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Paul Wilmott on Quantitative Finance

Librairie Eyrolles - Paris 5e
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Paul Wilmott on Quantitative Finance

Paul Wilmott on Quantitative Finance

3 Volume Set

1500 pages, parution le 20/01/2006 (2eme édition)

Résumé

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.

L'auteur Paul Wilmott

Un des experts les plus réputés et respectés dans le domaine de la finance quantitative, PAUL WILMOTT a écrit plus d'une centaine d'articles de recherche. Consultant et formateur, il a fondé wilmott.com et the Certificate in Quantitative Finance. Il est rédacteur en chef de Wilmott (magazine bimensuel) et auteur de deux ouvrages enseignés en université : Paul Wilmott introduces Quantitative Finance et Paul Wilmott on Quantitative Finance parus aux éditions Wiley. Ses cours sont enseignés dans les plus grandes universités tant anglo-saxonnes que francophones.

Autres livres de Paul Wilmott

Sommaire

  • 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)
Voir tout
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Caractéristiques techniques du livre "Paul Wilmott on Quantitative Finance"

  PAPIER
Éditeur(s) Wiley
Auteur(s) Paul Wilmott
Parution 20/01/2006
Édition  2eme édition
Nb. de pages 1500
Format 20 x 26
Couverture Relié
Poids 4000g
Intérieur Noir et Blanc
EAN13 9780470018705
ISBN13 978-0-470-01870-5
Sélection de Noël

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