The new edition of this finance classic serves as a comprehensive reference on both traditional and new derivatives and financial engineering techniques. Explaining finance in an accessible manner, Wilmott covers all the current financial theories in quantitative finance and makes them easy to understand and implement.
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PRODUCT INFORMATION
Summary
The new edition of this finance classic serves as a comprehensive reference on both traditional and new derivatives and financial engineering techniques. Explaining finance in an accessible manner, Wilmott covers all the current financial theories in quantitative finance and makes them easy to understand and implement.
Description
Paul Wilmott on Quantitative Finance, Second Edition provides a thoroughly updated look at derivatives and financial engineering, published in three volumes with additional CD-ROM.
Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return.
The reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling.
Volume 2: Exotic Contracts and Path Dependency; Fixed Income Modeling and Derivatives; Credit Risk
In this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets.
Volume 3: Advanced Topics; Numerical Methods and Programs.
In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved.
Throughout the volumes, the author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book—in cartoon form, readers will be relieved to hear—to personally highlight and explain the key sections and issues discussed.
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Critic Reviews
“"...a very good first textbook on quantitative finance, especially, not only, for mathematics who need introducing into finance". Zentralblatt MATT May 2008 "...a very good first textbook on quantitative finance, especially, not only, for mathematics who need introducing into finance". Zentralblatt MATT May 2008”
"... a very good first textbook on quantitative finance, especially, not only, for mathematics who need introducing into finance." (Zentralblatt MATT, May 2008)
About the Author
Paul Wilmott is a researcher, consultant and lecturer in quantitative finance in London, UK. He is founder of Wilmott Associates, a financial consultancy and training firm, from which he publishes Wilmott magazine. The Financial Times called him a "cult derivatives lecturer." He is one of the world's leading experts on quantitative finance and derivatives and is renowned for his criticism of popular models and concepts and for his unique, informal writing style.
Back Cover
The first volume of Paul Wilmott On Quantitative Finance Second Edition, MATHEMATICAL AND FINANCIAL FOUNDATIONS; BASIC THEORY OF DERIVATIVES; RISK AND RETURN.
In this volume the reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling.
Key chapters in this volume are
- The Random Behavior of Assets
- The Black-Scholes Model
- The Black-Scholes Formulae and the a??Greeksa??
- Early Exercise and American Options
- How to Delta Hedge
- Fixed-income Products and Analysis: Yield, Duration and Convexity
- Swaps
- The Binomial Model
- How Accurate is the Normal Approximation?
- Investment Lessons from Blackjack and Gambling
The author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables.
In addition to the practical orientation of the book the author himself also appears throughout the book a?? in cartoon form, readers will be relieved to hear a?? to personally highlight and explain the key sections and issues discussed.
A
The second volume of Paul Wilmott On Quantitative Finance Second Edition, EXOTIC CONTRACTS AND PATH DEPENDENCY; FIXED INCOME MODELING AND DERIVATIVES; CREDIT RISK. I
n this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets.
Key chapters in this volume are
An Introduction to Exotic and Path-dependent Options
- Derivatives and Stochastic Control
- Equity and FX Term Sheets
- One-factor Interest Rate Modeling
- Empirical Behavior of the Spot Interest Rate
- The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models
- Fixed Income Term Sheets
- Value of the Firm and the Risk of Default
- Credit Risk
- CrashMetrics
- Derivatives **** Ups
The author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables.
In addition to the practical orientation of the book the author himself also appears throughout the book a?? in cartoon form, readers will be relieved to hear a?? to personally highlight and explain the key sections and issues discussed.
TheA third volume of Paul Wilmott On Quantitative Finance Second Edition, ADVANCED TOPICS; NUMERICAL METHODS AND PROGRAMS.
In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved.
Key chapters in this volume are
- Defects in the Black-Scholes Model
- Overview of Volatility Modeling
- Volatility Smiles and Surfaces
- Stochastic Volatility
- Uncertain Parameters
- Empirical Analysis of Volatility
- Stochastic Volatility and Mean-variance Analysis
- Volatility Case Study: The Cliquet Option
- Crash Modeling
- Static Hedging
- Interest-rate Modeling Without Probabilities
- Modeling Inflation
- Energy Derivatives
- Real Options
- Life Settlements and Viaticals
- Finite-difference Methods for One-factor Models
- Monte Carlo Simulation and Related Methods
- Numerical Integration and Simulation Methods
- Finite-difference Programs
- Monte Carlo Programs
The author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables.
In addition to the practical orientation of the book the author himself also appears throughout the book a?? in cartoon form, readers will be relieved to hear a?? to personally highlight and explain the key sections and issues discussed.
The first volume of Paul Wilmott On Quantitative Finance Second Edition , MATHEMATICAL AND FINANCIAL FOUNDATIONS; BASIC THEORY OF DERIVATIVES; RISK AND RETURN. In this volume the reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling. Key chapters in this volume are The Random Behavior of Assets The Black-Scholes Model The Black-Scholes Formulae and the ?Greeks? Early Exercise and American Options How to Delta Hedge Fixed-income Products and Analysis: Yield, Duration and Convexity Swaps The Binomial Model How Accurate is the Normal Approximation? Investment Lessons from Blackjack and Gambling The author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book ? in cartoon form, readers will be relieved to hear ? to personally highlight and explain the key sections and issues discussed. The second volume of Paul Wilmott On Quantitative Finance Second Edition , EXOTIC CONTRACTS AND PATH DEPENDENCY; FIXED INCOME MODELING AND DERIVATIVES; CREDIT RISK. I n this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets. Key chapters in this volume are An Introduction to Exotic and Path-dependent Options Derivatives and Stochastic Control Equity and FX Term Sheets One-factor Interest Rate Modeling Empirical Behavior of the Spot Interest Rate The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models Fixed Income Term Sheets Value of the Firm and the Risk of Default Credit Risk CrashMetrics Derivatives Ups The author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book ? in cartoon form, readers will be relieved to hear ? to personally highlight and explain the key sections and issues discussed. The third volume of Paul Wilmott On Quantitative Finance Second Edition , ADVANCED TOPICS; NUMERICAL METHODS AND PROGRAMS. In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved. Key chapters in this volume are Defects in the Black-Scholes Model Overview of Volatility Modeling Volatility Smiles and Surfaces Stochastic Volatility Uncertain Parameters Empirical Analysis of Volatility Stochastic Volatility and Mean-variance Analysis Volatility Case Study: The Cliquet Option Crash Modeling Static Hedging Interest-rate Modeling Without Probabilities Modeling Inflation Energy Derivatives Real Options Life Settlements and Viaticals Finite-difference Methods for One-factor Models Monte Carlo Simulation and Related Methods Numerical Integration and Simulation Methods Finite-difference Programs Monte Carlo Programs The author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book ? in cartoon form, readers will be relieved to hear ? to personally highlight and explain the key sections and issues discussed.
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