Paul Wilmott on Quantitative Finance / Edition 2

Paul Wilmott on Quantitative Finance / Edition 2

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by Paul Wilmott
     
 

ISBN-10: 0470018704

ISBN-13: 9780470018705

Pub. Date: 03/10/2006

Publisher: Wiley

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

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Overview

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.

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Product Details

ISBN-13:
9780470018705
Publisher:
Wiley
Publication date:
03/10/2006
Edition description:
3 Volume Set
Pages:
1500
Product dimensions:
8.10(w) x 11.10(h) x 4.30(d)

Table of Contents

Volume 1

Chapter 1: Products and Markets
Chapter 2: Derivatives
Chapter 3: The Random Behavior of Assets
Chapter 4: Elementary Stochastic Calculus
Chapter 5: The Black-Scholes Model
Chapter 6: Partial Differential Equations
Chapter 7: The Black-Scholes Formulae and the 'Greeks'
Chapter 8: Simple Generalizations of the Black-Scholes World
Chapter 9: Early Exercise and American Options
Chapter 10: Probability Density Functions and First Exit Times
Chapter 11: Multi-asset Options
Chapter 12: The Binomial Model
Chapter 13: Predicting the Markets?
Chapter 14: The Trading Game
Chapter 15: An Introduction to Exotic and Path-dependent Options
Chapter 16: Barrier Options
Chapter 17: Strongly Path-dependent Options
Chapter 18: Asian Options
Chapter 19: Lookback Options
Chapter 20: Derivatives and Stochastic Control
Chapter 21: Miscellaneous Exotics
Chapter 22: Defects of the Black-Scholes Model
Chapter 23: Discrete Hedging
Chapter 24: Transaction Costs
Chapter 25: Volatility Smiles and Surfaces
Chapter 26: Stochastic Volatility
Chapter 21: Uncertain Parameters
Chapter 28: Empirical Analysis of Volatility
Chapter 29: Jump Diffusion
Chapter 30: Crash Modeling
Chapter 31: Speculating With Options
Chapter 32: Static Hedging
Chapter 33: The Feedback Effect of Hedging in Illiquid Markets
Chapter 34: Utility Theory
Chapter 35: More About American Options and Related Matters
Chapter 36: Stochastic Volatility and Mean-variance Analysis
Chapter 37: Advanced Dividend Modeling

Volume 2


Chapter 38: Fixed-income Products and Analysis: Yield, Duration and Convexity
Chapter 39: Swaps
Chapter 40: One-factor Interest Rate Modeling
Chapter 41: Yield Curve Fitting
Chapter 42: Interest Rate Derivatives
Chapter 43: Convertible Bonds
Chapter 44: Mortgage-backed Securities
Chapter 45: Multi-factor Interest Rate Modeling
Chapter 46: Empirical Behavior of the Spot Interest Rate
Chapter 47: Heath, Jarrow and Morton
Chapter 48: Interest-rate Modeling Without Probabilities
Chapter 49: Pricing and Optimal Hedging of Derivatives, the Non-probabilistic Model Cont'd
Chapter 50: Extensions to the Non-probabilistic Interest-rate Model
Chapter 51: Portfolio Management
Chapter 52: Asset Allocation in Continuous Time
Chapter 53: Value at Risk
Chapter 54: Value of the Firm and the Risk of Default
Chapter 55: Credit Risk
Chapter 56: Credit Derivatives
Chapter 57: RiskMetrics and CreditMetrics
Chapter 58: CrashMetrics
Chapter 59: Derivatives **** Ups
Chapter 60: Bonus Time
Chapter 61: Real Options
Chapter 62: Energy Derivatives
Chapter 63: Finite-difference Methods for One-factor Models
Chapter 64: Further Finite-difference Methods for One-factor Models
Chapter 65: Finite-difference Methods for Two-factor Models
Chapter 66: Monte Carlo Simulation and Related Methods
Chapter 67: Finite-difference Programs Appendix: All the Math You Need ... and No More (An Executive Summary)

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