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More About This Title The Best of Wilmott 2
English
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, it's one of my favourite topics, but volatility is also the big unknown as far as pricing and hedging is concerned. We present research in this area from some of the best newcomers in this field. You'll see ideas that make a mockery of 'received wisdom,' ideas that are truly paradigm shattering - for we aren't content with a mere 'shift.'
We know you'll enjoy it!
The Best of Wilmott will return again next year...
English
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.
English
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.
