978-0-471-87438-6 / 0471874388

Paul Wilmott on Quantitative Finance, 2 Volume Set

by Wilmott, Paul




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About the book:

Paul Wilmott on Quantitative Finance is perfect for executives who want to sound knowledgeable about derivatives and is ideal for potential traders and students eager for information on the subject. The two-volume, 1000-page-plus work, which assumes no prior knowledge and consoles readers with the fact that only a few basic mathematics skills are required to understand the logic, is written deftly and with humour by an author who describes himself as having "competed in Ballroom Dancing at Oxford University and ... [been] voted best (joint) dancer in 1984". But make no mistake: there is some heavy-lifting involved as he talks readers through the mathematics of calculating option values.

Topics covered include: the famous Black-Scholes option pricing formula, different varieties of options (American, European, Bermudan, and Asian), early exercise of American options, an introduction to exotic and path-dependent options, the effects of dividends and various option strategies for making money-- such as bull and bear spreads, straddles and strangles, as well as butterflies and condors. If you are not involved in day-to-day option trading and don't plan to read every page, Quantitative Finance will make a handy reference--simple explanations of terms such as delta-hedging or implied volatility are offered throughout. On the other hand, for those who want to get into the option trading game, there are numerous snapshots of Bloomberg terminal screens to highlight the data available to practitioners.

Helpful hints are provided through speech boxes-essentially, cartoon portraits of Wilmott himself--pointing out the usefulness of the various sections. As an added incentive to working through the text, some of these drawings have scenes from famous movies in the background and, if you are able to guess them all correctly, he will award a prize--at his option, of course. --Bruce McWilliams

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