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Paul Wilmott on quantitative finance.

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Author/Creator:
Wilmott, Paul.
Language:
English.
Publication date:
2006
Imprint:
2nd ed. - Chichester, England ; Hoboken, NJ : John Wiley & Sons, c2006.
Format:
  • Book
  • 3 v. : ill ; 26 cm. + 1 CD-ROM (4 3/4 in.)
Bibliography:
Includes bibliographical references and index.
Contents:
  • PART ONE. MATHEMATICAL AND FINANCIAL FOUNDATIONS; BASIC THEORY OF DERIVATIVES; RISK AND RETURN
  • 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 Derivatives
  • 23. Barrier Options
  • 24. Strongly Path-Dependent Derivatives
  • 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.
  • PART FIVE. ADVANCED TOPICS
  • 45. Financial Modeling
  • 46. Defects in the Black-Scholes Model
  • 47. Discrete Hedging
  • 48. Transaction Costs
  • 49. Overview of Volatility Modeling
  • 50. Deterministic Volatility 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
  • 81. Numerical Integration
  • 82. Finite-difference Programs
  • 83. Monte Carlo Programs
  • Appendix A All the Math You Need. . . and No More (An Executive Summary)
  • A.1. Introduction
  • A.2. The different types of mathematics found in finance
  • A.3. e
  • A.4. log
  • A.5. Differentiation and Taylor series
  • A.6. Expectation and variance
  • A.7. Another look at Black-Scholes
  • A.8. Summary
  • Bibliography
  • Index.
Note:
Table of Contents also issued online.
Format:
System requirements for accompanying disc: IBM compatible PC; Microsoft Excel with Solver add-in; Adobe Acrobat reader; CD-ROM drive.
Subjects:
ISBN:
0470018704
9780470018705

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