The Best of Wilmott 2

Paul Wilmott

404 pages, parution le 10/11/2005

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Résumé

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, 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...

L'auteur - Paul Wilmott

Un des experts les plus réputés et respectés dans le domaine de la finance quantitative, PAUL WILMOTT a écrit plus d'une centaine d'articles de recherche. Consultant et formateur, il a fondé wilmott.com et the Certificate in Quantitative Finance. Il est rédacteur en chef de Wilmott (magazine bimensuel) et auteur de deux ouvrages enseignés en université : Paul Wilmott introduces Quantitative Finance et Paul Wilmott on Quantitative Finance parus aux éditions Wiley. Ses cours sont enseignés dans les plus grandes universités tant anglo-saxonnes que francophones.

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Sommaire

Time's Up
First Cause
Know Your Weapon I
Know Your Weapon II
Take a Chance
Good and Bad Properties of the Kelly Criterion
Mathematics of Gambling and Investment
Efficient estimates for valuing American options
The Relative Valuation of an Equity Price Index
What the spreadsheet said to the database, just before the regulator shut down the trading floor
Ask Marilyn and Win a Car
Risk: The Ugly History
Thirst for Hurst
TARNs: Models, Valuation, Risk Sensitivities
Fast Valuation of a Portfolio of Barrier Options under the Merton's Jump Diffusion Hypothesis
An Analysis of Pricing Methods for Baskets Options
Pricing CMS Spread Options and Digital CMS Spread Options with Smile
The Case for Time Homogeneity
Hybrid Stochastic Volatility Calibration
Can Anyone Solve the Smile Problem?
Definitive Smile Model: Part I
Definitive Smile Model: Part II
A Perfect Calibration! Now What?
Timing the Smile
Inference and Stochastic Volatility
A Critique of the Crank Nicolson Scheme Strengths and Weaknesses for Financial Instrument Pricing
Finite Elements and Streamline Diffusion for the Pricing of Structured Financial Instruments
No Fear of Jumps

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Paul Wilmott
Parution	10/11/2005
Nb. de pages	404
Format	19 x 25
Couverture	Relié
Poids	1050g
Intérieur	Noir et Blanc
EAN13	9780470017388
ISBN13	978-0-470-01738-8