Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.
Preface xxiii
1 Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures 1
2 Derivatives 27
3 The Binomial Model 59
4 The Random Behavior of Assets 95
5 Elementary Stochastic Calculus 117
6 The Black-Scholes Model 139
7 Partial Differential Equations 157
8 The Black-Scholes Formulæ and the 'Greeks' 169
9 Overview of Volatility Modeling 203
10 How to Delta Hedge 225
11 An Introduction to Exotic and Path-dependent Options 247
12 Multi-asset Options 271
13 Barrier Options 287
14 Fixed-income Products and Analysis: Yield, Duration and Convexity 319
15 Swaps 349
16 One-factor Interest Rate Modeling 359
17 Yield Curve Fitting 373
18 Interest Rate Derivatives 383
19 The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models 403
20 Investment Lessons from Blackjack and Gambling 423
21 Portfolio Management 441
22 Value at Risk 459
23 Credit Risk 473
24 RiskMetrics and CreditMetrics 495
25 CrashMetrics 505
26 Derivatives **** Ups 527
27 Overview of Numerical Methods 541
28 Finite-difference Methods for One-factor Models 549
29 Monte Carlo Simulation 581
30 Numerical Integration 605
A All the Math You Need. . . and No More (An Executive Summary) 617
B Forecasting the Markets? A Small Digression 627
C A Trading Game 643
D Contents of CD accompanying Paul Wilmott Introduces Quantitative Finance, second edition 649
E What you get if (when) you upgrade to PWOQF2 653
Bibliography 659
Index 683
