paul wilmott on quantitative finance financial modeling

《paul wilmott on quantitative finance financial modeling》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、CHAPTER45financialmodelingInthisChapter...•someadviceonmodelingfromanoldcynic•the‘Find-and-Replace’schoolofmathematicalmodeling45.1INTRODUCTIONIreallymustsaythatyouareanignorantperson,friendGreybeard,ifyouknownothingofthisenigmaticbusinesswhichisatoncethefairestandmostdeceitfulinEurope,thenoble

2、standthemostinfamousintheworld,thefinestandmostvulgaronearth.Itisaquintessenceofacademiclearningandaparagonoffraudulence;itisatouchstonefortheintelligentandatombstonefortheaudacious,atreasuryofusefulnessandasourceofdisaster,andfinallyacounterpartofSisyphuswhoneverrestsasalsoofIxionwhoischainedto

3、awheelthatturnsperpetually.JosephdelaVegainConfusi´ondeConfusiones,1688.Thisbookisaboutmodelingoffinancialquantitiesandinstruments.Itstartsoutcoveringmuchoftheclassicalfoundations,andleadsontoprettystratospheric,cutting-edgestuff.Withintheclassicalfoundationsthebookcoverslognormalrandomwalks,dy

4、namichedging,thebinomialmodelandtheBlack–Scholesmodel,aswellasbasicportfoliomanagement.Butthesetopicsarecoveredinanear-infinitenumberoffinancetextbooksalready,withvaryingdegreesofsuccess.Onelevelupfromtheclassicalbasics,wealsolookatthemoreadvancedtopicssuchasvolatilitysurfaces,stochasticvolatili

5、ty,jumpdiffusion,etc.Thesemaybemoreadvancedbuttheyarestillsubjectsthatarecoveredinsomeofthebetter-qualitybooks.Andtheyaretopicsdeartotheheartofthemore‘sophisticated’practicingquant.Whatyouwon’tfindinmanyotherbooksarethemoreinterestingcutting-edgematerial,thenon-linearmodels,thedataanalysis,the‘

6、research’topics.Thesechaptersaremypersonalfavorites.Itisthesechaptersthatmakethisbookwhatitis,ajourneyfromprettystraightforwardmaterialtoplacesthatmostresearchersneverevendreamofgoing.AndwhatIhavetriedtoachieveistomakethisjourneyasseamless,andunfrightening,aspossible.Youshouldneverbeawareofthe

7、timeswhenweleavethewell-troddenpathintothemoreuncertainterrain.IndesigningthemapandtheguidebookforthisjourneyIhavealwaysassumedacertainlevelofintelligenceofthereader.Thereisnospoonfeedinginthisbook.Simultaneously,Ihavetriedtogivethebest