Paul Wilmott’s Books on Quantitative Finance

 金融计算  Paul Wilmott’s Books on Quantitative Finance已关闭评论
11月 301999
 

Paul Wilmott在数量金融(Quantitative Finance)方面的书,跟Fabozzi(发包子)在固定收益(Fixed Income)方面的书一样有名,一样充满重复,不过捡来的声誉要高得多。现在有朋友问,他哪些书值得买(或者复印、打印),其实这个问题Paul写书之前——我看——就给出了答案。他最有名的书,Paul Wilmott on Quantitative Finance,以前是两卷本(2000,1064页),现在是三卷(2006,1500页),手头备一份就可以了。如果还嫌贵,Paul还准备了一册Paul Wilmott Introduces Quantitative Finance(2007,722页),是上面三卷本的精简版

是已经够了。不过在国内,还偶尔能看到Paul的另一本Derivatives: the Theory and Practice of Financial Engineering(1998,768页),或者一册更薄的,The Mathematics of Financial Derivatives: A Student Introduction(1995,330页),这本小书又是他的Option Pricing: mathematical Methods and Computation(1994,457页)的缩写。

这些书章节惊人的重复,大概看看下面的几个目录就可以决定取舍了:

Paul Wilmott on Quantitative Finance三卷本(2006,1500页)

第一卷

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. How to Delta Hedge
13. Fixed-income Products and Analysis: Yield, Duration and Convexity
14. Swaps
15. The Binomial Model
16. How Accurate is the Normal Approximation?
17. Investment Lessons from Blackjack and Gambling
18. Portfolio Management
19. Value at Risk
20. Forecasting the Markets?
21. A Trading Game

第二卷

22. An Introduction to Exotic and Path-dependent Options
23. Barrier Options
24. Strongly Path-dependent Options
25. Asian Options
26. Lookback Options
27. Derivatives and Stochastic Control
28. Miscellaneous Exotics
29. Equity and FX Term Sheets
30. One-factor Interest Rate Modeling
31. Yield Curve Fitting
32. Interest Rate Derivatives
33. Convertible Bonds
34. Mortgage-backed Securities
35. Multi-factor Interest Rate Modeling
36. Empirical Behavior of the Spot Interest Rate
37. The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models
38. Fixed Income Term Sheets
39. Value of the Firm and the Risk of Default
40. Credit Risk
41. Credit Derivatives
42. RiskMetrics and CreditMetrics
43. CrashMetrics
44. Derivatives **** Ups

第三卷

45. Financial Modeling
46. Defects in the Black-Scholes Model
47. Discrete Hedging
48. Transaction Costs
49. Overview of Volatility Modeling
50. Volatility Smiles and Surfaces
51. Stochastic Volatility
52. Uncertain Parameters
53. Empirical Analysis of Volatility
54. Stochastic Volatility and Mean-variance Analysis
55. Asymptotic Analysis of Volatility
56. Volatility Case Study: The Cliquet Option
57. Jump Diffusion
58. Crash Modeling
59. Speculating with Options
60. Static Hedging
61. The Feedback Effect of Hedging in Illiquid Markets
62. Utility Theory
63. More About American Options and Related Matters
64. Advanced Dividend Modeling
65. Serial Autocorrelation in Returns
66. Asset Allocation in Continuous Time
67. Asset Allocation Under Threat Of A Crash
68. Interest-rate Modeling Without Probabilities
69. Pricing and Optimal Hedging of Derivatives, the Non-probabilistic Model Cont’d
70. Extensions to the Non-probabilistic Interest-rate Model
71. Modeling Inflation
72. Energy Derivatives
73. Real Options
74. Life Settlements and Viaticals
75. Bonus Time
76. Overview of Numerical Methods
77. Finite-difference Methods for One-factor Models
78. Further Finite-difference Methods for One-factor Models
79. Finite-difference Methods for Two-factor Models
80. Monte Carlo Simulation and Related Methods
81. Numerical Integration and Simulation Methods
82. Finite-difference Programs
83. Monte Carlo Programs
A. All the Math You Need… and No More (An Executive Summary)

Paul Wilmott Introduces Quantitative Finance

1 Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures

2 Derivatives

3 The Binomial Model

4 The Random Behavior of Assets

5 Elementary Stochastic Calculus 

6 The Black-Scholes Model

7 Partial Differential Equations

8 The Black-Scholes Formula and the ‘Greeks’

9 Overview of Volatility Modeling

10 How to Delta Hedge

11 An Introduction to Exotic and Path-dependent Options

12 Multi-asset Options

13 Barrier Options

14 Fixed-income Products and Analysis: Yield, Duration and Convexity

15 Swaps

16 One-factor Interest Rate Modeling

17 Yield Curve Fitting

18 Interest Rate Derivatives

19 The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models

20 Investment Lessons from Blackjack and Gambling

21 Portfolio Management

22 Value at Risk

23 Credit Risk

24 RiskMetrics and CreditMetrics

25 CrashMetrics

26 Derivatives **** Ups

27 Overview of Numerical Methods

28 Finite-difference Methods for One-factor Models

29 Monte Carlo Simulation

30 Numerical Integration

A All the Math You Need. . . and No More (An Executive Summary)

B Forecasting the Markets? A Small Digression

C A Trading Game

D Contents of CD accompanying Paul Wilmott Introduces Quantitative Finance, second edition

E What you get if (when) you upgrade to PWOQF2

Bibliography

Index

 

The Mathematics of Financial Derivatives: A Student Introduction

PART I: Basic Option Theory
1. An Introduction to Options and Markets
2. Asset Price Random Walks
3. The Black-Scholes Model
4. Partial Differential Equations
5. The Black-Scholes Formulae
6. Variations on the Black-Scholes Model
7. American Options
PART II: Numerical Methods
8. Finite-Difference Methods
9. Methods for American Options
10. Binomial Methods
PART III: Further Option Theory
11. Exotic and Path-Dependent Options
12. Barrier Options
13. A Unifying Framework for Path-Dependent Options
14. Asian Options
15. Lookback Options
16. Options with Transaction Costs
PART IV: Interest Rate Derivative Products
17. Interest rate Derivatives
18. Convertible Bonds
Hints to Selected Exercises
Bibliography
Index

How to pronounce SAS ?

 未分类  How to pronounce SAS ?已关闭评论
11月 301999
 

一直用SAS,一直公开把它念成煞斯,旁边的朋友都这么念了。当然,一般看到a,最好都念成“贰”,而不是“啊”,有个讲究,美国一些教授好像有个“刻版印象”(偏见),比如说Harvard的第一个ar,不要念成“啊”,而要念为“贰”,这样据说显得高雅。SAS这个a似乎是念成“贰”而不是“啊”,它的老板 “晚安”(Jim Goodnight)在一次视频上读过,注意了一下,那个a好像是念成“贰。

刚不小心进入了一个佐治亚大学(the University of Georgia)的SAS邮件组,1997年初的帖子,看着也有不少人对SAS的发音感兴趣,挺好玩的,贴出来,把名字隐去,以前我们也在人大“统计之都”论坛讨论过stata和SAS的发音: 

Hi, A simple question: How should I pronounce SAS: is
it Es-A-ES of just SAS ?
提问:SAS是把它拆成三个字母单独念,还是连在一起念SAS?
It's pronounced as a single word, "sass" (rhymes with mass, pass, lass,
gas, etc.).  This goes along with the official SAS Institute position that (for
legal reasons) SAS is not an abbreviation or acronym for anything.
回帖1:认为SAS要连在一起念,念起来跟sass(顶嘴)、mass(大众)、lass(女佣)差不多。
这是因为现在SAS已经不是statistics analysis system的缩写,本身就是一个商标。
There is an economist here that always refers to SAS as Es-A-ES.
He doesn't use it -- just makes derogatory comments about it.
We kid him about his statistical package: "Yeah, but can
S-T-A-T-A do this?!?"
回帖2:讲了一个笑话。一个损贬SAS的经济学家,把SAS拆开来读成Es-A-Es。
就打趣把他用的stata(斯得他)也分开念成s-t-a-t-a
Apart from which, a British person might get confused if you used S-A-S
with a military unit of the same pronunciation! Use SASS.
回帖3:英国的SAS是皇家空军特勤处(Special Air Service)的缩写。

One syllable. Rhymes with........mass. Just SAS. Most people I know pronounce it as "sass". A few say "saz". Nobody would know what the heck I was talking about if I spelled out S-A-S.

Might suggest to the erudite economist that if he doesn't know how to
pronounce it then he must not know much else about it.

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1.不回覆私底下email的問題。有問題的請在此留言。
2.不保證能夠回答所有問題。
3.不協助debug。
4.SAS軟體本身的問題請自行聯繫SAS客服部門。

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