Paul Wilmott Introduces Quantitative Finance

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.

Auteur
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

Texte du rabat
Paul Wilmott Introduces Quantitative Finance is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, work Paul Wilmott on Quantitative Finance, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. New software has been added and sidebars included which explain the mathematics for those less confident in this area.

In praise of Paul Wilmott and his previous works
'It is a serious work that takes the reader all the way from the simplest of notions to the most complicated of recent models. In short it is the most comprehensive and up to date textbook on options that I have seen . . . The style is jocular, but the content heavyweight. ... Who ever heard of a mathematician who could convey the intuition of a result to those with a less complete training in the subject? Wilmott is an exception: he knows when a result is hard to understand and treats the reader in a sympathetic manner. This book is a splendid achievement' The Times Higher Educational Supplement
'..a text which will probably come to rank alongside Fabozzi's collected works of Leibowitz as a comprehensive practical reference source for financial theory. Dr Wilmott is an academic who clearly prides himself on his knowledge of the practical side of finance' Futures and OTC World
'Paul Wilmott has produced one of the most exciting and classic reference volumes on derivatives which is a must for . . . students, practitioners, risk managers' Global Trading
'The style is pedagogical and yet very lively and easygoing. As only great teachers can, Wilmott makes even the most obtuse mathematics seem easy and intuitive' Marco Avellaneda, Professor of Mathematics and Director. Division of Quantitative Finance, Courant Institute of Mathematical Science, New York University
'Paul Wilmott changed my life' David Newton, Manchester Business School

Contenu
Preface.

Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures.

Derivatives.

Predicting the Markets? A Small Digression.

All the Math You Need ... and No More (An Executive Summary).

The Binomial Model.

The Random Behavior of Assets.

Elementary Stochastic Calculus.

The Black--Scholes Model.

Partial Differential Equations.

The Black--Scholes Formulas and the 'Greeks'.

Multi-Asset Options.

An Introduction to Exotic and Path-Dependent Options.

Barrier Options.

Fixed-Income Products and Analysis: Yield, Duration and Convexity.

Swaps.

One-Factor Interest Rate Modeling.

Interest Rate Derivatives.

Heath, Jarrow and Morton.

Portfolio Management.

Value at Risk.

Credit Risk.

RiskMetrics and CreditMetrics.

CrashMetrics.

Derivatives Ups.

Finite-Difference Methods for One-Factor Models.

Monte Carlo Simulation and Related Methods.

Appendix A: A Trading Game.

Appendix B: What You Get If (When) You Upgrade ...

Contents of the CD.

Bibliography.

Index.