In einem sehr zugänglichen Stil präsentiert sich dieses Werk, mit Illustrationen, Grafiken und Erläuterungen, die dem Leser helfen, sich durch die Mathematik zu arbeiten. Wie bei seinem vorherigen Buch, gibt der Autor den Lesern Antworten zu Problemstellungen. Paul Wilmott ist einer der weltweit führenden Experten zum Thema quantitative Finanzen und Derivate. Er ist bekannt für seine Kritik an populären Modellen und Konzepten und für seinen außergewöhnlichen und zwanglosen Schreibstil. Dieser neue Titel wurde herausgegeben, um den bekannten "Hull on Options, Futures and Other Derivatives"…mehr
In einem sehr zugänglichen Stil präsentiert sich dieses Werk, mit Illustrationen, Grafiken und Erläuterungen, die dem Leser helfen, sich durch die Mathematik zu arbeiten. Wie bei seinem vorherigen Buch, gibt der Autor den Lesern Antworten zu Problemstellungen. Paul Wilmott ist einer der weltweit führenden Experten zum Thema quantitative Finanzen und Derivate. Er ist bekannt für seine Kritik an populären Modellen und Konzepten und für seinen außergewöhnlichen und zwanglosen Schreibstil. Dieser neue Titel wurde herausgegeben, um den bekannten "Hull on Options, Futures and Other Derivatives" herauszufordern und, um das Referenzwerk für Studenten der Finanzwirtschaft zu werden. Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students.
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.
Inhaltsangabe
Preface xxiii 1 Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures 1 2 Derivatives 27 3 The Binomial Model 59 4 The Random Behavior of Assets 95 5 Elementary Stochastic Calculus 117 6 The Black-Scholes Model 139 7 Partial Differential Equations 157 8 The Black-Scholes Formulæ and the 'Greeks' 169 9 Overview of Volatility Modeling 203 10 How to Delta Hedge 225 11 An Introduction to Exotic and Path-dependent Options 247 12 Multi-asset Options 271 13 Barrier Options 287 14 Fixed-income Products and Analysis: Yield, Duration and Convexity 319 15 Swaps 349 16 One-factor Interest Rate Modeling 359 17 Yield Curve Fitting 373 18 Interest Rate Derivatives 383 19 The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models 403 20 Investment Lessons from Blackjack and Gambling 423 21 Portfolio Management 441 22 Value at Risk 459 23 Credit Risk 473 24 RiskMetrics and CreditMetrics 495 25 CrashMetrics 505 26 Derivatives **** Ups 527 27 Overview of Numerical Methods 541 28 Finite-difference Methods for One-factor Models 549 29 Monte Carlo Simulation 581 30 Numerical Integration 605 A All the Math You Need. . . and No More (An Executive Summary) 617 B Forecasting the Markets? A Small Digression 627 C A Trading Game 643 D Contents of CD accompanying Paul Wilmott Introduces Quantitative Finance, second edition 649 E What you get if (when) you upgrade to PWOQF2 653 Bibliography 659 Index 683
Preface xxiii 1 Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures 1 2 Derivatives 27 3 The Binomial Model 59 4 The Random Behavior of Assets 95 5 Elementary Stochastic Calculus 117 6 The Black-Scholes Model 139 7 Partial Differential Equations 157 8 The Black-Scholes Formulæ and the 'Greeks' 169 9 Overview of Volatility Modeling 203 10 How to Delta Hedge 225 11 An Introduction to Exotic and Path-dependent Options 247 12 Multi-asset Options 271 13 Barrier Options 287 14 Fixed-income Products and Analysis: Yield, Duration and Convexity 319 15 Swaps 349 16 One-factor Interest Rate Modeling 359 17 Yield Curve Fitting 373 18 Interest Rate Derivatives 383 19 The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models 403 20 Investment Lessons from Blackjack and Gambling 423 21 Portfolio Management 441 22 Value at Risk 459 23 Credit Risk 473 24 RiskMetrics and CreditMetrics 495 25 CrashMetrics 505 26 Derivatives **** Ups 527 27 Overview of Numerical Methods 541 28 Finite-difference Methods for One-factor Models 549 29 Monte Carlo Simulation 581 30 Numerical Integration 605 A All the Math You Need. . . and No More (An Executive Summary) 617 B Forecasting the Markets? A Small Digression 627 C A Trading Game 643 D Contents of CD accompanying Paul Wilmott Introduces Quantitative Finance, second edition 649 E What you get if (when) you upgrade to PWOQF2 653 Bibliography 659 Index 683
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