Paul Wilmott Introduces Quantitative Finance is an accessible introduction to the classical side of quantitative finance specifically for university students and those who are new to the financial markets.




0471 49862 9  560pp  Paperback+ CD Rom  £24.95



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Adapted from the comprehensive, even epic, work Paul Wilmott on Quantitative Finance, it includes carefully selected chapters to give readers a thorough understanding of futures, options and numerical methods. There are sidebars explaining the mathematics in a clear and accessible way. The new software contains spreadsheets and Visual Basic programs implementing the techniques described in the book.

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 has written and published widely on quantitative finance.

Author's website - www.paulwilmott.com /new magazine launched by Paul Wilmott visit www.wilmott.com

Reviews of previous works from Paul Wilmott

'It is a serious work that takes the reader all the way from the simplest of notions to the most complicated of recent models. In short it is the most comprehensive and up to date textbook on options that I have seen . . . The style is jocular, but the content heavyweight. ... Who ever heard of a mathematician who could convey the intuition of a result to those with a less complete training in the subject? Wilmott is an exception: he knows when a result is hard to understand and treats the reader in a sympathetic manner. … This book is a splendid achievement' The Times Higher Educational Supplement

'…a text which will probably come to rank alongside Fabozzi's collected works of Leibowitz as a comprehensive practical reference source for financial theory. … Dr Wilmott is an academic who clearly prides himself on his knowledge of the practical side of finance' Futures and OTC World

'Paul Wilmott has produced one of the most exciting and classic reference volumes on derivatives which is a must for . . . students, practitioners, risk managers' Global Trading

'The style is pedagogical and yet very lively and easygoing. As only great teachers can, Wilmott makes even the most obtuse mathematics seem easy and intuitive' Marco Avellaneda, Professor of Mathematics and Director. Division of Quantitative Finance, Courant Institute of Mathematical Science, New York University

'Paul Wilmott changed my life' David Newton, Manchester Business School


Table of Contents

  • Introduction to Products and Markets
  • Introduction to Derivatives
  • Predicting the Markets? A Small Digression
  • All the Math You Need… and No More (An Executive Summary)
  • The Binomial Model
  • The Random Behaviour of Assets
  • Elementary Stochastic Calculus
  • The Black-Scholes Model
  • Partial Differential Equations
  • The Black-Scholes Formulae and the 'Greeks'
  • Multi-asset Options
  • An Introduction to Exotic and Path-dependent Options
  • Barrier Options
  • Fixed-income Products and Analysis: Yield, Duration and Convexity
  • Swaps
  • One-factor Interest Rate Modeling
  • Interest Rate Derivatives
  • Heath, Jarrow and Morton
  • Portfolio Management
  • Value at Risk
  • Credit Risk
  • RiskMetrics and CreditMetrics
  • CrashMetrics
  • Derivatives F**k Ups
  • Finite-difference Methods for One-factor Models
  • Monte Carlo Simulation and Related Methods
  • A Trading Game

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