Paul Wilmott on quantitative finance
 Author/Creator
 Wilmott, Paul.
 Language
 English.
 Edition
 2nd ed.
 Imprint
 Chichester, England ; Hoboken, NJ : John Wiley & Sons, c2006.
 Physical description
 3 v. : ill ; 26 cm. + 1 CDROM (4 3/4 in.)
Access
Available online

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Contents/Summary
 Bibliography
 Includes bibliographical references and index.
 Contents

 1. Products and Markets. 2. Derivatives. 3. The Random Behavior of Assets. 4. Elementary Stochastic Calculus. 5. The BlackScholes Model. 6. Partial Differential Equations. 7. The BlackScholes Formulae and the 'Greeks'. 8. Simple Generalizations of the BlackScholes World. 9. Early Exercise and American Options. 10. Probability Density Functions and First Exit Times. 11. Multiasset Options. 12. How to Delta Hedge. 13. Fixedincome 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 Pathdependent Options. 23. Barrier Options. 24. Strongly Pathdependent Options. 25. Asian Options. 26. Lookback Options. 27. Derivatives and Stochastic Control. 28. Miscellaneous Exotics. 29. Equity and FX Term Sheets. 30. Onefactor Interest Rate Modeling. 31. Yield Curve Fitting. 32. Interest Rate Derivatives. 33. Convertible Bonds. 34. Mortgagebacked Securities. 35. Multifactor 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 BlackScholes 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 Meanvariance 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. Interestrate Modeling Without Probabilities. 69. Pricing and Optimal Hedging of Derivatives, the Nonprobabilistic Model Cont'd. 70. Extensions to the Nonprobabilistic Interestrate Model. 71. Modeling Inflation. 72. Energy Derivatives. 73. Real Options. 74. Life Settlements and Viaticals. 75. Bonus Time. 76. Overview of Numerical Methods. 77. Finitedifference Methods for Onefactor Models. 78. Further Finitedifference Methods for Onefactor Models. 79. Finitedifference Methods for Twofactor Models. 80. Monte Carlo Simulation and Related Methods. 81. Numerical Integration and Simulation Methods. 82. Finitedifference Programs. 83. Monte Carlo Programs. A. All the Math You Need... and No More (An Executive Summary).
 (source: Nielsen Book Data)
 Publisher's Summary
 "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.
(source: Nielsen Book Data)  Supplemental links
 Table of contents
Subjects
 Subject
 Derivative securities > Mathematical models.
 Options (Finance) > Mathematical models.
 Options (Finance) > Prices > Mathematical models.
 Instruments dérivés (Finances) > Modèles mathématiques.
 Options (Finances) > Modèles mathématiques.
 Options (Finances) > Prix > Modèles mathématiques.
 Ingénierie financière > Modèles mathématiques.
Bibliographic information
 Publication date
 2006
 Note
 Table of Contents also issued online.
 Format
 System requirements for accompanying disc: IBM compatible PC; Microsoft Excel with Solver addin; Adobe Acrobat reader; CDROM drive.
 ISBN
 0470018704
 9780470018705
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