It now has over 430 pages. I am writing the last few chapters at the moment.If anyone has feature requests, can they make them here?thanksmark

Looking forward to it.Maybe devoting a chapter to the art of option calibration? Updated the table of content yet?

The table of contents on markjoshi.com is fairly up to date.

- QuantOption
**Posts:**269**Joined:**

QuoteOriginally posted by: mjIf anyone has feature requests, can they make them here?Practical stuff. - Discussing models (their issues from practical point of view) that IBs are actually using, as opposed to multi-factor-jump-stochastic vol models that are nowhere in production. Practical model issues, evolution of forward vols and its impact on hedging, model risk, impact of different curves used to projection and discounting, CVA, etc ... discussion of REAL issues that quants need to address- More exercises with at least hints Looking forward to your book!

Writing about calibration is always tricky precisely because it's an art not a science! I will certainly have various points of discussion on the topic but probably not a chapter about it per se.

Looks very interesting. Lots of diverse subjects. I like to read books from start to end but the chapters don't seem to be in any order. e.g. Modeling then Market theory then Numerical Techniques. I assume that they are in that order for a reason, so a narrative linking the chapters could be useful. Or if the book is meant to be read in a non-linear fashion, make sure there are lots of cross references so it is clear how the topics link up. (i.e. combining Quasi Monte Carlo with the Brownian bridge). If you publish electronically it would be great if those links were hyperlinks.

I intend to reorder before publication. However, if chapter A depends on B then B be will before A. Each chapter is as self-contained as possible in any case.

Multi-asset stochastic vol (heston, SABR), calibration issues, rate-credit hybrids... etc. will be interesting.

I hope it has end of chapter solutions, not that I need them though

how important are problems and solutions to everyone?I have been considering computer exercises at the end of each chapter instead of conventional problems.

I think problems are always helpful but step by step solutions add limited value, answers should be enough. Could capitalize on releasing a second volume for step by step solutions if you can be bothered.

- QuantOption
**Posts:**269**Joined:**

QuoteOriginally posted by: mjhow important are problems and solutions to everyone?Very. I like the approach where problems directly reveal the answer and possibly hint (so there is no need for solutions chapter unless author wants to give step-by-step solution), say, "show that the option price is given by this and that". The book that I like in this respect is Mathematical Models of Financial Derivatives by Kwok.I hate and try to ignore the books that have solutions/answers only for instructors! They are the ones who are supposed to already know the stuff if they are teaching it. When I read the book, I need to check my understanding, if author is releasing answers only for instructors, it's a message to me that author wants to ignore me as a self-learner.QuoteOriginally posted by: mjI have been considering computer exercises at the end of each chapter instead of conventional problems.I'd prefer conventional problems.

QuoteOriginally posted by: QuantOptiondirectly reveal the answer and possibly hintI like that idea. Questions in chapters. Hint appendix in the back and then separate answer appendix. Sure it requires a few bookmarks but at least you can check the hints without revealing the answer.

QuoteOriginally posted by: QuantOptionQuoteOriginally posted by: mjIf anyone has feature requests, can they make them here?Practical stuff. - Discussing models (their issues from practical point of view) that IBs are actually using, as opposed to multi-factor-jump-stochastic vol models that are nowhere in production. Practical model issues, evolution of forward vols and its impact on hedging, model risk, impact of different curves used to projection and discounting, CVA, etc ... discussion of REAL issues that quants need to address- More exercises with at least hints Looking forward to your book!I agree. There are lot of books in the market on models per se - extensively documented and any new models can be understood by these references. However, there is clearly lot of scope on covering practical problems focussing on complex derivatives pricing and risk management (including credit risks, funding spreads, "model risk").If you have luxury, then you can consider including few chapters on model risk alone (even it is purely your view). I have not see too much coverage on the practical side apart from 3 authors/quants.

QuoteOriginally posted by: mjhow important are problems and solutions to everyone?I have been considering computer exercises at the end of each chapter instead of conventional problems.Why can't we have both? 2 computer exercises and 4 conventional problems would be nicer than only 8 conventional problems or 4 computer exercises.

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