Paul Wilmott Introduces Quantitative Finance

Paul Wilmott, described by the Financial Times as ‘cult derivatives lecturer,’ is one of the world’s leading experts on quantitative finance and derivatives. He is the proprietor of an innovative magazine on quantitative finance and a highly popular community website (www.wilmott.com). He was formerly a partner in a successful volatility arbitrage hedge fund and is currently the principal of the financial consultancy and training firm, Wilmott Associates, and Course Director for the Certificate in Quantitative Finance. Dr Wilmott has researched and published widely on financial engineering. PWIQF2 is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic work, Paul Wilmott on Quantitative Finance, Second Edition, itself an update to Derivatives, the book 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.

• Preface xxiii1 Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures 12 Derivatives 273 The Binomial Model 594 The Random Behavior of Assets 955 Elementary Stochastic Calculus 1176 The Black–Scholes Model 1397 Partial Differential Equations 1578 The Black–Scholes Formulæ and the ‘Greeks’ 1699 Overview of Volatility Modeling 20310 How to Delta Hedge 22511 An Introduction to Exotic and Path-dependent Options 24712 Multi-asset Options 27113 Barrier Options 28714 Fixed-income Products and Analysis: Yield, Duration and Convexity 31915 Swaps 34916 One-factor Interest Rate Modeling 35917 Yield Curve Fitting 37318 Interest Rate Derivatives 38319 The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models 40320 Investment Lessons from Blackjack and Gambling 42321 Portfolio Management 44122 Value at Risk 45923 Credit Risk 47324 RiskMetrics and CreditMetrics 49525 CrashMetrics 50526 Derivatives **** Ups 52727 Overview of Numerical Methods 54128 Finite-difference Methods for One-factor Models 54929 Monte Carlo Simulation 58130 Numerical Integration 605A All the Math You Need. . . and No More (An Executive Summary) 617B Forecasting the Markets? A Small Digression 627C A Trading Game 643D Contents of CD accompanying Paul Wilmott Introduces Quantitative Finance, second edition 649E What you get if (when) you upgrade to PWOQF2 653Bibliography 659Index 683