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Frequently Asked Questions in Quantitative Finance Paperback – November 2, 2009
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About the Author
Paul Wilmott has been called "the smartest of the quants, he may be the only smart quant" (Portfolio magazine/Nassim Nicholas Taleb), "cult derivatives lecturer" (Financial Times), "the finance industry's Mozart" (Sunday Business), and "financial mathematics guru" (BBC).
Top customer reviews
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One first impression that jumped out was the author's (PW) delightful sense of humor. ("Magicians and mathematicians!")
PW has taught and practiced this stuff, and it shows.
A big part is mathematical finance, and a big part of this is based on certain stochastic differential equations, the Black-Scholes equation for the computation of the value of options.
It uses the geometric Brownian motion which is also explained from a practical viewpoint.
The book takes both a narrow and a wide view.
Illustration: (i) It offers both short answers and long ones; the latter include mathematical formulae.
(ii) For the particular tasks at hand, the author offers an overview of the tools needed, mathematical tools figuring prominently.
(iii) List of keywords, with enlightening discussion and answers. Guides to the literature, etc.
(vi) There is a list of options and derivatives that are used: Accrual, American, European, Asian, Asset swap, Balloon option, Barrier option, Basket option, Bermuda option, Call and put options, Cap, Cliquet option, and more.
The book concludes with a list of tips for folks interviewing in banks and in the financial industry: typical questions! What to say, and what not! Review by Palle Jorgensen, July 2011.
quant interview book out there. In addition to a FAQ, it has book recommendations, a list of important
models, and brain teasers.
-What are the different types of Mathematics found in Quantitative Finance?
-What is CAPM?
-What is Maximum Likelihood Estimation?
-What is Ito's lemma?
-What are the 'greeks'?
-How robust is the Black-Scholes model?
The answers are short yet at the same time very useful. Each answer has well thought out examples that allow you to get to the core of the topic. At the end of each answer there are references if you want to explore the topic in more detail.
The book then has sections on:
-Most Popular Probability Distributions and Their Uses in Finance
-Ten Different Ways to Derive Black-Scholes
-Models and Equations
-The Black-Scholes formula and the Greeks
-Popular Quant Books
-The Most Popular Search Words and Phrases on [...]
-Paul & Dominic's Guide to Getting a Quant Job
It is clearly not a text-book, it covers a lot of ground in a little more than 400 pages but it is a useful reference and if you need a review this will fill the purpose. It is definitely not the place to start your learning for that you will need to check out books such as: Neftci's "Principles of Financial Engineering", Hull's "Options, Futures and Other Derivatives" and Shreve's "Stochastic Calculus for Finance" I and II. Once you have started out this can help you fill in holes and figure out where you need to focus on.
However, some sections, for example the quant finance time line, brainteasers, frequent Wilmott search phrases and how to write a CV and prepare for a job interview seemed a bit out of place given the title of the book. Although these added nice-to-know sections may be useful to some, like those looking for a quant job, it dilutes the focus of the book somewhat. At the time of writing this it is also nearly twice as expensive as competing books e.g. Heard on the Street: Quantitative Questions from Wall Street Job Interviews and Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance and Launching a Lucrative Career putting a question mark on the value for money. Still, overall I think it is a very useful book for quant students and practitioners.