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Derivatives : The Theory and Practice of Financial Engineering (Wiley Frontiers in Finance Series), by Paul Wilmott
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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and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques.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.
- Sales Rank: #2040324 in Books
- Brand: Brand: Wiley
- Published on: 1998-12-08
- Original language: English
- Number of items: 1
- Dimensions: 10.24" h x 1.39" w x 7.66" l,
- Binding: Hardcover
- 768 pages
- Used Book in Good Condition
Review
"The longest and most inclusive book ever written about derivatives - a necessary reference for serious derivatives students." - Mark Rubinstein, Paul Stephens Professor of Applied Investment Analysis, University of California at Berkeley.
"Likely to become the bible of financial engineering." - Philippe Jorion, Professor of Finance, Graduate School of Management, University of California-Irvine
"Paul Wilmott is the Carl Sagan of quantitative finance... a brilliant academic and researcher. His latest book is a mammoth undertaking... a book worth writing and a book worth reading... I have no hesitation commending it to a wide spectrum of readers." - Rudi Bogni, Chief Executive, Private Banking, and Member of the Group Executive Board, UBS
"Derivatives is a monumental achievement. Paul Wilmott uses his deep knowledge of key mathematical concepts and his practical Wall Street experience to produce an authoritative book on financial mathematics. This is a stimulating book with many motivating examples and exercises based on real-world data and problems." - Richard Skora, President, Skora & Company Incorporated
"Just what I would have expected from an immensely talented individual. An authoritative, friendly guide to the complex world of derivative analysis." - Edmond Levy, Specialized Derivatives Group, HSBC Midland
"Paul Wilmott's book provides a refreshing look at option pricing. His views are always interesting, often original, sometimes provocative." - Riccardo Rebonato, Director and Head of Research at Barclays Capital
"As good as Paul Wilmott is as a teacher of accurate pricing methods for finance, he is obviously not a very good student as he has completely under-priced his book! A book of this breadth and depth which is not merely a regurgitation of work published by others but contains truly original research is cheap at double the price." - Keesup Choe, Head of Arbitrage, Nomura International
"Wilmott... knows what it takes to be both comprehensive and pedagogical. Even though he is a mathematician by training he has this rare skill to correctly twist the maths until they confess the underlying economics. Read this book and you'll be converted!" - Eric Briys, International Fixed Income Research, Lehman Brothers
"I have read with great pleasure this new book by Paul Wilmott who, once again, has produced a 'classic' in the field!... The style is pedagogical and yet very lively and easygoing. As only great teachers can, Wilmott makes even the most abstruse mathematics seem easy and intuitive. I will gladly recommend this book to graduate students and professionals in the field." - Marco Avellaneda, Professor of Mathematics and Director, Division of Quantitative Finance, Courant Institute of Mathematical Science, New York University.
From the Publisher
Paul Wilmott offers an in-depth discussion of derivatives, systematically and logically explaining their applications. This book leads the reader through the whole process and provides not just theory but actual answers applicable to today's marketplace.
Most helpful customer reviews
18 of 20 people found the following review helpful.
Wide but lopsided coverage
By A Customer
Paul Wilmott's book has an impressive but lopsided coverage. Paul is clearly an expert in numerical solutions of Partial Differential Equations (with a leaning towards non-linear ones, I would guess) and this topic does find useful applications in derivatives valuation. His expositions of techniques and concepts in this area is lucid and helpful. Unfortunately the 'martingale revolution' seems to have by-passed him altogher. Not only he avoids probabilistic techniques and jargon in his treatment (this could be an intelligent choice), but he gives far too scant treatment to very important related concepts - such as the change of numeraire - which have very powerful practical applications and are coneptually very far reaching. Similalry, the treatment of interest rate models is far too centered on the 'traditional' approaches, to the detriment of a serious analysis of such approaches as the BGM (in this context, I found his dismissive commnents about his colleagues in poor taste). The book would have been very good in the early 90s. Finance has moved on too much, though, for such as weeping title as 'Derivatives' to be warranted today.
14 of 17 people found the following review helpful.
A good first book on the PDE approach to derivative pricing.
By A Customer
Wilmott's Derivatives is an accessible introduction to the partial differential equation (PDE) approach to mathematical finance.
The basis of mathematical finance is the observation by Black and Scholes that when pricing a derivative contract, for example a stock option, the randomness of the value of the underlying stock can be used to balance the randomness in value of the option in such a manner as to eliminate all randomness. A trader can thus by continually rebalancing his positions guarantee the price of an option. This price is the solution to the famous Black-Scholes equation. Thus the pricing of derivatives becomes a suprisingly rigourous branch of mathematics.
The Black-Scholes equation itself is not a particularly difficult equation -- indeed a few simple changes of variables transform it into the one-dimensional heat equation and a closed-form solution for the price of an option can be written down. The proof that it holds and the implications of the proof are however not so trivial and the book does well at explaining these.
Mathematical finance does not end with the Black-Scholes equation for two reasons. The first is that more and more complicated derivatives products are continually being innovated which require new mathematics to be invented. The second is that the equation is based on certain assumptions which while providing a reasonable first approximation are not perfect; the research of new more accurate models is therefore active and ongoing.
The author starts with the definitions of the basic financial instruments and gradually builds up to the Black-Scholes equation. He does so in a clear and detailed manner. He then goes on to discuss various generalizations to exotic options and more complicated models of stock price movements.
The principal defect of the book is that mathematical finance is not a branch of PDE theory or applied mathematics but rather a branch of probability theory. The probabilistic aspects of the subject are skimped on with only a brief coverage of binomial trees, and the concept of an equivalent martingale measure which is the fundamental concept of mathematical finance not discussed. Interest-rate options and many exotic stock options are more easily priced both practically and conceptually from a probabilitistic point of view and the PDE approach to them can become contrived.
To summarize, this book is worth buying but the reader should treat its contents with a pinch of salt and concentrate on the first two hundred pages. It should be read in parallel with another book, such as Baxter and Rennie, which concentrates on the probabilistic approach to the subject.
8 of 9 people found the following review helpful.
The Mother of All Derivatives Books
By A Customer
I spent a fortune out of my meager salaries, buying derivatives and financial engineering books for the past 5 years. This book could replace all of them and more. I wish I had known about this book before.
I recommend this book to anyone who is a serious student of derivatives.
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