Frequently Asked Questions in Quantitative Finance
Paul Wilmott, London UK is a researcher, consultant and lecturer in quantitative finance.
He is founder of Wilmott Associates, a financial consultancy and training firm, from
which he publishes Wilmott magazine. He is one of the world s leading experts on quantitative finance and derivatives and is renowned for his criticism of popular models and concepts and for his unique, informal writing style.
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.
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, formulas and probability distributions, critical essays, brainteasers, and the commonest quant mistakes. The quant mistakes section alone is worth trillions of dollars!
Paul Wilmott has been called the smartest of the quants, he may be the only smart quant - Portfolio magazine/Nassim Nicholas Taleb