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Book Cover
Book
Author Wilmott, Paul.

Title Derivatives : the theory and practice of financial engineering / Paul Wilmott
Edition University edition
Published Chichester, England : John Wiley & Sons, 1998

Copies

Location Call no. Vol. Availability
 MELB  332.645 Wil/Dtt  AVAILABLE
Description xx, 739 pages : illustrations ; 25 cm + 1 computer laser optical disc (4 3/4 in.)
Contents 27. Crash modeling -- 28. Speculating with options -- 29. The feedback effect of hedging in illiquid markets -- 30. Static hedging. Part Four: Interest Rates and Products. 31. Fixed-income products and analysis: yield, duration and convexity -- 32. Swaps -- 33. One-factor interest rate modeling -- 34. Yield curve fitting -- 35. Interest rate derivatives -- 36. Convertible bonds -- 37. Two-factor interest rate modeling -- 38. Empirical behavior of the spot interest rate -- 39. Heath, Jarrow and Morton -- 40. Interest-rate modeling without probabilities. Part Five: Risk Measurement and Management. 41. Portfolio Management -- 42. Value at risk -- 43. Credit risk -- 44. Credit derivatives -- 45. RiskMetrics, CreditMetrics and CrashMetrics. Part Six: Numerical Methods. 46. Finite-difference methods for one-factor models -- 47. Further finite-difference methods for one-factor models -- 48. Finite-difference methods for two-factor models --
49. Monte Carlo simulation and related methods -- 50. Finite-difference programs
Part One: Basic Theory of Derivatives. 1. Products and markets -- 2. Derivatives -- 3. Random behavior of assets -- 4. Elementary stochastic calculus -- 5. The Black-Scholes model -- 6. Partial differential equations -- 7. The Black-Scholes formulae and the 'Greeks' -- 8. Simple generalizations of the Black-Scholes world -- 9. Early exercise and American options -- 10. Probability density functions and first exit times -- 11. Multi-asset options -- 12. The binomial model. Part Two: Path Dependency. 13. An introduction to exotic and path-dependent options -- 14. Barrier options -- 15. Strongly path-dependent options -- 16. Asian ooptions -- 17. Lookback options -- 18. Miscellaneous exotics. Part Three: Extending Balck-Scholes. 19. Defects in the black-scholes model -- 20. Discrete hedging -- 21. Transaction costs -- 22. Volatility smiles and surfaces -- 23. Stochastic volatility -- 24. Uncertain parameters -- 25. Empirical analysis of volatility -- 26. Jump diffusion --
Related To Issued with: Wilmott, Paul CD to accompany derivatives : the theory and practice of financial engineering
Issued With Wilmott, Paul CD to accompany derivatives : the theory and practice of financial engineering
Bibliography Includes bibliographical references and index
Subject Derivative securities -- Mathematical models.
Derivative securities.
Options (Finance) -- Mathematical models.
Options (Finance) -- Prices -- Mathematical models.
ISBN 0471983667 (paperback)
0471983896
Other Titles Derivatives