SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
mj
Topic Author
Posts: 3449
Joined: December 20th, 2001, 12:32 pm

More mathematical finance

April 7th, 2011, 11:03 pm

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
 
User avatar
paaatrik
Posts: 70
Joined: October 1st, 2008, 5:50 am

More mathematical finance

April 7th, 2011, 11:24 pm

Looking forward to it.Maybe devoting a chapter to the art of option calibration? Updated the table of content yet?
 
User avatar
mj
Topic Author
Posts: 3449
Joined: December 20th, 2001, 12:32 pm

More mathematical finance

April 7th, 2011, 11:26 pm

The table of contents on markjoshi.com is fairly up to date.
 
User avatar
QuantOption
Posts: 269
Joined: February 8th, 2003, 9:00 pm

More mathematical finance

April 8th, 2011, 7:48 am

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!
 
User avatar
mj
Topic Author
Posts: 3449
Joined: December 20th, 2001, 12:32 pm

More mathematical finance

April 11th, 2011, 3:04 am

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.
 
User avatar
Edgey
Posts: 219
Joined: March 23rd, 2005, 11:01 am

More mathematical finance

April 12th, 2011, 8:15 am

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.
 
User avatar
mj
Topic Author
Posts: 3449
Joined: December 20th, 2001, 12:32 pm

More mathematical finance

April 12th, 2011, 9:10 am

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.
 
User avatar
Money
Posts: 580
Joined: September 6th, 2002, 4:00 pm

More mathematical finance

May 1st, 2011, 5:34 am

Multi-asset stochastic vol (heston, SABR), calibration issues, rate-credit hybrids... etc. will be interesting.
 
User avatar
Capsaicin
Posts: 22
Joined: October 16th, 2010, 5:28 am

More mathematical finance

May 3rd, 2011, 12:46 am

I hope it has end of chapter solutions, not that I need them though
 
User avatar
mj
Topic Author
Posts: 3449
Joined: December 20th, 2001, 12:32 pm

More mathematical finance

May 6th, 2011, 5:07 am

how important are problems and solutions to everyone?I have been considering computer exercises at the end of each chapter instead of conventional problems.
 
User avatar
Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

More mathematical finance

May 6th, 2011, 6:48 am

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.
 
User avatar
QuantOption
Posts: 269
Joined: February 8th, 2003, 9:00 pm

More mathematical finance

May 6th, 2011, 7:57 am

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.
 
User avatar
Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

More mathematical finance

May 6th, 2011, 8:02 am

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.
 
User avatar
rsneevas
Posts: 138
Joined: July 14th, 2002, 3:00 am

More mathematical finance

May 6th, 2011, 10:28 am

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.
 
User avatar
Capsaicin
Posts: 22
Joined: October 16th, 2010, 5:28 am

More mathematical finance

May 6th, 2011, 1:40 pm

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.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On