Frequently Asked Questions in Quantitative Finance
October 22, 2010 by admin
Frequently Asked Questions in Quantitative Finance
- ISBN13: 9780470748756
- Condition: New
- Notes: BRAND NEW FROM PUBLISHER! BUY WITH CONFIDENCE, Over one million books sold! 98% Positive feedback. Compare our books, prices and service to the competition. 100% Satisfaction Guaranteed
Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such that the outstanding notional of all contracts is now many multiples of the underlying world economy. No longer are derivatives for helping people control and manage their financial risks from other business and industries, no, it seems that the people are toiling away in the fields to keep the derivatives market afloat! (Apologies for the mixed metaphor!) If you work in derivatives, risk, development, trading, etc. you’d better know what you are doing, there’s now a big responsibility on your shoulders.
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.
Rating: 
(out of 4 reviews)
List Price: $ 49.95
Price: $ 28.84
Review by Shafik Yaghmour for Frequently Asked Questions in Quantitative Finance
Rating:
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.
Review by LJ Haasbroek for Frequently Asked Questions in Quantitative Finance
Rating:
If you have been away from the office for long or have been busy on a long boring project for months, this is the book to refresh your memory before you get back to quant world. It contains lots of quantitative finance-related need-to-know and a bit of nice-to-know information. It is written in a question-followed-by-answer format in witty English. Mostly prominent quanty questions collected from the online Wilmott FAQ project are featured. For those in a hurry short answers are provided first. For more detail a long answer including some math is also shown. When you start reading the FAQ section you do not want to stop which is a good thing. In a way the ease with which so much need-to-know information is made available makes you feel you are cheating – getting a sort-of unfair advantage on quanty knowledge.
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. I’ll give it four stars.
Review by Franz Woyzeck for Frequently Asked Questions in Quantitative Finance
Rating:
This is a very helpful little manual. No serious student or derivatives pro should be without it. It covers many of the practically relevant aspects of derivatives pricing in a very original and lucid way, thereby opening new perspectives even for the seasoned pro. I give it to juniors in my team (and should be giving it to many senior colleagues too.).Some of the most outstanding chapters:
- Ten Different Ways to Derive Black/Scholes
- The Most Popular Search Words and Phrases on Wilmott.com
- Paul & Dominics Guide to Getting a Quant Job
- Popular Quant Books
Review by Neal Groothuis for Frequently Asked Questions in Quantitative Finance
Rating:
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.