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.
Preface to the First Edition.
1 The Quantitative Finance Timeline.
3 The Financial Modellers' Manifesto.
5 The Commonest Mistakes in Quantitative Finance: A Dozen Basic Lessons in Commonsense for Quants and Risk Managers and the Traders Who Rely on Them.
6 The Most Popular Probability Distributions and Their Uses in Finance.
7 Twelve Different Ways to Derive Black Scholes.
8 Models and Equations.
9 The Black Scholes Formulæ and the Greeks.
10 Common Contracts.
11 Popular Quant Books.
12 The Most Popular Search Words and Phrases on Wilmott.com.
14 Paul & Dominic's Guide to Getting a Quant Job.
Portfolio magazine/Nassim Nicholas Taleb), "cult derivatives lecturer" (
Financial Times), "the finance industry's Mozart" (
Sunday Business), and "financial mathematics guru" (BBC).