Paul Wilmott on Quantitative Finance 2e +CD 3V Set
Autor Paul Wilmotten Limba Engleză Paperback – 20 ian 2006
Notăm cu interes faptul că piața derivatelor a crescut la o dimensiune uluitoare, valoarea noțională a contractelor depășind de câteva ori economia mondială reală. În acest context de complexitate extremă, Paul Wilmott on Quantitative Finance, 3 Volume Set nu este doar o resursă academică, ci un instrument de supraviețuire pentru analiștii cantitativi și managerii de risc. Recomandăm acest set de trei volume ca fiind cea mai accesibilă și cuprinzătoare lucrare de referință din domeniu, reușind să demistifice teorii matematice dense fără a le sacrifica rigoarea. Structura celor 1500 de pagini permite o tranziție fluidă de la conceptele de bază la ingineria financiară avansată, oferind cititorului nu doar ecuații, ci și codul Visual Basic necesar pentru implementare. Complementar volumului Quantitative Finance de MC Mariani, care utilizează limbajele R și MATLAB, lucrarea lui Wilmott se concentrează pe strategii proprii, verificate în piață, și pe o aplicabilitate directă prin instrumente de calcul tabelar. În parcursul său editorial, acest set reprezintă punctul culminant, depășind abordarea introductivă din Paul Wilmott Introduces Quantitative Finance și oferind profunzimea necesară profesioniștilor care au parcurs deja Frequently Asked Questions in Quantitative Finance. Este un tratat care transformă matematica abstractă în decizii financiare pragmatice.
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Specificații
ISBN-13: 9780470018705
ISBN-10: 0470018704
Pagini: 1500
Ilustrații: Illustrations
Dimensiuni: 203 x 263 x 112 mm
Greutate: 3.65 kg
Ediția:2. Auflage
Editura: John Wiley & Sons, Inc.
Locul publicării:Chichester, United Kingdom
ISBN-10: 0470018704
Pagini: 1500
Ilustrații: Illustrations
Dimensiuni: 203 x 263 x 112 mm
Greutate: 3.65 kg
Ediția:2. Auflage
Editura: John Wiley & Sons, Inc.
Locul publicării:Chichester, United Kingdom
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Public țintă
Quantitative Analysts; Risk Managers, Fund Managers, AcademicsDe ce să citești această carte
Recomandăm acest set profesioniștilor care doresc să stăpânească ingineria financiară la cel mai înalt nivel. Veți învăța să implementați modele complexe de pricing și management de portofoliu folosind codul sursă inclus. Este investiția esențială pentru orice analist cantitativ care vrea să înțeleagă nu doar cum funcționează formulele, ci și cum să le aplice pentru a obține rezultate în piețele reale.
Descriere scurtă
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.
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
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.
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Notă biografică
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.
Cuprins
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).
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).
Descriere
The new edition of this finance classic serves as a comprehensive reference on both traditional and new derivatives and financial engineering techniques. Explaining finance in an accessible manner, Wilmott covers all the current financial theories in quantitative finance and makes them easy to understand and implement.