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- Product code: 22487
- ISBN: 0470017384,
ISBN13: 9780470017388,
448 pages, hardback
Published by John Wiley & Sons, 1st edition, 2005
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Description of The Best of Wilmott 2 |
The Team at Wilmott is very proud to present this compilation of Wilmott magazine articles and presentations from our second year. We have selected some of the very best in cutting-edge research, and the most illuminating of our regular columns.
The technical papers include state-of-the-art pricing tools and models. You'll notice there's a bias towards volatility modelling in the book. Of course, it's one of my favourite topics, but volatility is also the big unknown as far as pricing and hedging is concerned. We present research in this area from some of the best newcomers in this field. You'll see ideas that make a mockery of 'received wisdom,' ideas that are truly paradigm shattering – for we aren't content with a mere 'shift.'
We know you'll enjoy it!
The Best of Wilmott will return again next year…
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Contents of The Best of Wilmott 2 |
Preface.
Foreword
- Elie Ayache
1 Time's Up
- Dan Tudball
2 First Cause
- Dan Tudball
3 Know Your Weapon I
- Espen Gaarder Haug
4 Know Your Weapon II
- Espen Gaarder Haug
5 Take a Chance
- Bill Ziemba
6 Good and Bad Properties of the Kelly Criterion
- Bill Ziemba
7 Mathematics of Gambling and Investment
- Bill Ziemba
8 Efficient estimates for valuing American options
- Mike Staunton
9 The Relative Valuation of an Equity Price Index
- Ruben D. Cohen
10 What the spreadsheet said to the database, just before the regulator shut down the trading floor
- Brian Sentance
11 Ask Marilyn and Win a Car
- Henriette Prast
12 Risk: The Ugly History
- Aaron Brown
13 Thirst for Hurst
- Kent Osband
14 TARNs: Models, Valuation, Risk Sensitivities
- Vladimir V. Piterbarg
15 Fast Valuation of a Portfolio of Barrier Options under the Merton’s Jump Diffusion Hypothesis
- Antony Penaud
16 An Analysis of Pricing Methods for Baskets Options.
- Martin Krekel, Johan de Kock, Ralf Korn and Tin-Kwai Man.
17 Pricing CMS Spread Options and Digital CMS Spread Options with Smile.
- Mourad Berrahoui.
18 The Case for Time Homogeneity.
- Philippe Henrotte.
19 Hybrid Stochastic Volatility Calibration.
- Domingo Tavella, Alexander Giese and Didier Vermeiren.
20 Can Anyone Solve the Smile Problem?.
- Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang.
21 Definitive Smile Model: Part I.
- Elie Ayache.
22 Definitive Smile Model: Part II.
- Elie Ayache.
23 A Perfect Calibration! Now What?.
- Wim Schoutens, Erwin Simons and Jurgen Tistaert
24 Timing the Smile.
- Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Sølna.
25 Inference and Stochastic Volatility.
Alireza Javaheri
26 A Critique of the Crank Nicolson Scheme Strengths and Weaknesses for Financial Instrument Pricing.
- Daniel J. Duffy.
27 Finite Elements and Streamline Diffusion for the Pricing of Structured Financial Instruments.
- Andreas Binder and Andrea Schatz.
28 No Fear of Jumps.
- Y. d'Halluin, D.M. Pooley and P.A. Forsyth.
Index.
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About Paul Wilmott |
Dr Paul Wilmott has been described by the Financial Times as the cult derivatives lecturer.
He has for many years been a financial consultant specializing in derivatives, risk management and quantitative finance. He is the author of the best-selling Paul Wilmott Introduces Quantitative Finance (Wiley 2000) and Paul Wilmott on Quantitative Finance (Wiley 2001). He has written over 100 research articles on finance and mathematics.
Dr Wilmott runs www.wilmott.com, the popular quantitative finance community website, the quant magazine Wilmott, and is the Course Director for the Certificate in Quantitative Finance, www.7city.com/cqf.
Paul Wilmott is a partner in a statistical arbitrage hedge fund.
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