The Theory and Practice of Financial Engineeringby Paul Wilmott
This book is OUT OF PRINT
You may be able to find a copy at ABE Books
Description of DerivativesDerivatives 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But derivatives goes much further, steering the reader towards an understanding of highly sophisticated and previously unpublished techniques and models.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.]
Press and Industry Reviews'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
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Contents of DerivativesProlog
PART ONE: BASIC THEORY OF DERIVATIVES
1. Products and Markets
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
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
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