Paul Wilmott

Paul Wilmott on Quantitative Finance, 3 Volume Set

• Gebundenes Buch

Produktbeschreibung

Diese Neuerscheinung basiert auf dem Vorgängertitel "Derivatives: The Theory and Practice of Financial Engineering" vom gleichen Autor. Umfassend aktualisiert, überarbeitet und erweitert, bietet "Paul Wilmott on Quantitative Finance" topaktuelle Information über Derivate und verwandte Finanzprodukte in zwei Bänden. Enthalten sind die Themen des ersten Buches plus 16 neue Kapitel zu den jüngsten Entwicklungen auf diesem Gebiet sowie klare und detaillierte Erläuterungen zu allen mathematischen Verfahren und Techniken. Paul Wilmott hat mit diesem Buch ein einzigartiges Nachschlagewerk geschaffen und einen neuen Maßstab für Finanzliteratur gesetzt. Er gilt als anerkannte Autorität und zählt zu den führenden europäischen Schriftstellern und Consultants auf dem Gebiet der Finanzmathematik. Darüber hinaus ist er Chef von Wilmott Associates, ein führendes internationales Finanz-Consultingunternehmen, das u.a. die Citibank, IBM, Maxima und Dresdner Kleinwort Benson zu seinen Kunden zählt.

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Produktdetails

• Verlag: Wiley & Sons
• 2. Aufl.
• Seitenzahl: 1500
• Erscheinungstermin: 20. Januar 2006
• Englisch
• Abmessung: 263mm x 203mm x 112mm
• Gewicht: 3580g
• ISBN-13: 9780470018705
• ISBN-10: 0470018704
• Artikelnr.: 20907397

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).