Product Description

The only comprehensive reference encompassing both traditional and new derivatives and financial engineering techniques
Based on the author′s hugely successful Derivatives: The Theory and Practice of Financial Engineering, Paul Wilmott on Quantitative Finance is the definitive guide to derivatives and related financial products. In addition to fully updated and expanded coverage of all the topics covered in the first book, this two–volume set also includes sixteen entirely new chapters covering such crucial areas as stochastic control and derivatives, utility theory, stochastic volatility and utility, mortgages, real options, power derivatives, weather derivatives, insurance derivatives, and more. Wilmott has also added clear, detailed explanations of all the mathematical procedures readers need to know in order to use the techniques he describes.
Paul Wilmott, Dphil (Oxford, UK), is one of Europe′s leading writers and consultants in the area of financial mathematics. He is also head of Wilmott Associates, a leading international financial consulting firm whose clients include Citibank, IBM, Bank of Montreal, Momura, Daiwa, Maxima, Dresdner Klienwort Benson, Origenes, and Siembra.

Product Details

• Amazon Sales Rank: #745214 in Books
• Published on: 2000-04-27
• Original language: English
• Number of items: 2
• Binding: Hardcover
• 1064 pages

Amazon.co.uk Review
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

Review
"A great achievement that fills a void for everyone who uses charts. Bulkowski has taken an intelligent and thoughtful approach to producing a practical guide to evaluating chart formations." –(Perry Kaufman, author of Trading Systems and Methods, 3rd Edition)

"Not since Edwards and Magee has someone put together so comprehensive an assemblage of market behavior expressed graphically. That you also get a solid statistical assessment of the results of these chart formations is an unexpected and invaluable bonus. No chartist should be without this book."–(John Sweeney, Interim Editor, Technical Analysis of Stocks & Commodities)

"Encyclopedia of Chart Patterns is a book I have wanted to see published for many years. It brings together the patterns found in many diverse charting methods and adds the valuable dimension of performance statistics, trading tactics, and behavioral characteristics of each pattern. It is a valuable contribution to existing literature on charting and should be considered an indispensable reference by any serious chart trader."–(Edward D. Dobson, President, Traders Press, Inc.)

"Having worn out my 1948 first edition of Edwards and Magee′s Technical Analysis of Stock Trends, I thought I knew a lot about chart patterns. Thomas Bulkowski′s Encyclopedia of Chart Patterns showed me how much more there is to learn. Meticulously researched, complete, and insightful, the Encyclopedia has earned a permanent place on my trading desk as a highly valued resource."–(Thomas A. Bierovic, Manager, Strategy Testing & Development, Omega Research, Inc.)

"A great achievement that fills a void for everyone who uses charts. Bulkowski has taken an intelligent and thoughtful approach to producing a practical guide to evaluating chart formations." –(Perry Kaufman, author of Trading Systems and Methods, 3rd Edition)

"Not since Edwards and Magee has someone put together so comprehensive an assemblage of market behavior expressed graphically. That you also get a solid statistical assessment of the results of these chart formations is an unexpected and invaluable bonus. No chartist should be without this book."–(John Sweeney, Interim Editor, Technical Analysis of Stocks & Commodities)

"Encyclopedia of Chart Patterns is a book I have wanted to see published for many years. It brings together the patterns found in many diverse charting methods and adds the valuable dimension of performance statistics, trading tactics, and behavioral characteristics of each pattern. It is a valuable contribution to existing literature on charting and should be considered an indispensable reference by any serious chart trader."–(Edward D. Dobson, President, Traders Press, Inc.)

"Having worn out my 1948 first edition of Edwards and Magee′s Technical Analysis of Stock Trends, I thought I knew a lot about chart patterns. Thomas Bulkowski′s Encyclopedia of Chart Patterns showed me how much more there is to learn. Meticulously researched, complete, and insightful, the Encyclopedia has earned a permanent place on my trading desk as a highly valued resource."–(Thomas A. Bierovic, Manager, Strategy Testing & Development, Omega Research, Inc.)

Review
"Wilmott is even amusing. If you have training in the field, it is for you. Buy."
––Shares, 21st December 2000

Customer Reviews

limited...
The theory of derivatives pricing is the observation by Black and Scholes that the randomness in the value of an option can be balanced by the randomness of the underlying stock. This leads to a partial differential equation for the price of the option known as the Black-Scholes equation. Following on from this, mathematical finance has developed into a burgeoning field. The PDE approach has however been largely superseded by the more advanced martingale-based risk-neutral evaluation approach.

This book is an extended edition of Wilmott's previous book Derivatives and suffers from similar defects. It is a good basic introduction to the PDE approach to pricing but is limited in scope and viewpoint. Trees, risk-neutral pricing and martingales barely rate a mention. Every problem is fitted into the PDE approach whether it makes sense or not. Whilst Derivatives was worth buying, this book... adds little.

If you want to spend a lot of money learning Wilmott's view on finance then this is the book for you. But if you want a good overview of modern financial techniques then save your pennies.

Neither practical nor academic enough
The finance market is flooded with paper, but much is redundant and some isn't even very useful. This book manages to be both. "Market Models" by Carol Alexander is a fabulous resource. There are a lot of books and articles on quantitative finance and if you want only that, look through the literature and choose, but this book won't give enough comprehensive coverage to make it a buy.

Wilmott strike again!
I have been an appreciative reader of the previous books by Paul Wilmott, and I eagerly bought this updated edition of Derivatives right away. There was no surprise: this is possibly the most comprehensive book on mathematical finance up to date. Several new chapters have been added, some of them addressing very interesting subjects such as stochastic control (one of my favourites), and many others have been expanded. For instance, American options are explained more thoroughly in this edition. You won't need a PhD in math to read the book: it takes little mathematical knowledge required to understand the models to a good level of accuracy (strange as it may sound, the author succeeds in demonstrating it is so), and the derivation of more subtle quantitative subjects is straightforward. Wilmott as usual includes some funny lines throughout the text that make the reading light and enjoyable. The drawing boxes depicting the author himself providing concise advice on what issues to focus on may certainly look childish, yet I think they are of some help to the reader. Actually, I think it's impossible to conceive a topic in derivatives theory (and practice, as the author reminds) not covered in these volumes. Do not expect Paul Wilmott on quantitative finance to provide a useful quick reference for formulas and basic ideas, though. The thick and heavy two volumes are a nightmare to carry around (despite the stylish box taht accomodates them) and you won't like to browse through the index jumping from one book to the other. Overall, I think this book is a must for all those interested in financial mathematics. Students and first-timers can not, in my humble opinion, find a better textbook for developing a wide knowledge of mathematical finance, and they will certainly read it cover to cover and will have hard time putting it down. More experienced readers might find the level of exposition, especially in the first chapters, quite introductory, but they certainly will appreciate the broad scope of the book and the unconventional yet very enjoyable style with which the subjects are explained. Moreover, Wilmott is available for answering questions and exchanging ideas and opinions, and I think that's a huge resource, considering how greatly knowledgeable he is. There are only two small drawbacks with this book: the price tag and the ugly suit worn by the author (who, surprisingly enough, seems proud of it) in a picture on the back cover of one of the volumes, but serious Wilmott enthusiasts will happily accept both. As a matter of fact, I'm already looking forward to hear about his next (4 volumes, 2K pages?) release.