Getting agreement between finance theory and finance practice is
important like never before. In the last decade the derivatives
business has grown to a staggering size, such that the outstanding
notional of all contracts is now many multiples of the underlying
world economy. No longer are derivatives for helping people control
and manage their financial risks from other business and
industries, no, it seems that the people are toiling away in the
fields to keep the derivatives market afloat (Apologies for the
mixed metaphor ) If you work in derivatives, risk, development,
trading, etc. you'd better know what you are doing, there's now a
big responsibility on your shoulders.
In this second edition of "Frequently Asked Questions in
Quantitative Finance" I continue in my mission to pull quant
finance up from the dumbed-down depths, and to drag it back down to
earth from the super-sophisticated stratosphere. Readers of my work
and blogs will know that I think both extremes are dangerous. Quant
finance should inhabit the middle ground, the mathematics sweet
spot, where the models are robust and understandable, and easy to
...And that's what this book is about.
This book contains important FAQs and answers that cover both
theory and practice. There are sections on how to derive
Black-Scholes (a dozen different ways ), the popular models,
equations, formulae and probability distributions, critical essays,
brainteasers, and the commonest quant mistakes. The quant mistakes
section alone is worth trillions of dollars
I hope you enjoy this book, and that it shows you how
interesting this important subject can be. And I hope you'll join
me and others in this industry on the discussion forum on
wilmott.com. See you there "
"FAQQF2."..including key models, important formulae, popular
contracts, essays and opinions, a history of quantitative finance,
sundry lists, the commonest mistakes in quant finance,
brainteasers, plenty of straight-talking, the Modellers' Manifesto
and lots more.
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