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Beschreibung
The Team at Wilmott is very proud to present this compilation of Wilmott magazine articles and presentations from our second year. We have selected some of the very best in cutting-edge research, and the most illuminating of our regular columns.
The technical papers include state-of-the-art pricing tools and models. You'll notice there's a bias towards volatility modelling in the book. Of course, Dieses Produkt haben wir gerade leider nicht auf Lager.
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Technische Daten
Erscheinungsdatum
07.10.2005
Sprache
Englisch
EAN
9780470017388
Herausgeber
John Wiley & Sons
Sonderedition
Nein
Autor
Paul Wilmott
Seitenanzahl
404
Auflage
1
Einbandart
Gebundene Ausgabe
Autorenporträt
Dr Paul Wilmott has been described by the Financial Times as the cult derivatives lecturer.
He has for many years been a financial consultant specializing in derivatives, risk management and quantitative finance. He is the author of the best-selling Paul Wilmott Introduces Quantitative Finance (Wiley 2000) and Paul Wilmott on Quantitative Finance (Wiley 2001). He has written over 100 research articles on finance and mathematics.
Dr Wilmott runs www.wilmott.com, the popular quantitative finance community website, the quant magazine Wilmott and is the Course Director for the Certificate in Quantitative Finance, www.7city.com/cqf.
Paul Wilmott is a partner in a statistical arbitrage hedge fund.
Schlagwörter
Institutionelle Finanzplanung
Inhaltsverzeichnis
Preface.
Foreword (Elie Ayache).
Chapter 1 Time's Up (Dan Tudball).
Chapter 2 First Cause (Dan Tudball).
Chapter 3 Know Your Weapon I (Espen Gaarder Haug).
Chapter 4 Know Your Weapon II (Espen Gaarder Haug).
Chapter 5 Take a Chance (Bill Ziemba).
Chapter 6 Good and Bad Properties of the Kelly Criterion (Bill Ziemba).
Chapter 7 Mathematics of Gambling and Investment (Bill Ziemba).
Chapter 8 Efficient estimates for valuing American options (Mike Staunton).
Chapter 9 The Relative Valuation of an Equity Price Index (Ruben D. Cohen).
Chapter 10 What the spreadsheet said to the database, just before the regulator shut down the trading floor (Brian Sentance).
Chapter 11 Ask Marilyn and Win a Car (Henriette Prast).
Chapter 12 Risk: The Ugly History (Aaron Brown).
Chapter 13 Thirst for Hurst (Kent Osband).
Chapter 14 TARNs: Models, Valuation, Risk Sensitivities (Vladimir V. Piterbarg).
Chapter 15 Fast Valuation of a Portfolio of Barrier Options under the Merton's Jump Diffusion Hypothesis (Antony Penaud).
Chapter 16 An Analysis of Pricing Methods for Baskets Options.
Martin Krekel, Johan de Kock, Ralf Korn and Tin-Kwai Man.
Chapter 17 Pricing CMS Spread Options and Digital CMS Spread Options with Smile.
Mourad Berrahoui.
Chapter 18 The Case for Time Homogeneity.
Philippe Henrotte.
Chapter 19 Hybrid Stochastic Volatility Calibration.
Domingo Tavella, Alexander Giese and Didier Vermeiren.
Chapter 20 Can Anyone Solve the Smile Problem?.
Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang.
Chapter 21 Definitive Smile Model: Part I.
Elie Ayache.
Chapter 22 Definitive Smile Model: Part II.
Elie Ayache.
Chapter 23 A Perfect Calibration! Now What?.
Wim Schoutens, Erwin Simons and Jurgen Tistaert
Chapter 24 Timing the Smile.
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Sølna.
Chapter 25 Inference and Stochastic Volatility.
Alireza Javaheri*.
Chapter 26 A Critique of the Crank Nicolson Scheme Strengths and Weaknesses for Financial Instrument Pricing.
Daniel J. Duffy.
Chapter 27 Finite Elements and Streamline Diffusion for the Pricing of Structured Financial Instruments.
Andreas Binder and Andrea Schatz.
Chapter 28 No Fear of Jumps.
Y. d'Halluin, D.M. Pooley and P.A. Forsyth.
Index.
Höhe
246 mm
Breite
18.9 cm
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