{"product_id":"the-best-of-wilmott-1-isbn-9780470023518","title":"The Best of Wilmott 1","description":"\u003cp\u003eNOVEMBER 11\u003csup\u003eTH\u003c\/sup\u003e 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. \u003c\/p\u003e\u003cp\u003e\u003ci\u003eThe Best of Wilmott 1: Incorporating the Quantitative Finance Review 2003\u003c\/i\u003e contains these first-class articles, originally presented at the QFR 2003, along with a collection of selected technical papers from \u003ci\u003eWilmott \u003c\/i\u003e 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 \u003ci\u003eWilmott\u003c\/i\u003e magazine is the most talked about periodical in the market. \u003c\/p\u003e\u003cp\u003eIncluding 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: \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003ePsychology in Financial Markets\u003c\/li\u003e \u003cli\u003eMeasuring Country Risk as Implied Volatility\u003c\/li\u003e \u003cli\u003eThe Equity-to-Credit Problem\u003c\/li\u003e \u003cli\u003eIntroducing Variety in Risk Management\u003c\/li\u003e \u003cli\u003eThe Art and Science of Curve Building\u003c\/li\u003e \u003cli\u003eNext Generation Models for Convertible Bonds with Credit Risk\u003c\/li\u003e \u003cli\u003eStochastic Volatility and Mean-variance Analysis\u003c\/li\u003e \u003cli\u003eCliquet Options and Volatility Models\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003e\u003ci\u003eAnd as they say at the end of (most) Bond movies\u003c\/i\u003e \u003cb\u003eThe Best of Wilmott\u003c\/b\u003e. . . \u003ci\u003ewill return on an annual basis.\u003c\/i\u003e \u003c\/p\u003e\u003cp\u003eIntroduction ix\u003cbr\u003e \u003ci\u003ePaul Wilmott \u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eI Education in Quantitative Finance 1\u003cbr\u003e \u003ci\u003eRiaz Ahmad \u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eII Financialcad® 5\u003cbr\u003e \u003ci\u003eOwen Walsh \u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eIII Quantitative Finance Review 2003 7\u003ci\u003e\u003cbr\u003e Dan Tudball\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 1 Rewind 11\u003cbr\u003e \u003ci\u003eDan Tudball\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 2 In for the Count 19\u003cbr\u003e \u003ci\u003eDan Tudball\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 3 A Perspective on Quantitative Finance: Models for Beating the Market 33\u003cbr\u003e \u003ci\u003eEd Thorp\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 4 Psychology in Financial Markets 39\u003cbr\u003e \u003ci\u003eHenriëtte Prast\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 5 Credit Risk Appraisal: From the Firm Structural Approach to Modern Probabilistic Methodologies 59\u003cbr\u003e \u003ci\u003eHugues E. Pirotte Spéder\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 6 Modelling and Measuring Sovereign Credit Risk 69\u003cbr\u003e \u003ci\u003eEphraim Clark\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 7 The Equity-to-credit Problem (or the Story of Calibration, Co-calibration and Re-calibration) 79\u003cbr\u003e \u003ci\u003eElie Ayache\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 8 Measuring Country Risk as Implied Volatility 109\u003cbr\u003e \u003ci\u003eEphraim Clark\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 9 Next Generation Models for Convertible Bonds with Credit Risk 117\u003cbr\u003e \u003ci\u003eE.Ayache,P.A.ForsythandK.R.Vetzal\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 10 First to Default Swaps 135\u003cbr\u003e \u003ci\u003eAntony Penaud and James Selfe\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 11 Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions 143\u003cbr\u003e \u003ci\u003ePhilipp J. Schönbucher\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 12 Sovereign Debt Default Risk: Quantifying the (Un)Willingness to Pay 161\u003cbr\u003e \u003ci\u003eEphraim Clark\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 13 Chord of Association 167\u003cbr\u003e \u003ci\u003eAaron Brown\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 14 Introducing Variety in Risk Management 181\u003cbr\u003e \u003ci\u003eFabrizio Lillo, Rosario N. Mantegna, Jean-Philippe Bouchaud and Marc Potters\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 15 Alternative Large Risks Hedging Strategies for Options 191\u003cbr\u003e \u003ci\u003eF. Selmi and Jean-Philippe Bouchaud\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 16 On Exercising American Options: The Risk of Making More Money than You Expected 199\u003cbr\u003e \u003ci\u003eHyungsok Ahn and Paul Wilmott\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 17 Phi-alpha Optimal Portfolios and Extreme Risk Management 223\u003cbr\u003e \u003ci\u003eR. Douglas Martin, Svetlozar (Zari) Rachev, and Frederic Siboulet\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 18 Managing Smile Risk 249\u003cbr\u003e \u003ci\u003ePatrick S. Hagan, Deep Kumar, Andrew S. Lesniewski and Diana E. Woodward\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 19 Adjusters: Turning Good Prices into Great Prices 297\u003cbr\u003e \u003ci\u003ePatrick S. Hagan\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 20 Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors 305\u003cbr\u003e \u003ci\u003ePatrick S. Hagan\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 21 Mind the Cap 319\u003cbr\u003e \u003ci\u003ePeter Jäckel\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 22 The Art and Science of Curve Building 349\u003cbr\u003e \u003ci\u003eOwen Walsh\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 23 Stochastic Volatility Models: Past, Present and Future 355\u003cbr\u003e \u003ci\u003ePeter Jäckel\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 24 Cliquet Options and Volatility Models 379\u003cbr\u003e \u003ci\u003ePaul Wilmott\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 25 Long Memory and Regime Shifts in Asset Volatility 391\u003cbr\u003e \u003ci\u003eJonathan Kinlay\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 26 Heston’s Stochastic Volatility Model: Implementation, Calibration and Some Extensions 401\u003cbr\u003e \u003ci\u003eSergei Mikhailov and Ulrich Nögel\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 27 Forward-start Options in Stochastic Volatility Models 413\u003cbr\u003e \u003ci\u003eVladimir Lucic\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 28 Stochastic Volatility and Mean-variance Analysis 421\u003cbr\u003e \u003ci\u003eHyungsok Ahn and Paul Wilmott\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eIndex 435\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eDr Paul Wilmott\u003c\/b\u003e has been described by the Financial Times as ‘the cult derivatives lecturer’. \u003c\/p\u003e\u003cp\u003eHe has for many years been a financial consultant specializing in derivatives, risk management and quantitative finance. He is the author of the best-selling \u003ci\u003ePaul Wilmott Introduces Quantitative Finance\u003c\/i\u003e (Wiley 2000) and \u003ci\u003ePaul Wilmott on Quantitative Finance\u003c\/i\u003e (Wiley 2001). He has written over 100 research articles on finance and mathematics. \u003c\/p\u003e\u003cp\u003eDr Wilmott runs \u003cb\u003ewww.wilmott.com\u003c\/b\u003e, the popular quantitative finance community website, the quant magazine \u003ci\u003eWilmott,\u003c\/i\u003e and is the Course Director for the Certificate in Quantitative Finance, www.7city.com\/cqf. \u003c\/p\u003e\u003cp\u003ePaul Wilmott is a partner in a statistical arbitrage hedge fund.   \u003c\/p\u003e\u003cp\u003eNOVEMBER 11\u003csup\u003eTH\u003c\/sup\u003e 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. \u003c\/p\u003e\u003cp\u003e\u003ci\u003eThe Best of Wilmott 1: Incorporating the Quantitative Finance Review 2003\u003c\/i\u003e contains these first-class articles, originally presented at the QFR 2003, along with a collection of selected technical papers from \u003ci\u003eWilmott \u003c\/i\u003e 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 \u003ci\u003eWilmott\u003c\/i\u003e magazine is the most talked about periodical in the market. \u003c\/p\u003e\u003cp\u003eIncluding 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: \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003ePsychology in Financial Markets\u003c\/li\u003e \u003cli\u003eMeasuring Country Risk as Implied Volatility\u003c\/li\u003e \u003cli\u003eThe Equity-to-Credit Problem\u003c\/li\u003e \u003cli\u003eIntroducing Variety in Risk Management\u003c\/li\u003e \u003cli\u003eThe Art and Science of Curve Building\u003c\/li\u003e \u003cli\u003eNext Generation Models for Convertible Bonds with Credit Risk\u003c\/li\u003e \u003cli\u003eStochastic Volatility and Mean-variance Analysis\u003c\/li\u003e \u003cli\u003eCliquet Options and Volatility Models\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003e\u003ci\u003eAnd as they say at the end of (most) Bond movies\u003c\/i\u003e \u003cb\u003eThe Best of Wilmott\u003c\/b\u003e. . . \u003ci\u003ewill return on an annual basis.\u003c\/i\u003e\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990166651109,"sku":"NP9780470023518","price":157.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470023518.jpg?v=1761786757","url":"https:\/\/k12savings.com\/products\/the-best-of-wilmott-1-isbn-9780470023518","provider":"K12savings","version":"1.0","type":"link"}