Paul Wilmott Introduces Quantitative Finance

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John Wiley & Sons, Jan 11, 2007 - Business & Economics - 544 pages
2 Reviews
In this updated student edition, Paul Wilmott updates and extends his earlier classic, Derivatives: The Theory and Practice of Financial Engineering. Included on CD are numerous Bloomberg screen dumps to illustrate, in real terms, the points raised in the book, along with essential Visual basic code, spreadsheet explanations of the models, and the reproduction of term sheets and option classification tables. The author presents all the current financial theories in a manner designed to make them easy to understand and implement.

Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

 

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User Review  - CamKC - LibraryThing

Excellent anti-dote to conventional, dull finance text-books. Vibrant content, with interesting asides about crashes and investment collapses, careful graphics that elegantly show data and formulae in ... Read full review

LibraryThing Review

User Review  - sthitha_pragjna - LibraryThing

Wilmott is an institution, and this book (or the three volume version) is one that any aspiring quant will do very well to read. Read full review

Contents

1 Products and Markets Equities Commodities Exchange Rates Forwards and Futures
1
2 Derivatives
27
3 Predicting the Markets? A Small Digression
59
4 All the Math You Need and No More An Executive Summary
75
5 The Binomial Model
85
6 The Random Behavior of Assets
101
7 Elementary Stochastic Calculus
119
8 The BlackScholes Model
139
16 OneFactor Interest Rate Modeling
285
17 Interest Rate Derivatives
299
18 Heath Jarrow and Morton
319
19 Portfolio Management
335
20 Value at Risk
355
21 Credit Risk
367
22 RiskMetrics and CreditMetrics
383
23 CrashMetrics
393

9 Partial Differential Equations
155
10 The BlackScholes Formulas and the Greeks
163
11 MultiAsset Options
193
12 An Introduction to Exotic and PathDependent Options
207
13 Barrier Options
227
14 FixedIncome Products and Analysis Yield Duration and Convexity
251
15 Swaps
275
24 Derivatives Ups
413
25 FiniteDifference Methods for OneFactor Models
427
26 Monte Carlo Simulation and Related Methods
453
Appendix A A Trading Game
479
Bibliography
485
Index
507
Copyright

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About the author (2007)

PAUL WILLMOTT, described by the Financial Times as 'cult derivatives lecturer,' is one of the world's leading experts on quantitative finance and derivatives.

He is proprietor of an innovative magazine on quantitative finance and principal of the financial consultancy and training firm, Wilmott Associates. He has written and published widely on quantitative finance. See also his personal website

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