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Paul Wilmott on Quantitative Finance, Second Editionprovides a thoroughly updated look at derivatives and financialengineering, published in three volumes with additional CD-ROM. Volume 1: Mathematical and Financial Foundations; BasicTheory of Derivatives; Risk and Return. The reader is introduced to the fundamental mathematical tools andfinancial concepts needed to understand quantitative finance,portfolio management and derivatives. Parallels are drawn betweenthe respectable world of investing and the not-so-respectable worldof gambling. Volume 2: Exotic Contracts and Path Dependency; Fixed…mehr

Produktbeschreibung
Paul Wilmott on Quantitative Finance, Second Editionprovides a thoroughly updated look at derivatives and financialengineering, published in three volumes with additional CD-ROM. Volume 1: Mathematical and Financial Foundations; BasicTheory of Derivatives; Risk and Return. The reader is introduced to the fundamental mathematical tools andfinancial concepts needed to understand quantitative finance,portfolio management and derivatives. Parallels are drawn betweenthe respectable world of investing and the not-so-respectable worldof gambling. Volume 2: Exotic Contracts and Path Dependency; Fixed IncomeModeling and Derivatives; Credit Risk In this volume the reader sees further applications of stochasticmathematics to new financial problems and different markets. Volume 3: Advanced Topics; Numerical Methods andPrograms. In this volume the reader enters territory rarely seen intextbooks, the cutting-edge research. Numerical methods are alsointroduced so that the models can now all be accurately and quicklysolved. Throughout the volumes, the author has included numerousBloomberg screen dumps to illustrate in real terms the points heraises, together with essential Visual Basic code, spreadsheetexplanations of the models, the reproduction of term sheets andoption classification tables. In addition to the practicalorientation of the book the author himself also appears throughoutthe book--in cartoon form, readers will be relieved tohear--to personally highlight and explain the key sections andissues discussed. Note: CD-ROM/DVD and other supplementary materials arenot included as part of eBook file.

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  • Produktdetails
  • Verlag: John Wiley & Sons
  • Seitenzahl: 1500
  • Erscheinungstermin: 11.01.2007
  • Englisch
  • ISBN-13: 9780470060773
  • Artikelnr.: 37290080
Autorenporträt
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.
Inhaltsangabe
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 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).