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Paul Wilmott on quantitative finance.
Lippincott Library HG6024.A3 W555 2000 v.1
Available
LIBRA HG6024.A3 W555 2000 v.1-2
Available from offsite location
- Format:
- Book
- Author/Creator:
- Wilmott, Paul.
- Language:
- English
- Subjects (All):
- Derivative securities--Mathematical models.
- Derivative securities.
- Options (Finance)--Mathematical models.
- Options (Finance).
- Options (Finance)--Prices--Mathematical models.
- Physical Description:
- 2 volumes : illustrations ; 26 cm
- Other Title:
- On quantitative finance
- Place of Publication:
- Chichester, West Sussex, England ; New York : John Wiley, [2000]
- Summary:
- Based on the author's hugely successful Derivatives: The Theory and Practice of Financial Engineering, Paul Wilmott on Quantitative Finance is the definitive guide to derivatives and related financial products. In addition to fully updated and expanded coverage of all the topics covered in the first book, this two-volume set also includes sixteen entirely new chapters covering such crucial areas as stochastic control and derivatives, utility theory, stochastic volatility and utility, mortgages, real options, power derivatives, weather derivatives, insurance derivatives, and more. Wilmott has also added clear, detailed explanations of all the mathematical procedures readers need to know in order to use the techniques he describes.
- Contents:
- Part 1 Basic Theory of Derivatives 1
- 1 Products and Markets 3
- 2 Derivatives 23
- 3 The Random Behavior of Assets 51
- 4 Elementary Stochastic Calculus 65
- 5 The Black-Scholes Model 81
- 6 Partial Differential Equations 91
- 7 The Black-Scholes Formulae and the 'Greeks' 99
- 8 Simple Generalizations of the Black-Scholes World 127
- 9 Early Exercise and American Options 137
- 10 Probability Density Functions and First Exit Times 155
- 11 Multi-asset Options 167
- 12 The Binomial Model 179
- 13 Predicting the Markets? 193
- 14 A Trading Game 207
- Part 2 Path Dependency 211
- 15 An Introduction to Exotic and Path-Dependent Options 213
- 16 Barrier Options 229
- 17 Strongly Path-dependent Options 253
- 18 Asian Options 263
- 19 Lookback Options 277
- 20 Derivatives and Stochastic Control 285
- 21 Miscellaneous Exotics 293
- Part 3 Extending Black-Scholes 309
- 22 Defects in the Black-Scholes Model 311
- 23 Discrete Hedging 319
- 24 Transaction Costs 331
- 25 Volatility Smiles and Surfaces 357
- 26 Stochastic Volatility 373
- 27 Uncertain Parameters 383
- 28 Empirical Analysis of Volatility 395
- 29 Jump Diffusion 403
- 30 Crash Modeling 415
- 31 Speculating with Options 429
- 32 Static Hedging 445
- 33 The Feedback Effect of Hedging in Illiquid Markets 461
- 34 Utility Theory 477
- 35 More About American Options and Related Matters 485
- 36 Stochastic Volatility and Mean-variance Analysis 505
- 37 Advanced Dividend Modeling 513
- Part 4 Interest Pates and Products 523
- 38 Fixed-Income Products and Analysis: Yield, Duration and Convexity 525
- 39 Swaps 545
- 40 One-factor Interest Rate Modeling 555
- 41 Yield Curve Fitting 569
- 42 Interest Rate Derivatives 577
- 43 Convertible Bonds 597
- 44 Mortgage-backed Securities 611
- 45 Multi-factor Interest Rate Modeling 621
- 46 Empirical Behavior of the Spot Interest Rate 633
- 47 Heath, Jarrow and Morton 645
- 48 Interest-rate Modeling Without Probabilities 659
- 49 Pricing and Optimal Hedging of Derivatives, the Non-Probabilistic Model Cont'd 679
- 50 Extensions to the Non-probabilistic Interest-rate Model 697
- Part 5 Risk Measurement and Management 709
- 51 Portfolio Management 711
- 52 Asset Allocation in Continuous Time 727
- 53 Value at Risk 737
- 54 Value of the Firm and the Risk of Default 747
- 55 Credit Risk 755
- 56 Credit Derivatives 779
- 57 RiskMetrics and CreditMetrics 789
- 58 CrashMetrics 797
- 59 Derivatives **** Ups 819
- 60 Bonus Time 833
- 61 Real Options 847
- 62 Energy Derivatives 855
- Part 7 Numerical Methods 865
- 63 Finite-difference Methods for One-factor Models 867
- 64 Further Finite-difference Methods for One-factor Models 889
- 65 Finite-difference Methods for Two-factor Models 913
- 66 Monte Carlo Simulation and Related Methods 923
- 67 Finite-difference Programs 947.
- Notes:
- Rev. ed. of: Derivatives. 1998.
- Includes bibliographical references and index.
- Local Notes:
- Acquired for the Penn Libraries with assistance from the S. M. Peck and Company Wharton School Library Fund.
- ISBN:
- 0471874388
- OCLC:
- 42912698
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