Wilmott, P. _Wilmott Introduces Quantitative Finance

Wiley, 2nd ed., 2009

Content

  1. Products and Markets
  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 Formulae 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 Product and Analysis: Yield, Duration, 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. Derivativs Ups
  27. Overview of Numerical Methods
  28. Finite-difference Methods for One-factor Models
  29. Monte Carlo Simulation
  30. Numerical Integration