by Mark S. Joshi
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Product Description
This introductory text provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. M. Joshi covers the strengths and weaknesses of such models as stochastic volatility, jump diffusion, and variance gamma, as well as the Black-Scholes. Examples and exercises, with answers, as well as computer projects, challenge the mind and encourage learning how to become a good quantitative analyst.
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Average Customer Review:
2 of 2 people found the following review helpful:
 It's all about the mathematical finance!, 2008-06-02
As the title says, you can get both concepts and practice of mathematical finance without strong mathematics background. The author covers every aspects from the basic trees and BS to the LIBOR market model.
It is not plain as much as Hull (1999) Options, Futures & Other Derivatives or Neftci (2000) An Introduction to the Mathematics of Financial Derivatives etc. Also you don't have to get sick of heavy mathematics as much as Karatzas and Shreve (1991) Brownian Motion and Stochastic Calculus or Steele (2000) Stochastic Calculus and Financial Applications. (Strictly speaking, the latter ones are about stochastic calculus not mathematical finance.)
In addition, you can find the "Further reading"-relevant references with comments at the end of the most chapter. It drives you to read relatively recent research/papers in depths.
I don't know whether it is a great book for practitioners. However, Joshi's book is definitely one of the must-read item for quant wannabe.
1 of 1 people found the following review helpful:
A Unique Take on the Fundamentals - > Great Start and a Great Addition, 2008-05-25
This is the book that sparked my interest in mathematical finance. Unlike most other books that attempt to teach readers results ONLY through mathematical proofs that sometimes involve tedious algebra, Joshi's primary approach is to drive intuition in (as well as including less rigourous proofs, but this does make it more accessible).
Another more distinct feature of Joshi's book is that it is written in a more colloquial tone (upon reading the first chapter you will immediately see so) which again makes it an easier read.
Having read some of the other reviews I would agree that the main con is the typos; however, the authour has pointed out that the new copies had these corrected and, in any case, the more alert reader should have picked up most of the obvious typos themselves.
Also, I agree that the exercises that Joshi sets are somewhat different to those of other texts but I do NOT find this to be a con. This is because Mark Joshi appears to avoid focusing on the numerics but rather his exercises emphasizes the need to understand the concepts.
Those who are looking for either numerical exercises that focus on memorisizing formulae or exercises involving mathematical proofs should look elsewhere but I will stil strongly recommend to read this book COMPLEMENTARY to others due to its unique take on the fundamentals; therefore I not only recommened this book to those beginning to pursue a career in mathematical finance but also that this book is an excellent ADDITION to those on an intermediate level. 5 Stars.
2 of 2 people found the following review helpful:
A wonderful introductory book, 2008-05-14
Mark Joshi's work really stands out from the crowd of introductory mathematical finance books. In particular, the level of financial intuition provided is very hard to find elsewhere, yet the treatment retains mathematical rigour without becoming too dry. Mark's ability to highlight and focus on the key ideas and concepts of the various topics covered also distinguishes this book from others.
I found the chapter on the LIBOR market model particularly useful. It covered the fundamental issues of this difficult topic in a clear and precise way, and relative to many of the other books, in a very efficient way. The balance between theory and practice in this chapter (and the rest of the book!) was excellent.
My single criticism is that in some cases it would have been nice to have more guidance for the computer exercises. However, this wasn't really part of the scope of the book, and Mark's book on C++ does a great job helping here in any case.
2 of 2 people found the following review helpful:
A great text for an introduction to mathematical finance, 2008-05-14
This is an excellent text for a first book on mathematical finance, particularly for those who are looking to work in the industry. The content is delivered in a very clear and concise manner. The level of mathematics is appropriate for what the text is trying to achieve - the reader is not bogged down in technical details (though these are referenced, if desired), nor is the mathematics glossed over and hand wavy.
I particularly liked the exposition on the change of numeraire, which gave me a much better feel for its usefulness than other similar introductory mathematical finance texts had. The computer projects add a further dimension that other books lack, and one that is very appropriate if you plan on a career in the area.
All-in-all a great book. The right level of mathematical detail and a clear discussion and demonstration of its application in practice.
2 of 2 people found the following review helpful:
Some comments regarding the review below, 2008-05-10
Joshi's book has lots of computer projects to help you understand how to implement quant finance models. This is however, what other books are lack of.
Regarding the end-of chap exercises, I do not understand what 'Sidhant' is complaining about, if you want more challenging ones, you can try those computer projects. That will help you understand how models work.
Finally, regarding the Ito calculus, this is an introductory book, what's the point of including stuff like 'Ito isometry' or 'Feynman-Kac' into the book. I think Joshi's way of doing quant finance is very intuitive, disocunted prices under the risk-neutral measures are martingales --> this definitely helps us to understand quant finance instead of using lots of maths jargons but leading to the same conclusion --> whats the point?
P.S. chap 4 is NOT pathetic, it gives us how the practical quant finance works. Option trading = volatility trading, Gamma hedging. I mean these are all intuitive stuff and easy to understand.
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