| Description |
2 volumes . (xxvi, 1010 pages) : illustrations ; 26 cm |
| Contents |
Machine derived contents note: Volume 1 -- 1. Products and Markets. -- 2. Derivatives. -- 3. The 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. -- 13. Predicting the Markets? -- 14. The Trading Game. -- 15. An Introduction to Exotic and Path-dependent Options. -- 16. Barrier Options. -- 17. Strongly Path-dependent Options. -- 18. Asian Options. -- 19. Lookback Options. -- 20. Derivatives and Stochastic Control. -- 21. Miscellaneous Exotics. -- 22. Defects of the Black-Scholes Model. -- 23. Discrete Hedging. -- 24. Transaction Costs. -- 25. Volatility Smiles and Surfaces. -- 26. Stochastic Volatility. -- 27. Uncertain Parameters. -- 28. Empirical Analysis of Volatility. -- 29. Jump Diffusion. -- 30. Crash Modeling. -- 31. Speculating With Options. -- 32. Static Hedging. -- 33. The Feedback Effect of Hedging in Illiquid Markets. -- 34. Utility Theory. -- 35. More About American Options and Related Matters. -- 36. Stochastic Volatility and Mean-variance Analysis. -- 37. Advanced Dividend Modeling. -- Volume 2 -- 38. Fixed-income Products and Analysis: Yield, Duration and Convexity. -- 39. Swaps. -- 40. One-factor Interest Rate Modeling. -- 41. Yield Curve Fitting. -- 42. Interest Rate Derivatives. -- 43. Convertible Bonds. -- 44. Mortgage-backed Securities. -- 45. Multi-factor Interest Rate Modeling . -- 46. Empirical Behavior of the Spot Interest Rate. -- 47. Heath, Jarrow and Morton. -- 48. Interest-rate Modeling Without Probabilities. -- 49. Pricing and Optimal Hedging of Derivatives, the Non-probabilistic Model. -- 50. Extensions to the Non-probabilistic Interest-rate Model. -- 51. Portfolio Management. -- 52. Asset Allocation in Continuous Time. -- 53. Value at Risk. -- 54. Value of the Firm and the Risk of Default. -- 55. Credit Risk. -- 56. Credit Derivatives. -- 57. RiskMetrics and CreditMetrics. -- 58. CrashMetrics. -- 59. Derivatives Ups. -- 60. Bonus Time. -- 61. Real Options. -- 62. Energy Derivatives. -- 63. Finite-difference Methods for One-factor Models. -- 64. Further Finite-difference Methods for One-factor Models. -- 65. Finite-difference Methods for Two-factor Models. -- 66. Monte Carlo Simulation and Related Methods. -- 67. Finite-difference Programs. -- Appendix: All the Math You Need and No More (An Executive Summary) |
| Notes |
In slip-case |
|
Previous ed. published as: Derivatives. 1998 |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Derivative securities -- Mathematical models.
|
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Options (Finance) -- Mathematical models.
|
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Options (Finance) -- Prices -- Mathematical models.
|
| Author |
Wilmott, Paul.
Derivatives
|
| LC no. |
99089739 |
| ISBN |
0471874388 |
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