Paul Wilmott on Quantitative Finance (PDF)
(Sprache: Englisch)
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...
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...
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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.
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.
Inhaltsverzeichnis zu „Paul Wilmott on Quantitative Finance (PDF)“
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 Options. 23. Barrier Options. 24. Strongly Path-dependent Options. 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. 45. Financial Modeling. 46. Defects in the Black-Scholes 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 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
... mehr
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 and Related Methods. 81. Numerical Integration and Simulation Methods. 82. Finite-difference Programs. 83. Monte Carlo Programs. A. All the Math You Need... and No More (An Executive Summary).
... weniger
Autoren-Porträt von Paul Wilmott
Paul Wilmott is a researcher, consultant and lecturer in quantitative finance in London, UK. He is founder of Wilmott Associates, a financial consultancy and training firm, from which he publishes Wilmott magazine. The Financial Times called him a "cult derivatives lecturer." He is one of the world's leading experts on quantitative finance and derivatives and is renowned for his criticism of popular models and concepts and for his unique, informal writing style.
Bibliographische Angaben
- Autor: Paul Wilmott
- 2007, 2. Auflage, 1500 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470060778
- ISBN-13: 9780470060773
- Erscheinungsdatum: 11.01.2007
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- Größe: 21 MB
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Sprache:
Englisch
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