Mathematical Finance: Theory, Modeling, Implementation Hardcover: 544 pages Publisher: Wiley (August 24, 2007) ISBN: 0470047224For a complete table of contents and an excerpt check the book's home page.Note: Actually this is rather a new edition than a new book. The book was available as a free ebook throughout the last four years (version 1.1 to 1.4). Some of you might already know the older ebook (beta test). This is the print edition of version 1.5 which contains a lot of error corrections and some additional material.C.

This title is also available from the Wilmott Bookshop at a competitive price. Mathematical Finance

it's a good book!

mj You recommend to buy this book?I could do with some reading material over xmas break. Is it worth it?

QuoteOriginally posted by: mjit's a good book!the book is just about OK - definitely not good. I found that the only valuable parts of the book are the sections on Monte Carlo, which is the field of expertise of the author and where he succeeds in providing a fresh and modern viewpoint. This is really quite good. You can get all that is relevant on this on the author's website afaik. I won't criticize too much the hybrid MF stuff, since I am not well read at that. The book is not good in other respects, I think. there is zilch on "backward algorithms", zilch on short rate models.people just write too many books. it doesn't make sense. I think that if experts focused on publishing their working papers in their area of expertise on SSRN, the world would be a much better place.

QuoteOriginally posted by: unkpathQuoteOriginally posted by: mjit's a good book!the book is just about OK - definitely not good. I found that the only valuable parts of the book are the sections on Monte Carlo, which is the field of expertise of the author and where he succeeds in providing a fresh and modern viewpoint. This is really quite good. You can get all that is relevant on this on the author's website afaik. I won't criticize too much the hybrid MF stuff, since I am not well read at that. The book is not good in other respects, I think. there is zilch on "backward algorithms", zilch on short rate models.people just write too many books. it doesn't make sense. I think that if experts focused on publishing their working papers in their area of expertise on SSRN, the world would be a much better place.Compare the monetary incentives.

QuoteOriginally posted by: mjit's a good book!Thanks for the positive feedback.PS: Since the book is indeed focused on the sde/Monte-Carlo side of mathematical finance, I take unkpath’s comment as a positive feedback too ;-)QuoteOriginally posted by: unkpathI found that the only valuable parts of the book are the sections on Monte Carlo, which is the field of expertise of the author and where he succeeds in providing a fresh and modern viewpoint.This is really quite good. You can get all that is relevant on this on the author's website afaik. I won't criticize too much the hybrid MF stuff, since I am not well read at that. The book is not good in other respects, I think. there is zilch on "backward algorithms", zilch on short rate models.Yes, your are right, the book does not offer much on pde’s and short rate models. This should be clear if you check the table of contents and the page numbers (an extended table of contents, including sub-sub-subsections, can be found on the book's homepage). To some extend the brief treatment short rate models is intentional. Examples: I discuss short rate models mainly because I wanted to show how you can interpret the LIBOR market model as a short rate model (with a path-dependent) drift and to discuss how mean-reversion (of the short rate) manifests itself within the LMM. It does not discuss short rate models as pricing model (e.g., calibration of short rate models is missing). On the Cheyette model and it’s pde implementation it simply states the model and then references Peter Landgraf's book (I was the co-supervisor of his thesis; I suggested that he should do Cheyette, such that I don’t need to do it . I believe that Monte-Carlo methods are much more important for a first contact with mathematical finance. Also, I believe that Monte-Carlo methods have an edge over lattices in terms of a “general purpose pricing platform”.I had to leave out some aspects in order to focus and improve on others (the book already has 544 pages).QuoteOriginally posted by: unkpathpeople just write too many books. it doesn't make sense. I think that if experts focused on publishing their working papers in their area of expertise on SSRN, the world would be a much better place.I agree! This is a very important point, which might deserve a dedicated thread.The problem is that authors are not as free as it seems. Some authors need to publish in reviewed journals because the number of publications on SSRN and the number of downloads is not taken into account when judging an author. Mark Joshi for example is judged by his university according to the number of publications and on the type of journals. SSRN does not count.To some extend this applies to “Wiley versus lulu” too: With a publisher the book undergoes a (peer-)review and copy editing process. However, I would agree that the books from professional publishers are too expensive. When I approached Wiley I wasn’t aware that the author has only very little to say on the pricing. Next book might go to lulu.I publish everything on the web and the book was available for free as a 400-pages PDF for years. Although I get nice feedback for doing so, it feels as if such a move is not really honored by the system.I don't know any authors that does not put his stuff on the web prior publication, thus forcing the interested reader to buy the journal in order to read his work. With books, it is different.QuoteOriginally posted by: lognormalCompare the monetary incentives.Money is not the incentive: From $100 there goes $30 to sales (amazon.com) and $70 to the publisher. From the $70 the author usually gets some 10%, 15% if he sells more copies, so let's assume he gets $10 per book. From these $10 he has to pay income tax (at least I have to) leaving the author with $5 per book – at most. Such books sell something like 1000-5000 copies. From the first 1000 copies I bought some new computer hardware, because my laptop suffered from writing the book. If there is money left I have to pay a vacation to my family since writing the book required an enormous amount of weekend-work.Christian

I've set up a forum on www.markjoshi.com to discuss details in this book.