Derivatives : the theory and practice of financial engineering

Author(s)

• Wilmott, Paul

Bibliographic Information

Derivatives : the theory and practice of financial engineering

Paul Wilmott

Wiley, c1998

• : hbk
• : pbk

Other Title

Derivatives

Note

Bibliography: p. [705]-717

Includes index

Description and Table of Contents

Volume

: pbk ISBN 9780471983668

Description

Derivatives by Paul Wilmott provides the most comprehensive and accessible analysis of the art of science in financial modeling available. Wilmott explains and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques. Paul Wilmott has produced a compelling and essential new work in this field. The basics of the established theories-such as stochastic calculus, Black-Scholes, binomial trees and interest-rate models-are covered in clear and precise detail, but Derivatives goes much further. Complex models-such as path dependency, non-probabilistic models, static hedging and quasi-Monte Carlo methods-are introduced and explained to a highly sophisticated level. But theory in itself is not enough, an understanding of the role the techniques play in the daily world of finance is also examined through the use of spreadsheets, examples and the inclusion of Visual Basic programs. The book is divided into six parts: Part One: acts as an introduction and explanation of the fundamentals of derivatives theory and practice, dealing with the equity, commodity and currency worlds. Part Two: takes the mathematics of Part One to a more complex level, introducing the concept of path dependency. Part Three: concerns extensions of the Black-Scholes world, both classic and modern. Part Four: deals with models for fixed-income products. Part Five: describes models for risk management and measurement. Part Six: delivers the numerical methods required for implementing the models described in the rest of the book. Derivatives also includes a CD containing a wide variety of implementation material related to the book in the form of spreadsheets and executable programs together with resource material such as demonstration software and relevant contributed articles. At all times the style remains readable and compelling making Derivatives the essential book on every finance shelf.

Table of Contents

BASIC THEORY OF DERIVATIVES. Products and Markets. Derivatives. The Random Behavior of Assets. Elementary Stochastic Calculus. The Black-Scholes Model. Partial Differential Equations. The Black-Scholes Formulae and the 'Greeks'. Simple Generalizations of the Black-Scholes World. Early Exercise and American Options. Probability Density Functions and First Exit Times. Multi-asset Options. The Binomial Model. PATH DEPENDENCY. An Introduction to Exotic and Path-dependent Options. Barrier Options. Strongly Path-dependent Options. Asian Options. Lookback Options. Miscellaneous Exotics. EXTENDING BLACK-SCHOLES. Defects in the Black-Scholes Model. Discrete Hedging. Transaction Costs. Volatility Smiles and Surfaces. Stochastic Volatility. Uncertain Parameters. Empirical Analysis of Volatility. Jump Diffusion. Crash Modeling. Speculating with Options. The Feedback Effect of Hedging in Illiquid Markets. Static Hedging. INTEREST RATES AND PRODUCTS. Fixed-income Products and Analysis: Yield, Duration and Convexity. Swaps. One-factor Interest Rate Modeling. Yield Curve Fitting. Interest Rate Derivatives. Convertible Bonds. Two-factor Interest Rate Modeling. Empirical Behavior of the Spot Interest Rate. Heath, Jarrow and Morton. Interest-rate Modeling Without Probabilities. RISK MEASUREMENT AND MANAGEMENT. Portfolio Management. Value at Risk. Credit Risk. Credit Derivatives. RiskMetrics, CreditMetrics and CrashMetrics. NUMERICAL METHODS. Finite-difference Methods for One-factor Models. Further Finite-difference Methods for One-factor Models. Finite-difference Methods for Two-factor Models. Monte Carlo Simulation and Related Methods. Finite-difference Programs. Epilog. Bibliography. Index.

Volume

: hbk ISBN 9780471983897

Description

This text provides an analysis of all aspects of derivatives and does not require a prior detailed knowledge of financial markets. In each chapter, the reader is first introduced to the market segment or particular product being discussed before having simple maths and market practice explained. Thereafter, issues of complex modelling are examined with, where applicable, visual basic code fragments (computer programming implementing the calculations and modelling covered) and screen dumps of spread sheets indicating the formula to be used. Each chapter is then rounded off with a summary section, further reading and some exercise questions.

Table of Contents

• PART ONE BASIC THEORY OF DERIVATIVES
• Products and Markets
• Derivatives
• The Random Behavior Assets
• Elementary Stochastic Calculus
• The Black-Scholes Model
• Partial Differential Equations
• The Black-Scholes Formulae and the 'Greeks'
• Simple Generalizations of the Black-Scholes World
• Early Exercise and American Options
• Probability Density Function and First Exit Times
• Multi-asset Options
• The Binomial Model
• PART TWO PATH DEPENDENCY
• An Introduction to Exotic and Path-dependent Options
• Barrier Options
• Strongly Path-dependent Options
• Asian Options
• Lookback Options
• Miscellaneous Exotics
• PART THREE EXTENDING BLACK-SCHOLES
• Defects in the Black-Scholes Model
• Discrete Hedging
• Transaction Costs
• Volatility Smiles and Surfaces
• Stochastic Volatility
• Uncertain Parameters
• Empirical Analysis of Volatility
• Jump Diffusion
• Crash Modeling
• Speculating with Options
• The Feedback effect of Hedging in Illiquid Markets
• Static Hedging
• PART FOUR INTEREST RATES AND PRODUCTS
• Fixed-income Products and Analysis: Yield, Duration and Convexity
• Swaps
• One-factor Interest rate Modeling
• Yield Curve Fitting
• Interest rate Derivatives
• Convertible Bonds
• Two-factor Interest Rate Modeling
• Empirical Behavior of the Spot Interest rate
• Heath, Jarrow and Morton
• Interest-rate Modeling Without Probabilities
• PART FIVE RISK MEASUREMENT AND MANAGEMENT
• Portfolio Management
• Value at Risk
• Credit Risk
• Credit Derivatives
• RiskMetrics, CreditMetrics and CrashMetircs
• PART SIX NUMERICAL METHOD
• Finite-difference Methods for One-factor Models
• Further Finite-difference Methods for One-factor Models
• Finite-differences Methods for Two-factor Models
• Monte Carlo Simulation Related Methods
• Finite-differences Programs
• Epilog
• Bibliography
• Index
• .

by "Nielsen BookData"

Details

• NCID: BA38449478
• ISBN:
  • 0471983896
  • 0471983667
• Country Code: uk
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Chichester
• Pages/Volumes: xx, 739 p.
• Size: 25 cm.
• Attached Material: 1 CD
• Classification:
  • NDC9 : 338.1
  • DC21 : 332.64
• Subject Headings:
  • LCSH : Derivative securities