000 06221cam a22003978a 4500
005 20211104204555.0
008 060913s2006 nju b 001 0 eng
010 _a 2005028317
011 _aBIB MATCHES WORLDCAT
020 _a0470018704 (cloth/cd : alk. paper)
035 _a(ATU)b11148652
035 _a(DLC) 2005028317
035 _a(OCoLC)61879618
040 _aDLC
042 _apcc
050 0 0 _aHG6024.A3
_bW555 2006
082 0 0 _a332.64/53
_222
100 1 _aWilmott, Paul.
_9250224
245 1 0 _aPaul Wilmott on quantitative finance.
250 _a2nd ed.
263 _a0601
264 1 _aHoboken, NJ :
_bJohn Wiley & Sons Inc.,
_c2006.
300 _a3 v. ;
_c27 cm. +
_e1 CD-ROM.
504 _aIncludes bibliographical references and index.
505 0 0 _g1.
_tProducts and Markets --
_g2.
_tDerivatives --
_g3.
_tThe Random Behavior of Assets --
_g4.
_tElementary Stochastic Calculus --
_g5.
_tThe Black-Scholes Model --
_g6.
_tPartial Differential Equations --
_g7.
_tThe Black-Scholes Formulae and the 'Greeks' --
_g8.
_tSimple Generalizations of the Black-Scholes World --
_g9.
_tEarly Exercise and American Options --
_g10.
_tProbability Density Functions and First Exit Times --
_g11.
_tMulti-asset Options --
_g12.
_tHow to Delta Hedge --
_g13.
_tFixed-income Products and Analysis: Yield, Duration and Convexity --
_g14.
_tSwaps --
_g15.
_tThe Binomial Model --
_g16.
_tHow Accurate is the Normal Approximation? --
_g17.
_tInvestment Lessons from Blackjack and Gambling --
_g18.
_tPortfolio Management --
_g19.
_tValue at Risk --
_g20.
_tForecasting the Markets? --
_g21.
_tA Trading Game --
_g22.
_tAn Introduction to Exotic and Path-dependent Options --
_g23.
_tBarrier Options --
_g24.
_tStrongly Path-dependent Options --
_g25.
_tAsian Options --
_g26.
_tLookback Options --
_g27.
_tDerivatives and Stochastic Control --
_g28.
_tMiscellaneous Exotics --
_g29.
_tEquity and FX Term Sheets --
_g30.
_tOne-factor Interest Rate Modeling --
_g31.
_tYield Curve Fitting --
_g32.
_tInterest Rate Derivatives --
_g33.
_tConvertible Bonds --
_g34.
_tMortgage-backed Securities --
_g35.
_tMulti-factor Interest Rate Modeling --
_g36.
_tEmpirical Behavior of the Spot Interest Rate --
_g37.
_tThe Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models --
_g38.
_tFixed Income Term Sheets --
_g39.
_tValue of the Firm and the Risk of Default --
_g40.
_tCredit Risk --
_g41.
_tCredit Derivatives --
_g42.
_tRiskMetrics and CreditMetrics --
_g43.
_tCrashMetrics --
_g44.
_tDerivatives **** Ups --
_g45.
_tFinancial Modeling --
_g46.
_tDefects in the Black-Scholes Model --
_g47.
_tDiscrete Hedging --
_g48.
_tTransaction Costs --
_g49.
_tOverview of Volatility Modeling --
_g50.
_tVolatility Smiles and Surfaces --
_g51.
_tStochastic Volatility --
_g52.
_tUncertain Parameters --
_g53.
_tEmpirical Analysis of Volatility --
_g54.
_tStochastic Volatility and Mean-variance Analysis --
_g55.
_tAsymptotic Analysis of Volatility --
_g56.
_tVolatility Case Study: The Cliquet Option --
_g57.
_tJump Diffusion --
_g58.
_tCrash Modeling --
_g59.
_tSpeculating with Options --
_g60.
_tStatic Hedging --
_g61.
_tThe Feedback Effect of Hedging in Illiquid Markets --
_g62.
_tUtility Theory --
_g63.
_tMore About American Options and Related Matters --
_g64.
_tAdvanced Dividend Modeling --
_g65.
_tSerial Autocorrelation in Returns --
_g66.
_tAsset Allocation in Continuous Time --
_g67.
_tAsset Allocation Under Threat Of A Crash --
_g68.
_tInterest-rate Modeling Without Probabilities --
_g69.
_tPricing and Optimal Hedging of Derivatives, the Non-probabilistic Model Cont'd --
_g70.
_tExtensions to the Non-probabilistic Interest-rate Model --
_g71.
_tModeling Inflation --
_g72.
_tEnergy Derivatives --
_g73.
_tReal Options --
_g74.
_tLife Settlements and Viaticals --
_g75.
_tBonus Time --
_g76.
_tOverview of Numerical Methods --
_g77.
_tFinite-difference Methods for One-factor Models --
_g78.
_tFurther Finite-difference Methods for One-factor Models --
_g79.
_tFinite-difference Methods for Two-factor Models --
_g80.
_tMonte Carlo Simulation and Related Methods --
_g81.
_tNumerical Integration and Simulation Methods --
_g82.
_tFinite-difference Programs --
_g83.
_tMonte Carlo Programs --
_gAppendix A.
_tAll the Math You Need... and No More (An Executive Summary).
520 _a"Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return. The reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling. Volume 2: Exotic Contracts and Path Dependency; Fixed Income Modeling and Derivatives; Credit Risk In this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets. Volume 3: Advanced Topics; Numerical Methods and Programs. In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved. Throughout the volumes, the author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book - in cartoon form, readers will be relieved to hear - to personally highlight and explain the key sections and issues discussed ."--Publisher's website.
650 0 _aDerivative securities
_xMathematical models
_9370820
650 0 _aOptions (Finance)
_xMathematical models
_9717240
650 0 _aOptions (Finance)
_xPrices
_xMathematical models.
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