Skip to main content

Paul Wilmott Introduces Quantitative Finance

Paul Wilmott Introduces Quantitative Finance

Paul Wilmott

ISBN: 978-0-470-06537-2 January 2007 544 Pages




In this updated student edition, Paul Wilmott updates and extends his earlier classic, Derivatives: The Theory and Practice of Financial Engineering. Included on CD are numerous Bloomberg screen dumps to illustrate, in real terms, the points raised in the book, along with essential Visual basic code, spreadsheet explanations of the models, and the reproduction of term sheets and option classification tables. The author presents all the current financial theories in a manner designed to make them easy to understand and implement.

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


Predicting the Markets? A Small Digression.

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

The Binomial Model.

The Random Behavior of Assets.

Elementary Stochastic Calculus.

The Black--Scholes Model.

Partial Differential Equations.

The Black--Scholes Formulas and the 'Greeks'.

Multi-Asset Options.

An Introduction to Exotic and Path-Dependent Options.

Barrier Options.

Fixed-Income Products and Analysis: Yield, Duration and Convexity.


One-Factor Interest Rate Modeling.

Interest Rate Derivatives.

Heath, Jarrow and Morton.

Portfolio Management.

Value at Risk.

Credit Risk.

RiskMetrics and CreditMetrics.


Derivatives **** Ups.

Finite-Difference Methods for One-Factor Models.

Monte Carlo Simulation and Related Methods.

Appendix A: A Trading Game.

Appendix B: What You Get If (When) You Upgrade ...

Contents of the CD.


  • This edition is a student edition of Paul Wilmott on Quantitative Finance, featuring the most student-friendly chapters. The remaining chapters (just over half the total extent) will be on a CD.
  • Author is very well-known and is held in extremely high regard on the international finance stage.
  • Author's style of providing the reader with "answers" to the problems explained has been maintained throughout this expanded work.
  • Increased inclusion of Visual Basic codes, spreadsheets and screen dumps focus the content even more towards the professional community allow the wide application of the methods discussed.