Paul Wilmott 
The Best of Wilmott 2 [PDF ebook] 

The Team at Wilmott is very proud to present this compilation of
Wilmott magazine articles and presentations from our second
year. We have selected some of the very best in cutting-edge
research, and the most illuminating of our regular columns.

The technical papers include state-of-the-art pricing tools and
models. You’ll notice there’s a bias towards volatility modelling
in the book. Of course, it’s one of my favourite topics, but
volatility is also the big unknown as far as pricing and hedging is
concerned. We present research in this area from some of the best
newcomers in this field. You’ll see ideas that make a mockery of
'received wisdom, ’ ideas that are truly paradigm shattering – for
we aren’t content with a mere 'shift.’

We know you’ll enjoy it!

The Best of Wilmott will return again next year…

Spis treści

Preface.

Foreword (Elie Ayache).

Chapter 1. Time’s Up (Dan Tudball).

Chapter 2. First Cause (Dan Tudball).

Chapter 3. Know Your Weapon I (Espen Gaarder Haug).

Chapter 4. Know Your Weapon II (Espen Gaarder Haug).

Chapter 5. Take a Chance (Bill Ziemba).

Chapter 6. Good and Bad Properties of the Kelly Criterion
(Bill Ziemba).

Chapter 7. Mathematics of Gambling and Investment (Bill
Ziemba).

Chapter 8. Efficient estimates for valuing American options
(Mike Staunton).

Chapter 9. The Relative Valuation of an Equity Price Index
(Ruben D. Cohen).

Chapter 10. What the spreadsheet said to the database, just
before the regulator shut down the trading floor (Brian
Sentance).

Chapter 11. Ask Marilyn and Win a Car (Henriette
Prast).

Chapter 12. Risk: The Ugly History (Aaron Brown).

Chapter 13. Thirst for Hurst (Kent Osband).

Chapter 14. TARNs: Models, Valuation, Risk Sensitivities
(Vladimir V. Piterbarg).

Chapter 15. Fast Valuation of a Portfolio of Barrier
Options under the Merton’s Jump Diffusion Hypothesis (Antony
Penaud).

Chapter 16. An Analysis of Pricing Methods for Baskets
Options. (Martin Krekel, Johan de Kock, Ralf Korn and Tin-Kwai
Man).

Chapter 17. Pricing CMS Spread Options and Digital CMS
Spread Options with Smile (Mourad Berrahoui).

Chapter 18. The Case for Time Homogeneity (Philippe
Henrotte).

Chapter 19. Hybrid Stochastic Volatility Calibration
(Domingo Tavella, Alexander Giese and Didier Vermeiren).

Chapter 20. Can Anyone Solve the Smile Problem? (Elie
Ayache, Philippe Henrotte, Sonia Nassar and Xuewen
Wang).

Chapter 21. Definitive Smile Model: Part I. (Elie Ayache).

Chapter 22. Definitive Smile Model: Part II. (Elie Ayache).

Chapter 23. A Perfect Calibration! Now What? (Wim
Schoutens, Erwin Simons and Jurgen Tistaert).

Chapter 24. Timing the Smile (Jean-Pierre Fouque,
George Papanicolaou, Ronnie Sircar and Knut Sølna).

Chapter 25. Inference and Stochastic
Volatility (Alireza Javaheri).

Chapter 26. A Critique of the Crank Nicolson Scheme
Strengths and Weaknesses for Financial Instrument
Pricing (Daniel J. Duffy).

Chapter 27. Finite Elements and Streamline Diffusion for
the Pricing of Structured Financial Instruments (Andreas Binder and
Andrea Schatz).

Chapter 28. No Fear of Jumps (Y. d’Halluin, D.M.
Pooley and P.A. Forsyth).

Index.

O autorze

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.