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Informationen zum Autor 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. Klappentext 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: Incorporating the 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. Zusammenfassung A compilation of technical papers from the first year of "Wilmott" magazine, complementing the lectures presented at the Quantitative Finance Review in November 2003. This work includes articles from such researchers as Hyungsok Ahn and Jean Philippe Bouchaud. Inhaltsverzeichnis Introduction ix Paul Wilmott I Education in Quantitative Finance 1 Riaz Ahmad II Financialcad® 5 Owen Walsh III Quantitative Finance Review 2003 7 Dan Tudball Chapter 1 Rewind 11 Dan Tudball Chapter 2 In for the Count 19 Dan Tudball Chapter 3 A Perspective on Quantitative Finance: Models for Beating the Market 33 Ed Thorp Chapter 4 Psychology in Financial Markets 39 Henriëtte Prast Chapter 5 Credit Risk Appraisal: From the Firm Structural Approach to Modern Probabilistic Methodologies 59 Hugues E. Pirotte Spéder Chapter 6 Modelling and Measuring Sovereign Credit Risk 69 Ephraim Clark Chapter 7 The Equity-to-credit Problem (or the Story of Calibration, Co-calibration and Re-calibration) 79 Elie Ayache Chapter 8 Measuring Country Risk as Implied Volatility 109 Ephraim Clark Chapter 9 Next Generation Models for Convertible Bonds with...
