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Paul Wilmott Introduces Quantitative Finance, 2nd Edition

Paul Wilmott Introduces Quantitative Finance, 2nd Edition

Paul Wilmott

ISBN: 978-1-118-83679-8

Oct 2013

728 pages



Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.

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1. Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures.

2. Derivatives.

3. The Binomial Model.

4. The random Behavior of Assets.

5. Elementary Stochastic Calculus.

6. The Black-Scholes Model.

7. Partial Differential Equations.

8. The Black-Scholes Formulæ and the 'Greeks'.

9. Overview of Volatility Modeling.

10. How to Delta Hedge.

11. An Introduction to Exotic and Path-dependent Options.

12. Multi-asset Options.

13. Barrier Options.

14. Fixed-income Products and Analysis: Yield, Duration and Convexity.

15. Swaps.

16. One-factor Interest rate Modeling.

17. Yield Curve Fitting.

18. Interest rate Derivatives.

19. The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models.

20. Investment Lessons from Blackjack and Gambling.

21. Portfolio Management.

22. Value at Risk.

23. Credit Risk.

24. RiskMetrics and CreditMetrics.

25. CrashMetrics.

26. Derivatives Ups.

27. Overview of Numerical Methods.

28. Finite-difference Methods for One-factor Models.

29. Monte Carl Simulation.

30. Numerical Integration.

A. All the Math You Need...and No More (An Executive Summary).

B. Forecasting the Markets? A Small Digression.

C. A Trading Game.

D. Contents of CD accompanying Paul Wilmott Introduces Quantitative Finance, second edition.

E. What You get if (when ) you upgrade to PWOQF2.