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In stock, usually dispatched within 24 hours
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- Product code: 23017
- ISBN: 0470018704,
ISBN13: 9780470018705,
1500 pages,
Published by John Wiley & Sons on 2006
, 2nd Revised edition Rate this book...
Rating: 2.6/5 (5 votes cast)
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Description of Paul Wilmott on Quantitative Finance |
"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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Contents of Paul Wilmott on Quantitative Finance |
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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