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Produktbild: The Best of Wilmott 1

The Best of Wilmott 1 Incorporating the Quantitative Finance Review

164,99 €

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

27.10.2004

Herausgeber

Wilmott Paul

Verlag

John Wiley & Sons

Seitenzahl

464

Maße (L/B/H)

25,4/20,3/2,5 cm

Gewicht

1161 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-02351-8

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

27.10.2004

Herausgeber

Wilmott Paul

Verlag

John Wiley & Sons

Seitenzahl

464

Maße (L/B/H)

25,4/20,3/2,5 cm

Gewicht

1161 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-02351-8

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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  • Produktbild: The Best of Wilmott 1

  • Introduction ix
    Paul Wilmott

    I Education in Quantitative Finance 1
    Riaz Ahmad

    II Financialcad® 5
    Owen Walsh

    III Quantitative Finance Review 2003 7
    Dan Tudball

    Chapter 1 Rewind 11
    Dan Tudball

    Chapter 2 In for the Count 19
    Dan Tudball

    Chapter 3 A Perspective on Quantitative Finance: Models for Beating the Market 33
    Ed Thorp

    Chapter 4 Psychology in Financial Markets 39
    Henriëtte Prast

    Chapter 5 Credit Risk Appraisal: From the Firm Structural Approach to Modern Probabilistic Methodologies 59
    Hugues E. Pirotte Spéder

    Chapter 6 Modelling and Measuring Sovereign Credit Risk 69
    Ephraim Clark

    Chapter 7 The Equity-to-credit Problem (or the Story of Calibration, Co-calibration and Re-calibration) 79
    Elie Ayache

    Chapter 8 Measuring Country Risk as Implied Volatility 109
    Ephraim Clark

    Chapter 9 Next Generation Models for Convertible Bonds with Credit Risk 117
    E.Ayache,P.A.ForsythandK.R.Vetzal

    Chapter 10 First to Default Swaps 135
    Antony Penaud and James Selfe

    Chapter 11 Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions 143
    Philipp J. Schönbucher

    Chapter 12 Sovereign Debt Default Risk: Quantifying the (Un)Willingness to Pay 161
    Ephraim Clark

    Chapter 13 Chord of Association 167
    Aaron Brown

    Chapter 14 Introducing Variety in Risk Management 181
    Fabrizio Lillo, Rosario N. Mantegna, Jean-Philippe Bouchaud and Marc Potters

    Chapter 15 Alternative Large Risks Hedging Strategies for Options 191
    F. Selmi and Jean-Philippe Bouchaud

    Chapter 16 On Exercising American Options: The Risk of Making More Money than You Expected 199
    Hyungsok Ahn and Paul Wilmott

    Chapter 17 Phi-alpha Optimal Portfolios and Extreme Risk Management 223
    R. Douglas Martin, Svetlozar (Zari) Rachev, and Frederic Siboulet

    Chapter 18 Managing Smile Risk 249
    Patrick S. Hagan, Deep Kumar, Andrew S. Lesniewski and Diana E. Woodward

    Chapter 19 Adjusters: Turning Good Prices into Great Prices 297
    Patrick S. Hagan

    Chapter 20 Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors 305
    Patrick S. Hagan

    Chapter 21 Mind the Cap 319
    Peter Jäckel

    Chapter 22 The Art and Science of Curve Building 349
    Owen Walsh

    Chapter 23 Stochastic Volatility Models: Past, Present and Future 355
    Peter Jäckel

    Chapter 24 Cliquet Options and Volatility Models 379
    Paul Wilmott

    Chapter 25 Long Memory and Regime Shifts in Asset Volatility 391
    Jonathan Kinlay

    Chapter 26 Heston's Stochastic Volatility Model: Implementation, Calibration and Some Extensions 401
    Sergei Mikhailov and Ulrich Nögel

    Chapter 27 Forward-start Options in Stochastic Volatility Models 413
    Vladimir Lucic

    Chapter 28 Stochastic Volatility and Mean-variance Analysis 421
    Hyungsok Ahn and Paul Wilmott

    Index 435