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Derivatives by Paul Wilmott
  • Derivatives

  • The Theory and Practice of Financial Engineering

  • by Paul Wilmott
    - OUT OF PRINT -
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      • Product code: 9542
      • ISBN: 0471983667, ISBN13: 9780471983668, 740 pages, CD-Rom + pb
        Published by John Wiley & Sons in 1998 , 1st edition
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      Description of Derivatives

      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But derivatives goes much further, steering the reader towards an understanding of highly sophisticated and previously unpublished techniques and models.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.]

      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

      Contents of Derivatives

      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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