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Frequently Asked Questions in Quantitative Finance Paperback – November 2, 2009

4.3 out of 5 stars 7 customer reviews

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Editorial Reviews

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).
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Product Details

  • Paperback: 624 pages
  • Publisher: Wiley; 2 edition (November 2, 2009)
  • Language: English
  • ISBN-10: 0470748753
  • ISBN-13: 978-0470748756
  • Product Dimensions: 5 x 1.4 x 6.9 inches
  • Shipping Weight: 1.7 pounds (View shipping rates and policies)
  • Average Customer Review: 4.3 out of 5 stars  See all reviews (7 customer reviews)
  • Amazon Best Sellers Rank: #139,499 in Books (See Top 100 in Books)

Customer Reviews

Top Customer Reviews

Format: Paperback
I am a math finance student who will soon start a summer internship on Wall Street. I want to leave feedback for the best and worst books that I used in my studies so far.

A great interviews book. The 60 FAQs that are the main part of the book are amazing! For each one of them, a short answer is given (the kind you would give on a phone interview), followed by a brief example (very useful in understanding both the question and the answer) and by a long detailed answer.

Reading the short answers and the example on topics that were never taught to me was very useful in getting out of questions which I did not know the topic but wanted to answer something correct without going in details.

The book also has great brainteasers (although a lot more difficult than what usually asked on interviews). I was told all PhDs looking for finance jobs must read this book and masters students can get ahead by reading it.
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I believe that this book accomplishes its intention: help students and users to get a quick entry into the subjects of use in finance.

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.
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Most fixed income and derivatives professionals should be able to get at least their money's worth out of this book. For most of us, it will be many multiples. Wilmott answers each question concisely, and with enough detail for the reader to pursue further. The book's format does not lend itself to an exhaustive response to every faq. These are q's and a's that every derivatives professional should know.
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I've been very pleased with this book. As someone starting out in the field, I'd been very curious about where the rubber meets the road in terms of application of all the fancy theory one learns in school. Wilmott covers that in detail, including mistakes that people seem to consistently repeat.
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