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Frequently Asked Questions in Quantitative Finance
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.
...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.
624 pages, Paperback
First published January 1, 2007
52 people are currently reading
513 people want to read
About the author
Paul Wilmott
36 books83 followersPaul Wilmott is a researcher, consultant and lecturer in quantitative finance. He is best known as the author of various academic and practitioner texts on risk and derivatives, and for Wilmott magazine and Wilmott.com , a quantitative finance portal.
He is the co-owner and Course Director for the Certificate in Quantitative Finance (CQF), a half year distance learning course on mathematical finance at 7City Learning, a London-based company providing training for the financial services industry. He is a founding partner of Caissa Capital, a volatility arbitrage hedge fund. He is on the editorial board of the academic journal International Journal of Theoretical and Applied Finance. He founded the Diploma in Mathematical Finance at Oxford University and the journal Applied Mathematical Finance. He is a director of Wilmott Electronic Media, which manages Wilmott.com, a website for the quantitative analyst community, and is a director of Paul & Dominic Quant Recruitment.
He studied mathematics at St Catherine’s College, Oxford University, where he received his D.Phil in Applied mathematics in 1985.
He is the co-owner and Course Director for the Certificate in Quantitative Finance (CQF), a half year distance learning course on mathematical finance at 7City Learning, a London-based company providing training for the financial services industry. He is a founding partner of Caissa Capital, a volatility arbitrage hedge fund. He is on the editorial board of the academic journal International Journal of Theoretical and Applied Finance. He founded the Diploma in Mathematical Finance at Oxford University and the journal Applied Mathematical Finance. He is a director of Wilmott Electronic Media, which manages Wilmott.com, a website for the quantitative analyst community, and is a director of Paul & Dominic Quant Recruitment.
He studied mathematics at St Catherine’s College, Oxford University, where he received his D.Phil in Applied mathematics in 1985.
Ratings & Reviews
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Displaying 1 - 7 of 7 reviews
August 2, 2018
Must read by every wanna be quant or those who are interested in QF.
April 30, 2015
A surprisingly useful reference to quickly review the main concepts underlying quantitative finance. But it wouldn't be a good introduction for someone just starting the subject. I actually read a more recent edition of this, but I don't see it on this site.
February 18, 2024
Oh boy! This one took a while to ‘read’ (for want of a better word). I think the word is ‘studied’ - as the book itself is exploding with information.
FAQ’s in Quant Finance is a common sense guide to quant finance. If the title reflected the content, it would read ‘frequently asked questions, frequent mistakes, most common distributions, models & equations, common quant brain teasers, interview guidance.’
The tone of the content is sometimes humorous, but only to highlight the often absurd nature of the industry.
From a mathematical standpoint, there’s more than enough material for any beginner to wrap their head around, and then some. It’s worth mentioning that the drawbacks and limitations of certain approaches are highlighted, which is a key takeaway for anyone embarking on a quant finance journey so as to avoid costly errors and avoid the hammer and nail mentality.
This book can be read cover to cover, and that’s what I did. I also intend to use it as a reference, and possibly re-read it when my own understanding of quant finance matures over time.
Highly recommended!
FAQ’s in Quant Finance is a common sense guide to quant finance. If the title reflected the content, it would read ‘frequently asked questions, frequent mistakes, most common distributions, models & equations, common quant brain teasers, interview guidance.’
The tone of the content is sometimes humorous, but only to highlight the often absurd nature of the industry.
From a mathematical standpoint, there’s more than enough material for any beginner to wrap their head around, and then some. It’s worth mentioning that the drawbacks and limitations of certain approaches are highlighted, which is a key takeaway for anyone embarking on a quant finance journey so as to avoid costly errors and avoid the hammer and nail mentality.
This book can be read cover to cover, and that’s what I did. I also intend to use it as a reference, and possibly re-read it when my own understanding of quant finance matures over time.
Highly recommended!
May 9, 2022
Jest to książka dla osób, które mają pojęcie o finansach ilościowych i chciałby poszerzyć swoją wiedzę.
Książka podzielona jest na rozdziały, które zostały napisane z różną dokładnością. Czasami autor skupia się na tym, by wyjaśnić coś bardzo dokładnie, a czasami zakłada, że wszystko jest dla czytelnika oczywiste, a sam rozpoczyna swoje dywagacje na temat natury finansów i świata.
Szczególnie podobały mi się rozdziały końcowe, związane z pytaniami rekrutacyjnymi. Niestety, zagadki matematyczne były dość skomplikowane. Czas, by sięgnąć po jakąś książkę dedykowaną tylko zagadkom matematycznym.
Książka podzielona jest na rozdziały, które zostały napisane z różną dokładnością. Czasami autor skupia się na tym, by wyjaśnić coś bardzo dokładnie, a czasami zakłada, że wszystko jest dla czytelnika oczywiste, a sam rozpoczyna swoje dywagacje na temat natury finansów i świata.
Szczególnie podobały mi się rozdziały końcowe, związane z pytaniami rekrutacyjnymi. Niestety, zagadki matematyczne były dość skomplikowane. Czas, by sięgnąć po jakąś książkę dedykowaną tylko zagadkom matematycznym.
December 22, 2018
A lot of great insights
This entire review has been hidden because of spoilers.
December 30, 2019
Read this to help dive into the subject matter from Willmott's Money Formula book. Great examples.
December 29, 2024
An indispensable reference for quants—especially if you're starting out.
Displaying 1 - 7 of 7 reviews