Wilmott Paul. Quantitative Finance

One mathematical and financial foundations.
Basic theory of derivatives.
Risk and retu.

Products and Markets.
Derivatives.
The Random Behavior of Assets.
Elementary Stochastic Calculus.
The Black–Scholes Model.
al Differential Equations.
The Black–Scholes Formulae and the ‘Greeks’.
Simple Generalizations of the Black–Scholes World.
Early Exercise and American Options.
Probability Density Functions and First-exit times.
Multi-asset Options.
How to Delta Hedge.
Fixed-income Products and Analysis: Yield, Duration and Convexity.
Swaps.
The Binomial Model.
How Accurate is the Normal Approximation?
nvestment Lessons from Blackjack and Gambling.
Portfolio Management.
alue at Risk.
Forecasting the Markets?
A trading Game.
contents ix.
contents of volume two.
TWO EXOTIC CONTRACTS AND PATH DEPENDENCY.
An Introduction to Exotic and Path-dependent Derivatives.
Barrier Options.
Strongly Path-dependent Derivatives.
Asian Options.
Lookback Options.
Derivatives and Stochastic Control.
Miscellaneous Exotics.
Equity and FX Term Sheets.
THREE FIXED-INCOME MODELING AND DERIVATIVES.
One-factor Interest Rate Modeling.
Yield Curve Fitting.
nterest Rate Derivatives.
Convertible Bonds.
Mortgage-backed Securities.
Multi-factor Interest Rate Modeling.
Empirical Behavior of the Spot Interest Rate.
The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models.
Fixed-income Term Sheets.
FOUR CREDIT RISK.
alue of the Firm and the Risk of Default.
Credit Risk.
contents.
Credit Derivatives.
RiskMetrics and CreditMetrics.
CrashMetrics.
Derivatives **** Ups.
contents xix.
contents of volume three.
FIVE ADVANCED TOPICS.
Financial Modeling.
Defects in the Black–Scholes Model.
Discrete Hedging.
Transaction Costs.
Overview of Volatility Modeling.
Deterministic Volatility Surfaces.
Stochastic Volatility.
Uncertain Parameters.
Empirical Analysis of Volatility.
Stochastic Volatility and Mean-variance Analysis.
Asymptotic Analysis of Volatility.
olatility Case Study: The Cliquet Option.
Jump Diffusion.
Crash Modeling.
Speculating with Options.
Static Hedging.
The Feedback Effect of Hedging in Illiquid Markets.
Utility Theory.
More About American Options and Related Matters.
Advanced Dividend Modeling.
Serial Autocorrelation in Retus.
Asset Allocation in Continuous Time.
contents.
Asset Allocation Under Threat of a Crash.
nterest-rate Modeling Without Probabilities.
Pricing and Optimal Hedging of Derivatives, the Non-probabilistic.
Model Cont’d.
Extensions to the Non-probabilistic Interest-rate Model.
Modeling Inflation.
Energy Derivatives.
Real Options.
Life Settlements and Viaticals.
Bonus Time.
SIX NUMERICAL METHODS AND PROGRAMS.
Overview of Numerical Methods.
Finite-difference Methods for One-factor Models.
Further Finite-difference Methods for One-factor Models.
Finite-difference Methods for Two-factor Models.
Monte Carlo Simulation.
Numerical Integration.
Finite-difference Programs.
Monte Carlo Programs.
Appendix A All the Math You Need. . . and No More (An Executive Summary).
Bibliography.
ndex.