The Concepts and Practice of Mathematical Finance (Anglais) Relié – 24 décembre 2003
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'The author allows the reader as often as possible to get an intuition for the models and concepts. Helpful information is given on how to use and implement these models and concepts in practical terms. This practice-orientation makes this book different from others belonging to this category … the text is also well suited as a textbook for a quantitative-oriented introductory course on finance at universities or other academic institutions … one can say that this introductory book in offering a well balanced and up-to-date introduction to the theory and practice of mathematical finance overshadows many other books available on the same subject.' Zentralblatt MATH
'The book has been very nicely produced by Cambridge University Press. I would certainly recommend that anyone teaching an introductory or intermediate course on this topic seriously consider this book as a potential course text.' International Statistical Institute
'The set-up of this book certainly meets the needs of the audience for whom this book is written. Moreover, the author brings the material in a very comprehensive way leading to new or better insights in several aspects of the material. An innovation is that besides worked out examples and exercises, a list of computer projects are included which encourage the reader to implement the models. This certainly adds to the learning process.' Kwantitatieve Methoden
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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.
finance. It is well-written, and strikes a nice balance
between sophistication and accessiblity. Its companion volume on
C++ development in the context of quantitative finance is also well
worth examining. I look forward to seeing the follow up volume, which
will cover additional, more advanced topics.
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.
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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