Derivatives provides everything everyone needs to know about the subject. Approaching the area in his own individualistic style, Paul Wilmott has written a book that delivers essential information for students and practitioners alike. The traditional approach of other books has been overturned. Fundamentals such as readability, openness and a willingness to challenge traditional concepts have been combined with comprehensiveness and sophistication. Paul Wilmott's understanding of the basics of finance and his ability to communicate that in an accessible style forms the foundation of this book. But derivatives goes much further, steering the reader towards an understanding of highly sophisticated and previously unpublished techniques and models. The theory is coupled with implementation through the reproduction of numerous spreadsheets, Visual Basic programs and the addition of a CD comprising a wide variety of resource material. [Note: this is a heavy book! Our normal cost of postage within the UK is £2.00 per book, for this particular title we charge £4.00 for Next-Day courier delivery.]
'The longest and most inclusive book ever written about derivatives - a necessary reference for serious derivatives students.' Mark Rubinstein, Professor of Applied Investment Analysis, UCLA 'Likely to become the bible of financial engineering.' Philippe Jorion, Professor of Finance, Graduate School of Management, University of California-Irvine 'Paul Wilmott is the Carl Sagan of quantitative finance - a brilliant academician and researcher. His latest book is a mammoth undertaking, a book worth writing and a book worth reading. I have no hesitation in commending it to a wide spectrum of readers.' Rudi Bogni, Chief Executive, Private Banking, UBS 'Wilmott knows what it takes to be both comprehensive and pedagogical. Even though he is a mathematician by training he has this rare skill to correctly twist the maths until they confess the underlying economics. Read this book and you'll be converted.' Eric Briys, International Fixed Income Research, Lehman Brothers 'Just what I would have expected from an immensely talented individual. An authoritative, friendly guide to the complex world of derivative analysis.' Edmond Levy, Specialized Derivatives Group, HSBC Midland 'Paul Wilmott's book provides a refreshing look at option pricing. His views are always interesting, often original and sometimes provocative.' Ricardo Rebonato, Director and Head of Research at barclays Capital 'A book of this breadth and depth which is not merely a regurgitation of work published by others but contains truly original reserach is cheap at double the price.' Keesup Choe, Head of Arbitrage, Nomura International
Prolog PART ONE: BASIC THEORY OF DERIVATIVES 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. The Binomial Model PART TWO: PATH DEPENDENCY 13. An Intriduction to Exotic and Path-Dependent Models 14. Barrier Options 15. Strongly Path-Dependent Options 16. Asian Options 17. Lookback Options 18. Miscellaneous Exotics PART THREE: EXTENDING BLACK-SCHOLES 19. Defects in the Black-Scholes Model 20. Discrete Hedging 21. Transaction Costs 22. Volatility Smiles and Surfaces 23. Stochastic Volatility 24. Uncertain Parameters 25. Empirical Analysis of Volatility 26. Jump Diffusion 27. Crash Modeling 28. Speculating with Options 29. The Feedback Effect of Hedging in Illiquid Markets 30. Static Hedging PART FOUR: INTEREST RATES AND PRODUCTS
31. Fixed Income Products and Analysis: Yield, Duration and Convexity 32. Swaps 33. One-Factor Interest Rate Modeling 34. Yield Curve Fitting 35. Interest Rate Derivatives 36. Convertible Bonds 37. Two-Factor Interest Rate Modeling 38. Empirical Behaviour of the Spot Interest Rate 39. Heath, Jarrow and Morton 40. Interest-Rate Modeling without Probabilities PART FIVE: RISK MEASUREMENT AND MANAGEMENT 41. Portfolio Management 42. Value at Risk 43. Credit Risk 44. Credit Derivatives 45. RiskMetrics, CreditMetrics and CrashMetrics PART SIX: NUMERICAL METHODS 46. Finite-Difference Methods for One-Factor Models 47. Further Finite-Difference Methods for One-Factor Models 48. Finite-Difference Methods for Two-Factor Models 49. Monte Carlo Simulation and Related Methods 50. Finite-Difference Programs Epilog Bibliography Index
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