Product Description
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.
Product Details
Amazon Sales Rank: #40021 in Books
Published on: 2006-03-10
Number of items: 1
Binding: Hardcover
1500 pages
Editorial Reviews
From the Back Cover
The first volume of Paul Wilmott On Quantitative Finance Second Edition, MATHEMATICAL AND FINANCIAL FOUNDATIONS; BASIC THEORY OF DERIVATIVES; RISK AND RETURN.
In this volume 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.
Key chapters in this volume are
The Random Behavior of Assets
The Black-Scholes Model
The Black-Scholes Formulae and the â˜Greeksâ
Early Exercise and American Options
How to Delta Hedge
Fixed-income Products and Analysis: Yield, Duration and Convexity
Swaps
The Binomial Model
How Accurate is the Normal Approximation?
Investment Lessons from Blackjack and Gambling
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 â in cartoon form, readers will be relieved to hear â to personally highlight and explain the key sections and issues discussed.
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The second volume of Paul Wilmott On Quantitative Finance Second Edition, EXOTIC CONTRACTS AND PATH DEPENDENCY; FIXED INCOME MODELING AND DERIVATIVES; CREDIT RISK. I
n this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets.
Key chapters in this volume are
An Introduction to Exotic and Path-dependent Options
Derivatives and Stochastic Control
Equity and FX Term Sheets
One-factor Interest Rate Modeling
Empirical Behavior of the Spot Interest Rate
The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models
Fixed Income Term Sheets
Value of the Firm and the Risk of Default
Credit Risk
CrashMetrics
Derivatives **** Ups
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 â in cartoon form, readers will be relieved to hear â to personally highlight and explain the key sections and issues discussed.
The third volume of Paul Wilmott On Quantitative Finance Second Edition, 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.
Key chapters in this volume are
Defects in the Black-Scholes Model
Overview of Volatility Modeling
Volatility Smiles and Surfaces
Stochastic Volatility
Uncertain Parameters
Empirical Analysis of Volatility
Stochastic Volatility and Mean-variance Analysis
Volatility Case Study: The Cliquet Option
Crash Modeling
Static Hedging
Interest-rate Modeling Without Probabilities
Modeling Inflation
Energy Derivatives
Real Options
Life Settlements and Viaticals
Finite-difference Methods for One-factor Models
Monte Carlo Simulation and Related Methods
Numerical Integration and Simulation Methods
Finite-difference Programs
Monte Carlo Programs
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 â in cartoon form, readers will be relieved to hear â to personally highlight and explain the key sections and issues discussed.
Customer Reviews
Clear and broad coverage
a good set of books. Clear , broad coverage and easy to understand but you may need some background in stochastic calculas / Ito lemma....but these concepts are all explained in the first book. One drawback is that you may find the mathematics are not rigorous enough ....but you can definite follow the suggested book list to deepen your knowledge...highly recommend to someone who need general intro to quant finance.
If you plan to work in quant interest rate derivatives, you *must* read it
I have used this book to teach a quantitative course on Fixed Income and Interest Rate Derivatives to those Master-of-Science students who are ready to enter the job market. Several of them got jobs in the quant finance industry as a result of this course. They told me what kind of questions they had on interviews, e.g., "derive the risk-neutral drift of the general HJM model." This interview question may sound intimidating to the uninitiated. But thanks to the extraordinarily simple exposition given in Wilmott, my students were able to answer this and many other such questions.
The math in this book is not complicated, if you read the book carefully. With some modest effort, you can figure out where the equations come from. Wilmott does a great job of showing only the relevant equations and hiding the less-important intermediate steps. Of course, if a reader bounces from section to section and expects to see everything clearly at the first glance, then he/she has unrealistic expectations of a quant book.
As for the comment by one of the reviewers about Wilmott's cartoons and jokes. There are quite a few of those. But you are free to ignore them if you think they distract you. It's always up to you what to read and what not to.
A big disappointment
I bought this book following all the good reviews Turned out to be a heartbreaker.
1. Artificially bloated -- too many cartoons, flippant and unnecessary jokes mask the whole purpose of the book. Bloomberg pictures are totally unnecessary.
2. Very complicated equations suddenly pop up from nowhere. Author starts from a sound theory. All on a sudden he jumps to completely esoteric equiation and the whole explanation is completely lost. It would be better to dispense with the whole analysis and just give out the final formula.
Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition) by Paul Wilmott
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