Paul Wilmott on quantitative finance.
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| Author / Creator: | Wilmott, Paul. |
|---|---|
| Imprint: | Chichester, West Sussex, England ; New York : John Wiley, c2000. |
| Description: | 2 v. : ill. ; 26 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/4586240 |
Table of Contents:
- 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)
