Frequently Asked Questions in Quantitative Finance (Wiley Series in Financial Engineering)
by Paul Wilmott
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Book Summary Information
Author: Paul WilmottEdition: Paperback
Audio: English (Unknown); English (Original Language); English (Published)
Published: 2007-01-03
ISBN: 0470058269
Number of pages: 428
Publisher: Wiley
Book Reviews of Frequently Asked Questions in Quantitative Finance (Wiley Series in Financial Engineering)
Book Review: Excellent Review of Quantitative Finance Topics
Summary: 5 Stars
I am working through my master's degree in Financial Engineering (quantitative track) and this book is almost bar-none one of the best references I have found. It starts out with a FAQ that covers almost all of the important questions such as:
-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
-Common Contracts
-Popular Quant Books
-The Most Popular Search Words and Phrases on [...]
-Brainteasers
-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.
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