More Mathematical Finance

This book has now been published. It is the sequel to the Concepts and Practice of Mathematical Finance. It covers topics which should have made it into the first book but did not, as well as various topics in mathematical finance which I think are neat or less well-known than they should be. It also contains my musings on various topics where my point of view is different from that found in the literature.

Publication date: September 1st 2011 by the Pilot Whale Press

It is now available from and

It is also available from Barnes and Noble.

Here is the table of contents and preface .

Comments, questions, discussion belong on the book bulletin board.


The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst.

“More Mathematical Finance” is Mark Joshi’s fourth book. His previous books including “C++ Design Patterns and Derivatives Pricing” and “Quant Job Interview Questions and Answers” have proven to be indispensable for individuals seeking to become quantitative analysts. His new book continues this trend with a clear exposition of a range of models and techniques in the field of derivatives pricing. Each chapter is accompanied by a set of exercises. These are of a variety of types including simple proofs, complicated derivations and computer projects.  

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