paul wilmott on quantitative finance

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1、contentsofvolumeoneVisualBasicCodexxvPrologtotheSecondEditionxxviiPARTONEMATHEMATICALANDFINANCIALFOUNDATIONS;BASICTHEORYOFDERIVATIVES;RISKANDRETURN11ProductsandMarkets52Derivatives253TheRandomBehaviorofAssets554ElementaryStochasticCalculus715TheBlack–

2、ScholesModel916PartialDifferentialEquations1017TheBlack–ScholesFormulaeandthe‘Greeks’1098SimpleGeneralizationsoftheBlack–ScholesWorld1399EarlyExerciseandAmericanOptions15110ProbabilityDensityFunctionsandFirst-exitTimes16911Multi-assetOptions18312Howto

3、DeltaHedge19713Fixed-incomeProductsandAnalysis:Yield,DurationandConvexity22514Swaps251viiicontents15TheBinomialModel26116HowAccurateistheNormalApproximation?29517InvestmentLessonsfromBlackjackandGambling30118PortfolioManagement31719ValueatRisk33120For

4、ecastingtheMarkets?34321ATradingGame359PARTONEmathematicalandfinancialfoundations;basictheoryofderivatives;riskandreturnThefirstpartofthebookcontainsthefundamentalsofderivativestheoryandpractice.Welookatbothequityandfixedincomeinstruments.Iintroducetheim

5、portantconceptsofhedgingandnoarbitrage,onwhichmostsophisticatedfinancetheoryisbased.Wedrawsomeinsightfromideasfirstseeningambling,andwedevelopthoseintoananalysisofriskandreturn.Theassumptions,keyconceptsandresultsinPartOnemakeupwhatislooselyknownasthe‘B

6、lack–Scholesworld,’namedforFischerBlackandMyronScholeswho,togetherwithRobertMerton,firstconceivedthem.Theiroriginalworkwaspublishedin1973,aftersomeresistance(thefamousequationwasfirstwrittendownin1969).InOctober1997MyronScholesandRobertMertonwereawarded

7、theNobelPrizeforEconomicsfortheirwork,FischerBlackhavingdiedinAugust1995.TheNewYorkTimesofWednesday,15thOctober1997wrote:‘TwoNorthAmericanscholarswontheNobelMemorialPrizeinEconomicScienceyesterdayforworkthatenablesinvestorstopriceaccuratelytheirbetson

8、thefuture,abreakthroughthathashelpedpowertheexplosivegrowthinfinancialmarketssincethe1970’sandplaysaprofoundroleintheeconomicsofeverydaylife.’1PartOneisselfcontained,requiringlittleknowledgeoffinanceoranymorethanelementarycalculus.Chapter1:Produ