Paul Wilmott on Quantitative Finance, 3 Volume Set

by Paul Wilmott 

DESCRIPTION

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.

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.

TABLE OF CONTENTS

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).