THE BEST OF WILMOTT 1 Wilmott论文精选 1：定量金融评论2003年研究 txt umd azw3 下载 fb2 pdf 在线 免费

November 11th 2003 saw a landmark event take place in London. As the first conference designed for quants by quants the Quantitative Finance Review 2003, moved away from the anonymous bazaars that have become the norm, and instead delivered valuable information to market practitioners with the greatest interest. The roster of speakers was phenomenal, ranging from founding fathers to bright young things, discussing the latest developments, with a specific emphasis on the burgeoning field of credit derivatives. You really had to be there. Until now, at least.

The Best of Wilmott 1: Including the latest research from Quantitative Finance Review 2003 contains these first-class articles, originally presented at the QFR 2003, along with a collection of selected technical papers from Wilmott magazine. In publishing this book we hope to share some of the great insights that, until now, only delegates at QFR 2003 were privy to, and give you some idea why Wilmott magazine is the most talked about periodical in the market.

Including articles from luminaries such as Ed Thorp, Jean-Philippe Bouchaud, Philipp Schoenbucher, Pat Hagan, Ephraim Clark, Marc Potters, Peter Jaeckel and Paul Wilmott, this collection is a must for anyone working in the field of quantitative finance. The articles cover a wide range of topics:

* Psychology in Financial Markets

* Measuring Country Risk as Implied Volatility

* The Equity-to-Credit Problem

* Introducing Variety in Risk Management

* The Art and Science of Curve Building

* Next Generation Models for Convertible Bonds with Credit Risk

* Stochastic Volatility and Mean-variance Analysis

* Cliquet Options and Volatility Models

作者简介：Dr Paul Wilmott has been described by the Financial Times as the cult derivatives lecturer.

He has for many years been a financial consultant specializing in derivatives, risk management and quantitative finance. He is the author of the best-selling Paul Wilmott Introduces Quantitative Finance (Wiley 2000) and Paul Wilmott on Quantitative Finance (Wiley 2001). He has written over 100 research articles on finance and mathematics.

Dr Wilmott runs www.wilmott.com, the popular quantitative finance community 　　

website, the quant magazine Wilmott, and is the Course Director for the Certificate in Quantitative Finance, www.7city.com/cqf.

Paul Wilmott is a partner in a statistical arbitrage hedge fund.

Introduction

Ⅰ. Education in Quantitative Finance

Ⅱ. FinancialCAD

Ⅲ. Quantitative Finance Review 2003

Chapter 1: Rewind

Chapter 2: In for the Count

Chapter 3: A Perspective on Quantitative Finance: Models for Beating the Market

Chapter 4: Psychology in Financial Markets

Chapter 5: Credit Risk Appraisal: From the Firm Structural Approach to Modern Probabilistic ethodologies

Chapter 6: Modelling and Measuring Sovereign Creit Risk

Chapter 7: The Equity-to-credit Problem

Chapter 8: Measuring Country Risk as Implied Volatility

Chapter 9: Next Generation Models for Convertible Bonds with Credit Risk

Chapter 10: First to Default Swaps

Chapter 11: Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions

Chapter 12: Sovereign Debt Default Risk: Quantifying the (Un)Willingness to Pay

Chapter 14: Introducing Variety in Risk Management

Chapter 15: Alternative Large Risks Hedging Strategies for Options

Chapter 16: On Exercising American Options: The Risk of Making More Money than You Expected

Chapter 17: Phi-alpha Optimal Portfolios and Extreme Risk Management

Chapter 18: Managing Smile Risk

Chapter 19: Adjusters: Turning Good Prices into Great Prices

Chapter 20: Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors

Chapter 21: Mind the Cap

Chapter 22: The Art and Science of Curve Building

Chapter 23: Stochastic Volatility Models: Past, Present and Future

Chapter 24: Cliquet Options and Volatility Models

Chapter 25: Long Memory and Regime Shifts in Asset Volatility

Chapter 26: Heston’s Stochastic Volatility Model: Implementation, Calibration and Some Extensions

Chapter 27: Forward-start Options in Stochastic Volatility Models

Chapter 28: Stochastic Volatility and Mean-variance Analysis

Index.

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November 11th 2003 saw a landmark event take place in London. As the first conference designed for quants by quants the Quantitative Finance Review 2003, moved away from the anonymous bazaars that have become the norm, and instead delivered valuable information to market practitioners with the greatest interest. The roster of speakers was phenomenal, ranging from founding fathers to bright young things, discussing the latest developments, with a specific emphasis on the burgeoning field of credit derivatives. You really had to be there. Until now, at least.

The Best of Wilmott 1: Including the latest research from Quantitative Finance Review 2003 contains these first–class articles, originally presented at the QFR 2003, along with a collection of selected technical papers from Wilmott magazine. In publishing this book we hope to share some of the great insights that, until now, only delegates at QFR 2003 were privy to, and give you some idea why Wilmott magazine is the most talked about periodical in the market.

Including articles from luminaries such as Ed Thorp, Jean–Philippe Bouchaud, Philipp Schoenbucher, Pat Hagan, Ephraim Clark, Marc Potters, Peter Jaeckel and Paul Wilmott, this collection is a must for anyone working in the field of quantitative finance. The articles cover a wide range of topics:

∗ Psychology in Financial Markets

∗ Measuring Country Risk as Implied Volatility

∗ The Equity–to–Credit Problem

∗ Introducing Variety in Risk Management

∗ The Art and Science of Curve Building

∗ Next Generation Models for Convertible Bonds with Credit Risk

∗ Stochastic Volatility and Mean–variance Analysis

∗ Cliquet Options and Volatility Models

And as they say at the end of (most) Bond movies The Best of Wilmott... will return on an annual basis.