quanfin in a single volume, however there is nothing horribly glossed over here and neither is there a single wasted word or equation.

I recommend Amazon review readers refer to the table of contents in the "Look Inside" feature to see what Joshi covers, but my own highlight is how welcome it is that Joshi focuses on risk from the very first word. Since Louis Bachelier risk measurement is what separates quantitative finance from "finance." Other books, including some quantitative finance works, start with cash flows, valuation, and discounting, and only add risk as an antecedent. Joshi correctly emphasizes risk first, last, and always, and for that elevation alone his work deserves five stars. From this foundation Joshi then covers very well pricing methods and arbitrage, simple and high dimensional trees, and the useful shortcuts of Ito calculus that makes tractable Zeno's paradox. Joshi also covers risk neutral and martingale methods, continuous barrier options, multi-look exotic options and incomplete markets and jump processes with an aim of showing these as typical problems for the working quant. Joshi's own references, index, and footnotes testify that by no means is he offering the first, nor the last, word on these knotty subjects, but his treatment is welcome just the same.

The target audience who would benefit from this text over others is four-fold. The primary audience is for first semester students in a graduate financial engineering program, for Joshi's "Concepts and Practice" will be handy throughout his or her studies and career. For those students unsure of their skills and with a limited budget considering between this and an introductory quantitative finance text I recommend Joshi over, say, Wilmott, for this work is more rigorous and in the long run will provide the better value as a practical companion. Within this audience I include professors looking for a high level foundational text for teaching practical risk management and derivatives pricing: this is the book to adopt, yes, even over Hull.

The second audience is for those trained in other science fields: pure mathematics, statistics, physics, etc. who are moving to finance jobs. This volume is an easy "one-stop shop" for you to re-tool your own background towards those topics and techniques used on a quant desk. While by no means covering everything, Joshi speaks your language and after digesting this work all else will fall into place and be understood and used with greater efficiency.

The third and broadest audience is one I am a member of: the already trained and practical "quant." Why should we need this book? My observation is that between reading (for example) Hull and Wilmott, Joshi's "Concepts" unavoidably covers many of the same topics, but also some things they do not and in ways they never could. Joshi is an expert practitioner at the top of his art, and that practical spirit is in every single page. For example, while Hull and Wilmott cover the concept and mathematics of stochastic volatility, Joshi writes from the point of view of the coding quant and discusses the issues of implementation. Joshi's "Concepts and Practice" serves a two fold purpose for a qaunt: it provides an additional voice and explanation of inescapably fundamental material, while bridging the gap of technical deployment for front line practitioners. This is not to say that Joshi offers us up a cookbook, for by no means is this such. Anyone who thinks they can simply buy this book and in a sleepy afternoon plug away code and technique and be done is missing the point: for this is a teaching text. Moreover, each house and set of problems and instruments and structured products to offer are different, to say nothing of the platforms one will be working on. That is why they call it "work." Therefore the practical quant should look to this text as a reference guidebook in a tool box.

As a fourth audience I cautiously recommend this book for those who are going into exotic product sales, but only those who have a good grounding in upper level calculus, linear and matrix algebra, time series analysis, and trees. Why? Simply put, you will be offering products built by quants who simply assume the knowledge in this book is a given. In addition, your better clients will (or should) have quants speaking this language, and the greater your own understanding of the concerns of your team and your clients the better your sales. If this work is too rigorous, then Wilmott's "Introduction to Quantitative Finance" quickly followed by Joshi's "Concepts and Techniques" is the course to follow.

Who is this work not for? Here are some tests. If you are a quant who can type at five lines of code a minute and can read Shreve and Karatzas drinking beer, then this work is too redundant for you. On my desk is a paper on a stochastic process with drift and viscosity under regime switching. If you are reading the same journal, then this work is too simple for you. If you have no idea what I've written about in the past three sentences, then this work is too hard for you.

In summary, Dr. Mark Joshi advances his excellent reputation as an intelligent, practical, and generous quant in offering "The Concepts and Practice of Mathematical Finance" and I recommend this book's wide adoption in graduate programs and its addition to reference libraries.
22 von 23 Kunden fanden die folgende Rezension hilfreich
Best way to start, but has its flaws 28. April 2008
Von Sidhant - Veröffentlicht auf Amazon.com
Format: Gebundene Ausgabe Verifizierter Kauf
If you are interested in becoming a quant, or are just curious about things like Black-Scholes, Martingale measures etc etc, this is where you should start. The math is rigorous, but manageable, and Joshi writes clearly and concisely.

I however have some issues with the book. First, the typos. This book has just too many of them. A serious reader will have to download the list of typos from the author's webpage, and will have to keep them on his desk.

Secondly, for students with a reasonable undergraduate level math background, I think the inclusion of a little more mathematical rigour was necessary. The author skips a lot of things, especially in chapters 5 and 6, the chapters that deal with stochastic calculus and risk neutral measures. The author does make up with intuitive arguments quite a few times, but then one needs to know the math to really understand quantitative finance.

Thirdly, the end of the chapter problems. They are not very well constructed, and are often far too simple. The kind of tough stochastic calculus/derivative pricing questions that are asked at interviews and on exams are just not present in this book. Shreve does a much better job on this front.

The book's take on practical issues is pathetic. The author devotes a complete chapter to this (chapter 4), and that probably is the worst chapter in the book. What's the point of solving the BS PDE if one cant then figure out how to use the solution? The author dedicates entire pages to Gamma, Vega, etc etc, but isn't able to drive home any significant point. It may work out for someone who has worked in a bank and understands the issues involved, but for everyone else, they are just paragraphs over paragraphs of text with little or no meaning. I believe the author should completely re-write chapter 4 in the book. And yes, he should also hire a professional proof-reader to weed out all those irritating typos.
44 von 52 Kunden fanden die folgende Rezension hilfreich
An outstanding book in a crowded field 19. Februar 2004
Von Ein Kunde - Veröffentlicht auf Amazon.com
Format: Gebundene Ausgabe
In recent years bookshelves (and readers) have groaned under the weight of new First Courses in Mathematical Finance. There is, of course, a huge overlap in content and it is no easy task to write a book which is both better than its predecessors and genuinely novel. In both tasks Mark Joshi has succeeded admirably: this book deserves to become the leader in its field.
Finding the right level of mathematical sophistication is a difficult balancing act in which it is impossible to please all readers. Here, the author has had a clear vision that the principal audience is the practising or potential quantitative analyst (or quant) and writes accordingly; it is impossible to do better than taking an approach of this sort. Such a quant must have a certain minimum level of mathematical background (a good degree in a numerate discipline). By definition, this has to be assumed for a decent understanding of the material, but the author always has an eye on what a quant really needs to know. Integrated into this mathematical work is a good deal of information about how markets, banks and other corporations operate in practice, not found in more academically-oriented books.
The first half of the book includes the core material found in any decent first course on the subject including basic stochastic calculus, pricing of European options through discounted expectation under a risk-neutral measure, the Black-Scholes differential equation and so forth. Where this book really stands out, however, is the exceptional clarity with which the key concepts are separated. Not only are three different ways for deriving the Black-Scholes formula presented (through PDEs, expectation, and the limit of discrete tree-models) ; much more significantly, the different roles played by hedging, replication and equivalent martingale measures in enforcing a price are made crystal clear. In whatever way you already think about this material, you will almost certainly come away with something new from reading this treatment. In my case, for example, I gained a much greater understanding of why "risk-neutral" pricing is so called.
The second half of the book, roughly speaking, covers a selection of more sophisticated material. The major areas covered include interest-rate derivatives and models; and more complicated models for stock price evolution (such as stochastic-volatility, jump-diffusion and variance-gamma) that have been proposed to correct inadequacies in the Black-Scholes model such as its failure to explain market smiles. Once the core ideas have been so thoroughly explained in the first half, a great deal of interesting and diverse material can be covered rapidly yet with a great deal of clarity and coherence, relating the new models to core ideas such as uniqueness of prices and hedging issues.
Those with quantitative finance experience are still likely to find a good deal that is new and worthwhile in this book. And if you a thinking about becoming a quant, I cannot think of a better book to read first.
32 von 38 Kunden fanden die folgende Rezension hilfreich
A must read for anyone interested in mathematical finance 5. Januar 2004
Von Ein Kunde - Veröffentlicht auf Amazon.com
Format: Gebundene Ausgabe
The modern paradigm within mathematical finance is the use of martingale
methods for the pricing of options; an understanding of it is
critcal not only to quants who use these mathematical tools on a day
to day basis, but also to risk professionals in general when understanding the
risks inherent in a new product. At present, however,
there are very few accessible texts that discuss this at a level that
is suitable for the (sizeable) interested audience; texts either do not
have adequate coverage of the martingale methodology, concentrating on the
older less insightful pde methods, or concentrate (too much in the
reviewers opinion) on mathematical rigour and
require a substantial understanding
of probability theory before one is able to understand and appreciate
the finance.
Mark Joshi's book fills this niche admirably: it is mathematically rigorous
where it needs to be, but more importantly "physically" insightful --- the
author takes considerable pain in assisting the reader in developing
an intuition both for the models used and the products that are
priced. However, the mathematics is all there; more importantly
for the finance professional there are details on how to implement the
various models described. Again in marked contrast to other texts available
the book includes a number of relevant exercises (with solutions) and
computer projects --- features which this reviewer welcomes.
The book is also to be applauded on the fact that
it does not end after a discussion of the Black Scholes stock case ! Instead
the second half of the book discusses, admittedly assuming a slightly higher
level of mathematical sophistication (but never beyond, what one would
expect of a good physical sciences/mathematics graduate), multiasset options,
the LIBOR market model, stochastic volatility and jump diffusion models.
This again is a key strength of the text, rendering these subjects far
more accessible to a wider audience.
In short this is a book which anyone who is interested in mathematical
finance should have on their book shelf.
10 von 10 Kunden fanden die folgende Rezension hilfreich
Very useful book 1. Februar 2006
Von R. Malhotra - Veröffentlicht auf Amazon.com
Format: Gebundene Ausgabe
This is a great book for those who want to learn quantitative finance, but don't have the benefit of being enrolled in a financial engineering program. It has the advantage of being self-contained and begins instruction from the ground up: you can "cold start" on the subject with this book. Just a basic knowledge of differential equations (non-stochastic) is required.

It is natural to compare Joshi's book with Hull, but I would recommend reading them together as they have complementary strengths. Hull is over-simplified but provides financial intuition and descriptions of real-world practices. However it does not have modern notation. It also does not teach you how to solve actual pricing problems from the mathematical or computational point of view. Joshi's book does all of that and even helps you develop some mathematical intuition for the models. It also has some computing projects in c++ that a student could do.

The real comparison should be with Neftci's mathematical finance book and Baxter and Rennie. I think Joshi's book is much better than either of the two. I could barely read Neftci after a while because of the errors and bad organization. B&R is way too formal in my opinion for such an applied subject. Joshi's book has good notation and organization which builds confidence in the author, plus it is very applied so you feel you are learning something useful. It has none of that lemma-proof style which can be so unappealing to non-pure mathematicians.
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