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Paul Wilmott introduces quantitative finance.

Author: Paul Wilmott
Publisher: Chichester ; New York : John Wiley, 2001.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
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  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Paul Wilmott
ISBN: 0471498629 9780471498629
OCLC Number: 45506026
Description: xx, 521 pages : illustrations ; 25 cm + 1 computer optical disc (4 3/4 in.)
Contents: 1 Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures 1 --
1.2 Equities 2 --
1.3 Commodities 9 --
1.4 Currencies 10 --
1.5 Indices 12 --
1.6 The time value of money 14 --
1.7 Fixed-income securities 18 --
1.8 Inflation-proof bonds 19 --
1.9 Forwards and futures 20 --
1.10 More about futures 24 --
2 Derivatives 27 --
2.2 Options 28 --
2.3 Definition of common terms 33 --
2.4 Payoff diagrams 34 --
2.5 Writing options 38 --
2.6 Margin 39 --
2.7 Market conventions 40 --
2.8 The value of the option before expiry 40 --
2.9 Factors affecting derivative prices 41 --
2.10 Speculation and gearing 43 --
2.11 Early exercise 44 --
2.12 Put-call parity 44 --
2.13 Binaries or digitals 46 --
2.14 Bull and bear spreads 48 --
2.15 Straddles and strangles 49 --
2.16 Risk reversal 51 --
2.17 Butterflies and condors 51 --
2.18 Calendar spreads 53 --
2.19 LEAPS and FLEX 54 --
2.20 Warrants 55 --
2.21 Convertible bonds 55 --
2.22 Over the counter options 55 --
3 Predicting the Markets? A Small Digression 59 --
3.2 Technical analysis 60 --
3.3 Wave theory 67 --
3.4 Other analytics 71 --
3.5 Market microstructure modeling 71 --
3.6 Crisis prediction 72 --
4 All the Math You Need ... and No More (An Executive Summary) 75 --
4.2 e 76 --
4.3 Log 76 --
4.4 Differentiation and Taylor series 78 --
4.5 Differential equations 81 --
4.6 Mean, standard deviation and distributions 81 --
5 The Binomial Model 85 --
5.2 Equities can go down as well as up 86 --
5.3 Let's generalize 88 --
5.4 The binomial tree 89 --
5.5 The asset price distribution 90 --
5.6 An equation for the value of an option 90 --
5.7 Where did the probability p go? 93 --
5.8 Other choices for u, v and p 93 --
5.9 Valuing back down the tree 94 --
5.10 Early exercise 96 --
5.11 The continuous-time limit 98 --
6 The Random Behavior of Assets 101 --
6.2 Similarities between equities, currencies, commodities and indices 102 --
6.3 Examining returns 103 --
6.4 Timescales 108 --
6.5 Estimating volatility 112 --
6.6 The random walk on a spreadsheet 112 --
6.7 The Wiener process 114 --
6.8 The widely accepted model for equities, currencies, commodities and indices 115 --
7 Elementary Stochastic Calculus 119 --
7.2 A motivating example 120 --
7.3 The Markov property 122 --
7.4 The martingale property 122 --
7.5 Quadratic variation 122 --
7.6 Brownian motion 123 --
7.7 Stochastic integration 124 --
7.8 Stochastic differential equations 125 --
7.9 The mean square limit 125 --
7.10 Functions of stochastic variables and Ito's lemma 126 --
7.11 Ito and Taylor 129 --
7.12 Ito in higher dimensions 130 --
8 The Black-Scholes Model 139 --
8.2 A very special portfolio 140 --
8.3 Elimination of risk: delta hedging 142 --
8.4 No arbitrage 142 --
8.5 The Black-Scholes equation 143 --
8.6 The Black-Scholes assumptions 145 --
8.7 Final conditions 146 --
8.8 Options on dividend-paying equities 147 --
8.9 Currency options 147 --
8.10 Commodity options 147 --
8.11 Expectations and Black-Scholes 148 --
8.12 Some other ways of deriving the Black-Scholes equation 149 --
8.13 No arbitrage in the binomial, Black-Scholes and 'other' worlds 150 --
8.14 Forwards and futures 151 --
8.15 Futures contracts 152 --
8.16 Options on futures 152 --
9 Partial Differential Equations 155 --
9.2 Putting the Black-Scholes equation into historical perspective 156 --
9.3 The meaning of the terms in the Black-Scholes equation 157 --
9.4 Boundary and initial/final conditions 157 --
9.5 Some solution methods 158 --
9.6 Similarity reductions 160 --
9.7 Other analytical techniques 161 --
9.8 Numerical solution 161 --
10 The Black-Scholes Formulas and the 'Greeks' 163 --
10.2 Derivation of the formulas for calls, puts and simple digitals 164 --
10.3 Delta 176 --
10.4 Gamma 178 --
10.5 Theta 179 --
10.6 Vega 180 --
10.7 Rho 183 --
10.8 Implied volatility 183 --
10.9 A classification of hedging types 186 --
11 Multi-Asset Options 193 --
11.2 Multidimensional lognormal random walks 194 --
11.3 Measuring correlations 196 --
11.4 Options on many underlyings 199 --
11.5 The pricing formula for European non-path-dependent options on dividend-paying assets 200 --
11.6 Exchanging one asset for another: a similarity solution 200 --
11.8 Realities of pricing basket options 204 --
11.9 Realities of hedging basket options 205 --
11.10 Correlation versus cointegration 205 --
12 An Introduction to Exotic and Path-Dependent Options 207 --
12.2 Discrete cashflows 208 --
12.3 Early exercise 209 --
12.4 Weak path dependence 210 --
12.5 Strong path dependence 211 --
12.6 Time dependence 212 --
12.7 Dimensionality 212 --
12.8 The order of an option 213 --
12.9 Decisions, decisions 214 --
12.10 Classification tables 215 --
12.11 Compounds and choosers 215 --
12.12 Range notes 216 --
12.13 Barrier options 218 --
12.14 Asian options 221 --
12.15 Lookback options 221 --
13 Barrier Options 227 --
13.2 Different types of barrier options 228 --
13.3 Pricing barriers in the partial differential equation framework 229 --
13.5 Other features in barrier-style options 235 --
13.6 Market practice: What volatility should I use? 238 --
13.7 Hedging barrier options 241 --
14 Fixed-Income Products and Analysis: Yield, Duration and Convexity 251 --
14.2 Simple fixed-income contracts and features 252 --
14.3 International bond markets 255 --
14.4 Accrued interest 255 --
14.5 Day-count conventions 256 --
14.6 Continuously and discretely compounded interest 256 --
14.7 Measures of yield 257 --
14.8 The yield curve 259 --
14.9 Price/yield relationship 261 --
14.10 Duration 262 --
14.11 Convexity 263 --
14.12 An example 264 --
14.13 Hedging 265 --
14.14 Time-dependent interest rate 267 --
14.15 Discretely paid coupons 269 --
14.16 Forward rates and bootstrapping 269 --
14.17 Interpolation 272 --
15 Swaps 275 --
15.2 The vanilla interest rate swap 276 --
15.3 Comparative advantage 277 --
15.4 The swap curve 279 --
15.5 Relationship between swaps and bonds 280 --
15.6 Bootstrapping 282 --
15.7 Other features of swaps contracts 282 --
15.8 Other types of swap 283 --
16 One-Factor Interest Rate Modeling 285 --
16.2 Stochastic interest rates 287 --
16.3 The bond pricing equation for the general model 288 --
16.4 What is the market price of risk? 291 --
16.5 Interpreting the market price of risk, and risk neutrality 291 --
16.6 Named models 292 --
16.7 Equity and FX forwards and futures when rates are stochastic 295 --
16.8 Futures contracts 296 --
17 Interest Rate Derivatives 299 --
17.2 Callable bonds 300 --
17.3 Bond options 301 --
17.4 Caps and floors 305 --
17.5 Range notes 308 --
17.6 Swaptions, captions and floortions 308 --
17.7 Spread options 310 --
17.8 Index amortizing rate swaps 310 --
17.9 Contracts with embedded decisions 313 --
17.10 Some more exotics 314 --
17.11 Some examples 315 --
18 Heath, Jarrow and Morton 319 --
18.2 The forward rate equation 320 --
18.3 The spot rate process 321 --
18.4 The market price of risk 322 --
18.5 Real and risk neutral 323 --
18.6 Pricing derivatives 324 --
18.7 Simulations 324 --
18.8 Trees 325 --
18.9 The Musiela parametrization 326 --
18.10 Multifactor HJM 327 --
18.11 A simple one-factor example: Ho & Lee 327 --
18.12 Principal component analysis 328 --
18.13 Options on equities etc. 331 --
18.14 Noninfinitesimal short rate 331 --
18.15 The Brace, Gatarek & Musiela model 332 --
19 Portfolio Management 335 --
19.2 The Kelly criterion 336 --
19.3 Diversification 338 --
19.4 Modern Portfolio Theory 341 --
19.5 Where do I want to be on the efficient frontier? 343 --
19.6 Markowitz in practice 346 --
19.7 Capital Asset Pricing Model 346 --
19.8 The multi-index model 349 --
19.9 Contegration 350 --
19.10 Performance measurement 351 --
20 Value at Risk 355 --
20.2 Definition of Value at Risk 356 --
20.3 VaR for a single asset 357 --
20.4 VaR for a portfolio 359 --
20.5 VaR for derivatives 360 --
20.6 Simulations 362 --
20.7 Use of VaR as a performance measure 365 --
21 Credit Risk 367 --
21.2 Risky bonds 368 --
21.3 Modeling the risk of default 369 --
21.4 The Poisson process and the instantaneous risk of default 369 --
21.5 Time-dependent intensity and the term structure of default 373 --
21.6 Stochastic risk of default 375 --
21.7 Positive recovery 377 --
21.8 Hedging the default 378 --
21.9 Credit rating 379 --
21.10 A model for change of credit rating 379 --
22 RiskMetrics and CreditMetrics 383 --
22.2 The RiskMetrics datasets 384 --
22.3 Calculating parameters the RiskMetrics way 384 --
22.4 The CreditMetrics dataset 386 --
22.5 The CreditMetrics methodology 389 --
22.6 A portfolio of risky bonds 389 --
22.7 CreditMetrics model outputs 390 --
23 CrashMetrics 393 --
23.2 Why do banks go broke? 394 --
23.3 Market crashes 394 --
23.4 CrashMetrics 395 --
23.5 CrashMetrics for one stock 396 --
23.6 The multi-asset/single-index model 399 --
23.7 The multi-index model 407 --
23.8 Incorporating time value 408 --
23.9 Margin calls and margin hedging 408 --
23.10 Counterparty risk 411 --
23.11 Simple extensions to CrashMetrics 411 --
23.12 The CrashMetrics Index (CMI) 411 --
24 Derivatives **** Ups 413 --
24.2 Orange County 414 --
24.3 Procter and Gamble 415 --
24.4 Metallgesellschaft 418 --
24.5 Gibson Greetings 419 --
24.6 Barings 421.
Other Titles: Quantitative finance
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Abstract:

"Paul Wilmott Introducing Quantitative Finance" delivers a comprehensive explanation and exposition of derivatives and related financial products and techniques. It is presented in an accessible  Read more...

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"...a very comprehensive and well researched book...all the methods are clearly explained..." (Lloyd's List, 9 November 2001)

 
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