Paul Wilmott on Quantitative Finance, 3 Volume Set

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Wiley, 11.01.2007 - 1500 Seiten
0 Rezensionen
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 areThe Random Behavior of AssetsThe Black-Scholes ModelThe Black-Scholes Formulae and the a Greeksa Early Exercise and American OptionsHow to Delta HedgeFixed-income Products and Analysis: Yield, Duration and ConvexitySwapsThe Binomial ModelHow 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 a in cartoon form, readers will be relieved to hear a 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 OptionsDerivatives and Stochastic ControlEquity and FX Term SheetsOne-factor Interest Rate ModelingEmpirical Behavior of the Spot Interest RateThe Heath, Jarrow & Morton and Brace, Gatarek & Musiela ModelsFixed Income Term SheetsValue of the Firm and the Risk of DefaultCredit RiskCrashMetricsDerivatives **** 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 a in cartoon form, readers will be relieved to hear a 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 areDefects in the Black-Scholes ModelOverview of Volatility ModelingVolatility Smiles and SurfacesStochastic VolatilityUncertain ParametersEmpirical Analysis of VolatilityStochastic Volatility and Mean-variance AnalysisVolatility Case Study: The Cliquet OptionCrash ModelingStatic HedgingInterest-rate Modeling Without ProbabilitiesModeling InflationEnergy DerivativesReal OptionsLife Settlements and ViaticalsFinite-difference Methods for One-factor ModelsMonte Carlo Simulation and Related MethodsNumerical Integration and Simulation MethodsFinite-difference ProgramsMonte 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 a in cartoon form, readers will be relieved to hear a to personally highlight and explain the key sections and issues discussed.

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Über den Autor (2007)

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