Paul Wilmott

Paul Wilmott Introduces Quantitative Finance (eBook, PDF)

• Format: PDF

Produktbeschreibung

Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.

Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 722
• Erscheinungstermin: 29. Juni 2007
• Englisch
• ISBN-13: 9780470512869
• Artikelnr.: 37296285

Autorenporträt

Paul Wilmott, described by the Financial Times as 'cult derivatives lecturer,' is one of the world's leading experts on quantitative finance and derivatives. He is the proprietor of an innovative magazine on quantitative finance and a highly popular community website (www.wilmott.com). He was formerly a partner in a successful volatility arbitrage hedge fund and is currently the principal of the financial consultancy and training firm, Wilmott Associates, and Course Director for the Certificate in Quantitative Finance. Dr Wilmott has researched and published widely on financial engineering. PWIQF2 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, Second Edition, itself an update to Derivatives, the book includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice.

Inhaltsangabe

Preface xxiii 1 Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures 1 2 Derivatives 27 3 The Binomial Model 59 4 The Random Behavior of Assets 95 5 Elementary Stochastic Calculus 117 6 The Black-Scholes Model 139 7 Partial Differential Equations 157 8 The Black-Scholes Formulæ and the 'Greeks' 169 9 Overview of Volatility Modeling 203 10 How to Delta Hedge 225 11 An Introduction to Exotic and Path-dependent Options 247 12 Multi-asset Options 271 13 Barrier Options 287 14 Fixed-income Products and Analysis: Yield, Duration and Convexity 319 15 Swaps 349 16 One-factor Interest Rate Modeling 359 17 Yield Curve Fitting 373 18 Interest Rate Derivatives 383 19 The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models 403 20 Investment Lessons from Blackjack and Gambling 423 21 Portfolio Management 441 22 Value at Risk 459 23 Credit Risk 473 24 RiskMetrics and CreditMetrics 495 25 CrashMetrics 505 26 Derivatives **** Ups 527 27 Overview of Numerical Methods 541 28 Finite-difference Methods for One-factor Models 549 29 Monte Carlo Simulation 581 30 Numerical Integration 605 A All the Math You Need. . . and No More (An Executive Summary) 617 B Forecasting the Markets? A Small Digression 627 C A Trading Game 643 D Contents of CD accompanying Paul Wilmott Introduces Quantitative Finance, second edition 649 E What you get if (when) you upgrade to PWOQF2 653 Bibliography 659 Index 683

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Preface. 1 Products and Markets: Equities, Commodities, Exchange Rates,
Forwards and Futures. 2 Derivatives. 3 The Binomial Model. 4 The Random
Behavior of Assets. 5 Elementary Stochastic Calculus. 6 The Black-Scholes
Model. 7 Partial Differential Equations. 8 The Black-Scholes Formulæ and
the 'Greeks'. 9 Overview of Volatility Modeling. 10 How to Delta Hedge. 11
An Introduction to Exotic and Path-dependent Options. 12 Multi-asset
Options. 13 Barrier Options. 14 Fixed-income Products and Analysis: Yield,
Duration and Convexity. 15 Swaps. 16 One-factor Interest Rate Modeling. 17
Yield Curve Fitting. 18 Interest Rate Derivatives. 19 The Heath, Jarrow &
Morton and Brace, Gatarek & Musiela Models. 20 Investment Lessons from
Blackjack and Gambling. 21 Portfolio Management. 22 Value at Risk. 23
Credit Risk. 24 RiskMetrics and CreditMetrics. 25 CrashMetrics. 26
Derivatives **** Ups. 27 Overview of Numerical Methods. 28
Finite-difference Methods for One-factor Models. 29 Monte Carlo Simulation.
30 Numerical Integration. A All the Math You Need. . . and No More (An
Executive Summary). B Forecasting the Markets? A Small Digression. C A
Trading Game. D Contents of CD accompanying Paul Wilmott Introduces
Quantitative Finance, second edition. E What you get if (when) you upgrade
to PWOQF2. Bibliography. Index.