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Frequently Asked Questions in Quantitative Finance [Paperback]

Paul Wilmott
5.0 out of 5 stars  See all reviews (3 customer reviews)
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Book Description

25 Sep 2009 0470748753 978-0470748756 2nd Edition
Paul Wilmott , London UK is a researcher, consultant and lecturer in quantitative finance. He is founder of Wilmott Associates, a financial consultancy and training firm, from which he publishes Wilmott magazine. He is one of the world’s leading experts on quantitative finance and derivatives and is renowned for his criticism of popular models and concepts and for his unique, informal writing style. 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 mend. 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, formulas and probability distributions, critical essays, brainteasers, and the commonest quant mistakes. The quant mistakes section alone is worth trillions of dollars! Paul Wilmott has been called “the smartest of the quants, he may be the only smart quant”  – Portfolio magazine/Nassim Nicholas Taleb   “cult derivatives lecturer” – Financial Times   “the finance industry′s Mozart” – Sunday  

Frequently Bought Together

Frequently Asked Questions in Quantitative Finance + Quant Job Interview Questions and Answers (Second Edition) + Heard on the Street: Quantitative Questions from Wall Street Job Interviews
Price For All Three: 75.38

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Product details

  • Paperback: 624 pages
  • Publisher: John Wiley & Sons; 2nd Edition edition (25 Sep 2009)
  • Language: English
  • ISBN-10: 0470748753
  • ISBN-13: 978-0470748756
  • Product Dimensions: 17.6 x 14 x 3.2 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (3 customer reviews)
  • Amazon Bestsellers Rank: 139,484 in Books (See Top 100 in Books)
  • See Complete Table of Contents

Product Description

From the Back Cover

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 mend. …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.

About the Author

Paul Wilmott has been called "the smartest of the quants, he may be the only smart quant" ( Portfolio magazine/Nassim Nicholas Taleb), "cult derivatives lecturer" ( Financial Times ), "the finance industry′s Mozart" ( Sunday Business ), and "financial mathematics guru" (BBC).

Inside This Book (Learn More)
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Front Cover | Copyright | Table of Contents | Excerpt | Index
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Customer Reviews

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Most Helpful Customer Reviews
2 of 2 people found the following review helpful
5.0 out of 5 stars FAQ 23 July 2011
Format:Paperback
I believe that this book accomplishes its intention: help students and users to get a quick entry into the subjects of use in finance.
One first impression that jumped out was the author's (PW) delightful sense of humor. ("Magicians and mathematicians!")
PW has taught and practiced this stuff, and it shows.

A big part is mathematical finance, and a big part of this is based on certain stochastic differential equations, the Black-Scholes equation for the computation of the value of options.
It uses the geometric Brownian motion which is also explained from a practical viewpoint.
The book takes both a narrow and a wide view.

Illustration: (i) It offers both short answers and long ones; the latter include mathematical formulae.

(ii) For the particular tasks at hand, the author offers an overview of the tools needed, mathematical tools figuring prominently.
(iii) List of keywords, with enlightening discussion and answers. Guides to the literature, etc.

(vi) There is a list of options and derivatives that are used: Accrual, American, European, Asian, Asset swap, Balloon option, Barrier option, Basket option, Bermuda option, Call and put options, Cap, Cliquet option, and more.

The book concludes with a list of tips for folks interviewing in banks and in the financial industry: typical questions! What to say, and what not! Review by Palle Jorgensen, July 2011.
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1 of 1 people found the following review helpful
5.0 out of 5 stars Great Quick Reference! 13 Mar 2010
Format:Paperback
This book saves me from scanning through the whole chapter like in other books just to understand one concept.

I really love to use it as a quick reference, it's short and comprehensive enough.
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5.0 out of 5 stars good book 31 Oct 2013
By Robert
Format:Paperback|Verified Purchase
Well written and fun. I recommend. Paper is of good quality as well. A bit thick and heavy for the size though.
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Was this review helpful to you?
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 4.3 out of 5 stars  6 reviews
5 of 5 people found the following review helpful
5.0 out of 5 stars Cheat sheet for quant interviews 23 May 2011
By jchen - Published on Amazon.com
Format:Paperback
I am a math finance student who will soon start a summer internship on Wall Street. I want to leave feedback for the best and worst books that I used in my studies so far.

A great interviews book. The 60 FAQs that are the main part of the book are amazing! For each one of them, a short answer is given (the kind you would give on a phone interview), followed by a brief example (very useful in understanding both the question and the answer) and by a long detailed answer.

Reading the short answers and the example on topics that were never taught to me was very useful in getting out of questions which I did not know the topic but wanted to answer something correct without going in details.

The book also has great brainteasers (although a lot more difficult than what usually asked on interviews). I was told all PhDs looking for finance jobs must read this book and masters students can get ahead by reading it.
10 of 12 people found the following review helpful
3.0 out of 5 stars Problems with Equations & Formulas 22 Oct 2011
By JL - Published on Amazon.com
Format:Paperback|Verified Purchase
This review is for the Kindle version I have on my iPad. I really hope Amazon rework on the equations and formulas in the book. The scanned images are too small and blur to read. For example, go to page 458 showing a poor image quality of equation table. I would rather like to see that equations are actually typed into the text-fields so that they look clear, big and natural in pages.
3 of 3 people found the following review helpful
5.0 out of 5 stars FAQ 23 July 2011
By Palle E T Jorgensen - Published on Amazon.com
Format:Paperback|Verified Purchase
I believe that this book accomplishes its intention: help students and users to get a quick entry into the subjects of use in finance.

One first impression that jumped out was the author's (PW) delightful sense of humor. ("Magicians and mathematicians!")
PW has taught and practiced this stuff, and it shows.

A big part is mathematical finance, and a big part of this is based on certain stochastic differential equations, the Black-Scholes equation for the computation of the value of options.

It uses the geometric Brownian motion which is also explained from a practical viewpoint.
The book takes both a narrow and a wide view.
Illustration: (i) It offers both short answers and long ones; the latter include mathematical formulae.

(ii) For the particular tasks at hand, the author offers an overview of the tools needed, mathematical tools figuring prominently.
(iii) List of keywords, with enlightening discussion and answers. Guides to the literature, etc.

(vi) There is a list of options and derivatives that are used: Accrual, American, European, Asian, Asset swap, Balloon option, Barrier option, Basket option, Bermuda option, Call and put options, Cap, Cliquet option, and more.

The book concludes with a list of tips for folks interviewing in banks and in the financial industry: typical questions! What to say, and what not! Review by Palle Jorgensen, July 2011.
3 of 4 people found the following review helpful
5.0 out of 5 stars Ties Theory and Practice Together With A Bit Of Wit 9 May 2010
By Amazon Customer - Published on Amazon.com
Format:Paperback|Verified Purchase
I've been very pleased with this book. As someone starting out in the field, I'd been very curious about where the rubber meets the road in terms of application of all the fancy theory one learns in school. Wilmott covers that in detail, including mistakes that people seem to consistently repeat.
3.0 out of 5 stars It's Alright 10 May 2014
By College Student - Published on Amazon.com
Format:Paperback|Verified Purchase
Ironically, compared to Wilmott's other offerings (such as the 3 volume set and his introduction to quant. finance), this FAQ is actually a neat little book that helps the reader understand the broad topics in quant finance.
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