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Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)

 
 
 
 
Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)
Author: Paul Wilmott
ISBN 13: 9780470018705
ISBN 10: 470018704
Edition: 2
Publisher: Wiley
Publication Date: 2006-03-06
Format: Hardcover
Pages: 1500
List Price: $295.00
 
 

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 —Greeks—

  • 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 — in cartoon form, readers will be relieved to hear — to personally highlight and explain the key sections and issues discussed.

A

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 — in cartoon form, readers will be relieved to hear — to personally highlight and explain the key sections and issues discussed.

TheA 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 — in cartoon form, readers will be relieved to hear — to personally highlight and explain the key sections and issues discussed.

Booknews

This two-volume set is a revised edition of a 1998 book titled ; the new title reflects its broader scope. Wilmott<--> a financial consultant, trainer, author, and software developer<-->is also a guy who writes with verve, humor, and clarity. In the first volume he begins with the basic theory of derivatives; this section is self-contained and requires little knowledge of finance and no more than elementary calculus. The terrain gets a little rougher in his subsequent discussion of various aspects of path dependency and his detailed explication of the Black-Scholes model. In the second volume, coverage includes interest rates and products, risk measurement and management, numerical methods, and miscellaneous topics. Throughout, Wilmott lightens the learning task with cartoon icons of himself in various poses to highlight important points, express his opinions, and identify ambiguous areas. Annotation c. Book News, Inc., Portland, OR (booknews.com)