Paul Wilmott on Quantitative Finance / Edition 2

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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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Editorial Reviews

This two-volume set is a revised edition of a 1998 book titled ; the new title reflects its broader scope. Wilmott<--> a financial consultant, trainer, author, and software developer<-->is also a guy who writes with verve, humor, and clarity. In the first volume he begins with the basic theory of derivatives; this section is self-contained and requires little knowledge of finance and no more than elementary calculus. The terrain gets a little rougher in his subsequent discussion of various aspects of path dependency and his detailed explication of the Black-Scholes model. In the second volume, coverage includes interest rates and products, risk measurement and management, numerical methods, and miscellaneous topics. Throughout, Wilmott lightens the learning task with cartoon icons of himself in various poses to highlight important points, express his opinions, and identify ambiguous areas. Annotation c. Book News, Inc., Portland, OR (
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Product Details

  • ISBN-13: 9780470018705
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 3/10/2006
  • Edition description: 3 Volume Set
  • Edition number: 2
  • Pages: 1500
  • Sales rank: 895,349
  • Product dimensions: 8.10 (w) x 11.10 (h) x 4.30 (d)

Table of Contents

1. Products and Markets.

2. Derivatives.

3. The Random Behavior of Assets.

4. Elementary Stochastic Calculus.

5. The Black-Scholes Model.

6. Partial Differential Equations.

7. The Black-Scholes Formulae and the ‘Greeks’.

8. Simple Generalizations of the Black-Scholes World.

9. Early Exercise and American Options.

10. Probability Density Functions and First Exit Times.

11. Multi-asset Options.

12. How to Delta Hedge.

13. Fixed-income Products and Analysis: Yield, Duration and Convexity.

14. Swaps.

15. The Binomial Model.

16. How Accurate is the Normal Approximation?

17. Investment Lessons from Blackjack and Gambling.

18. Portfolio Management.

19. Value at Risk.

20. Forecasting the Markets?

21. A Trading Game.

22. An Introduction to Exotic and Path-dependent Options.

23. Barrier Options.

24. Strongly Path-dependent Options.

25. Asian Options.

26. Lookback Options.

27. Derivatives and Stochastic Control.

28. Miscellaneous Exotics.

29. Equity and FX Term Sheets.

30. One-factor Interest Rate Modeling.

31. Yield Curve Fitting.

32. Interest Rate Derivatives.

33. Convertible Bonds.

34. Mortgage-backed Securities.

35. Multi-factor Interest Rate Modeling.

36. Empirical Behavior of the Spot Interest Rate.

37. The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models.

38. Fixed Income Term Sheets.

39. Value of the Firm and the Risk of Default.

40. Credit Risk.

41. Credit Derivatives.

42. RiskMetrics and CreditMetrics.

43. CrashMetrics.

44. Derivatives **** Ups.

45. Financial Modeling.

46. Defects in the Black-Scholes Model.

47. Discrete Hedging.

48. Transaction Costs.

49. Overview of Volatility Modeling.

50. Volatility Smiles and Surfaces.

51. Stochastic Volatility.

52. Uncertain Parameters.

53. Empirical Analysis of Volatility.

54. Stochastic Volatility and Mean-variance Analysis.

55. Asymptotic Analysis of Volatility.

56. Volatility Case Study: The Cliquet Option.

57. Jump Diffusion.

58. Crash Modeling.

59. Speculating with Options.

60. Static Hedging.

61. The Feedback Effect of Hedging in Illiquid Markets.

62. Utility Theory.

63. More About American Options and Related Matters.

64. Advanced Dividend Modeling.

65. Serial Autocorrelation in Returns.

66. Asset Allocation in Continuous Time.

67. Asset Allocation Under Threat Of A Crash.

68. Interest-rate Modeling Without Probabilities.

69. Pricing and Optimal Hedging of Derivatives, the Non-probabilistic Model Cont'd.

70. Extensions to the Non-probabilistic Interest-rate Model.

71. Modeling Inflation.

72. Energy Derivatives.

73. Real Options.

74. Life Settlements and Viaticals.

75. Bonus Time.

76. Overview of Numerical Methods.

77. Finite-difference Methods for One-factor Models.

78. Further Finite-difference Methods for One-factor Models.

79. Finite-difference Methods for Two-factor Models.

80. Monte Carlo Simulation and Related Methods.

81. Numerical Integration and Simulation Methods.

82. Finite-difference Programs.

83. Monte Carlo Programs.

A. All the Math You Need… and No More (An Executive Summary).

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  • Anonymous

    Posted August 19, 2000

    Oh Yes!

    Reading these books feels like coming home after all the jargon-filled, probabilistic **** of more traditional books! As an ex-physicist I really appreciate the way Wilmott approaches the subject. Most of the methodology is the kind of math I'm used to. The martingale stuff is kept well out of the way, but by half way through you'll realise why...the probabilistic approach is just too limited. I'd like to see the probabilists do some of the funky models that Wilmott describes. Some of my favourite chapters were the ones on non-probabilistic interest rate models. Totally creative and fascinating. Can I give this six stars?

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