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Paul Wilmott on Quantitative Finance 2nd edition by Paul Wilmott ISBN 0470060778 9780470060773

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ISBN 10: 0470060778
ISBN 13: 9780470060773
Author: Paul Wilmott

Paul Wilmott on Quantitative Finance, Second Edition provides a thoroughly updated look at derivatives and financial engineering, published in three volumes with additional CD-ROM.

Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return.
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.

Volume 2: Exotic Contracts and Path Dependency; Fixed Income Modeling and Derivatives; Credit Risk
In this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets.

Volume 3: 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.

Throughout the volumes, 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.

Paul Wilmott on Quantitative Finance 2nd Table of contents:

  • Introduction to Financial Derivatives

    • 1.1. Overview of Financial Products

    • 1.2. Basic Theory of Derivatives

  • Pricing Models and Theories

    • 2.1. Time Value of Money

    • 2.2. The Black-Scholes Model for Option Pricing

    • 2.3. Stochastic Calculus and Asset Behavior

    • 2.4. Importance of Volatility and Risk Assessment

  • Advanced Topics in Derivatives

    • 3.1. Multi-Asset Options

    • 3.2. Credit Risk in Derivatives

    • 3.3. Fixed-Income Products and Derivatives

  • Types of Derivatives

    • 4.1. Exotic Options

    • 4.2. Path-Dependent Derivatives

    • 4.3. Pricing Methodologies for Complex Derivatives

  • Risk Management in Derivatives

    • 5.1. Transaction Costs in Derivatives Trading

    • 5.2. The Role of Credit Derivatives

    • 5.3. Risk Management Strategies

      • 5.3.1. Value at Risk (VaR)

      • 5.3.2. Portfolio Optimization Techniques

  • Numerical Methods and Financial Modeling

    • 6.1. Introduction to Numerical Methods

    • 6.2. Finite-Difference Methods

    • 6.3. Monte Carlo Simulations for Derivative Pricing

  • Empirical Analysis and Applications

    • 7.1. Empirical Data in Financial Derivatives

    • 7.2. Application of Mathematical Concepts in Finance

  • Conclusion

    • 8.1. Summary of Key Concepts

    • 8.2. Tools and Knowledge for Practitioners and Students

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Tags: Paul Wilmott, Quantitative Finance