<b>Paul Wilmott writes, <p> "Quantitative finance is the most fascinating and rewarding real-world application of mathematics. It is fascinating because of the speed at which the subject develops, the new products and the new models which we have to understand. And it is rewarding because any
Frequently Asked Questions in Quantitative Finance, Second Edition
✍ Scribed by Paul P. Wilmott
- Publisher
- A John Wiley and Sons, Ltd.
- Year
- 2009
- Tongue
- English
- Leaves
- 625
- Edition
- 2
- Category
- Library
No coin nor oath required. For personal study only.
✦ Synopsis
Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such that the outstanding notional of all contracts is now many multiples of the underlying world economy. No longer are derivatives for helping people control and manage their financial risks from other business and industries, no, it seems that the people are toiling away in the fields to keep the derivatives market afloat! (Apologies for the mixed metaphor!) If you work in derivatives, risk, development, trading, etc. you'd better know what you are doing, there's now a big responsibility on your shoulders.In this second edition of Frequently Asked Questions in Quantitative Finance I continue in my mission to pull quant finance up from the dumbed-down depths, and to drag it back down to earth from the super-sophisticated stratosphere. Readers of my work and blogs will know that I think both extremes are dangerous. Quant finance should inhabit the middle ground, the mathematics sweet spot, where the models are robust and understandable, and easy to mend.…And that's what this book is about.This book contains important FAQs and answers that cover both theory and practice. There are sections on how to derive Black-Scholes (a dozen different ways!), the popular models, equations, formulae and probability distributions, critical essays, brainteasers, and the commonest quant mistakes. The quant mistakes section alone is worth trillions of dollars!I hope you enjoy this book, and that it shows you how interesting this important subject can be. And I hope you'll join me and others in this industry on the discussion forum on wilmott.com. See you there!”FAQQF2...including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers' Manifesto and lots more.
✦ Table of Contents
Frequently Asked Questions In Quantitative Finance......Page 4
Contents......Page 8
Preface to the Second Edition......Page 13
Preface to the First Edition......Page 16
1 The Quantitative Finance Timeline......Page 18
2 FAQs......Page 38
3 The Financial Modellers’ Manifesto......Page 270
4 Essays......Page 276
5 The Commonest Mistakes in Quantitative Finance: A Dozen Basic Lessons in Commonsense for Quants and Risk Managers and the Traders Who Rely on Them......Page 330
6 The Most Popular Probability Distributions and Their Uses in Finance......Page 400
7 Twelve Different Ways to Derive Black–Scholes......Page 418
8 Models and Equations......Page 446
9 The Black–Scholes Formulæ and the Greeks......Page 470
10 Common Contracts......Page 476
11 Popular Quant Books......Page 500
12 The Most Popular Search Words and Phrases on Wilmott.com......Page 514
13 Brainteasers......Page 524
14 Paul & Dominic’s Guide to Getting a Quant Job......Page 574
Index......Page 596
✦ Subjects
Финансово-экономические дисциплины;Финансовая математика;
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