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Frequently Asked Questions in Quantitative Finance 2nd Edition

by Paul Wilmott (Author)
4.4 4.4 out of 5 stars 74 ratings
See all formats and editions
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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.

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  1. ISBN-10
    0470748753
  2. ISBN-13
    978-0470748756
  3. Edition
    2nd
  4. Publisher
    John Wiley & Sons
  5. Publication date
    November 2, 2009
  6. Language
    English
  7. Dimensions
    5 x 1.2 x 6.9 inches
  8. Print length
    624 pages
  9. See all details
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Editorial Reviews

From the Inside Flap

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.

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.

Product details

  • Publisher ‏ : ‎ John Wiley & Sons; 2nd edition (November 2, 2009)
  • Language ‏ : ‎ English
  • Paperback ‏ : ‎ 624 pages
  • ISBN-10 ‏ : ‎ 0470748753
  • ISBN-13 ‏ : ‎ 978-0470748756
  • Item Weight ‏ : ‎ 2.31 pounds
  • Dimensions ‏ : ‎ 5 x 1.2 x 6.9 inches
  • Customer Reviews:
    4.4 4.4 out of 5 stars 74 ratings

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Paul Wilmott

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Customer reviews

4.4 out of 5 stars
74 global ratings

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Top reviews from the United States

  • Amazon Customer
    5.0 out of 5 stars Great quant book
    Reviewed in the United States on March 2, 2025
    Verified Purchase
    This is a great book! It has wide collection of FAQ and much more other materials. I also like author's writing style.
    Helpful
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  • Palle E T Jorgensen
    5.0 out of 5 stars FAQ
    Reviewed in the United States on July 23, 2011
    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.
    10 people found this helpful
    Helpful
     Report
  • Neal G.
    5.0 out of 5 stars Ties Theory and Practice Together With A Bit Of Wit
    Reviewed in the United States on May 9, 2010
    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.
    4 people found this helpful
    Helpful
     Report
  • Minh
    5.0 out of 5 stars funny and straight to the point book
    Reviewed in the United States on November 7, 2017
    Verified Purchase
    Very simple, funny and straight to the point book.
    Helpful
     Report
  • Pilotwave
    3.0 out of 5 stars Problems with Equations & Formulas
    Reviewed in the United States on October 22, 2011
    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.
    16 people found this helpful
    Helpful
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  • Erin C
    4.0 out of 5 stars Four Stars
    Reviewed in the United States on November 10, 2015
    Verified Purchase
    It's a tiny but thick book. Hope its printed on bigger size paper
    Helpful
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  • Amazon Customer
    5.0 out of 5 stars New and good paper quality
    Reviewed in the United States on November 20, 2017
    Verified Purchase
    New and quality
    Helpful
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  • Joshua R Edge
    5.0 out of 5 stars Five Stars
    Reviewed in the United States on November 28, 2016
    Verified Purchase
    Good book. Exactly what I needed.
    Helpful
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Top reviews from other countries

  • Value Investor
    5.0 out of 5 stars Amazing but also the most difficult book I've ever read
    Reviewed in Germany on June 4, 2022
    Verified Purchase
    If you are not very talented in maths & statistics and very (very) expert in options just stay clear of this book. The formulas are simply overwhelming. But the fact that I could grasp only a part of it it's my fault and not the author's. To be fair I believe this is an amazing work and the author is a genius.
    Report
  • TheGongue
    5.0 out of 5 stars Good book
    Reviewed in Spain on January 24, 2022
    Verified Purchase
    Good book
    Report
  • Evelina
    5.0 out of 5 stars I like it
    Reviewed in the United Kingdom on November 26, 2018
    Verified Purchase
    Nice and compact book covering financial/trading concepts
    Report
  • finmath
    5.0 out of 5 stars Excellent book and fun to read
    Reviewed in Italy on January 7, 2017
    Verified Purchase
    This books has vastly deepened my understanding of quantitative finance and derivatives pricing. It's a great complementary reading to courses and books in quantitative finance. I do not see too much as a source for those who have little time to prepare a quant interview, but rather a pretty general reading on the topic. You will get many new inputs on practical issues.
    Report
  • Amazon Customer
    4.0 out of 5 stars Four Stars
    Reviewed in Canada on July 24, 2016
    Verified Purchase
    Useful primer
    Report