Derivatives: the theory and practice of financial engineering
Accompanying computer optical disc contains 'demos of commercial software, spreadsheets and code illustrating models and methods from the book, cutting-edge research articles ..., data document and demo from CrashMetrics, the Value at Risk methodology'. (book).
Read More ↓Title Statements
- Full title :Derivatives : the theory and practice of financial engineering / Paul Wilmott.
Summary
Accompanying computer optical disc contains 'demos of commercial software, spreadsheets and code illustrating models and methods from the book, cutting-edge research articles ..., data document and demo from CrashMetrics, the Value at Risk methodology'. (book).
Read More ↓Edition Statements
- Publication Date:©1998.
- Edition:University edition
Publication Statements
- Publisher(s):J. Wiley
- Place of Publication:Chichester, West Sussex, England
- Language:eng
- Publication Date:©1998.
Notes
Accompanying CD-ROM catalogued separately.
The Physical Object
- Description:xx, 739 pages : : illustrations ; : 26 cm +
Edition Identifiers
- ISBN:0471983896, 9780471983897, 0471983667, 9780471983668
- oclc:on1057968731
- LC Classification:HG6024.A3
- Dewey Decimal:332.645
Table of Contents
pt. 1. Basic Theory of Derivatives. 1. Products and Markets. 2. Derivatives. 3. The Random Behavior of Assets. 4. Elementary Stochastic Calculus. 5. The Black -- Scholes Model. 6. Partial Differential Equations. 7. The Black-Scholes Formulae and the 'Greeks'. 8. Simple Generalizations of the Black -- Scholes World. 9. Early Exercise and American Options. 10. Probability Density Functions and First Exit Times. 11. Multi-asset Options. 12. The Binomial Model -- pt. 2. Path Dependency. 13. An Introduction to Exotic and Path-dependent Options. 14. Barrier Options. 15. Strongly Path-dependent Options. 16. Asian Options. 17. Lookback Options. 18. Miscellaneous Exotics -- pt. 3. Extending Black-Scholes. 19. Defects in the Black-Scholes Model. 20. Discrete Hedging. 21. Transaction Costs. 22. Volatility Smiles and Surfaces. 23. Stochastic Volatility. 24. Uncertain Parameters. 25. Empirical Analysis of Volatility. 26. Jump Diffusion. 27. Crash Modeling. 28. Speculating with Options.
29. The Feedback Effect of Hedging in Illiquid Markets. 30. Static Hedging -- pt. 4. Interest Rates and Products. 31. Fixed-income Products and Analysis: Yield, Duration and Convexity. 32. Swaps. 33. One-factor…
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