“Quantitative finance is the most fascinating and rewarding real-world application of mathematics. It is fascinating because of the speed at which the subject develops, the new products and the new models which we have to understand. And it is rewarding because anyone can make a fundamental breakthrough.
“Having worked in this field for many years, I have come to appreciate the importance of getting the right balance between mathematics and intuition. Too little maths and you won’t be able to make much progress, too much maths and you’ll be held back by technicalities. I imagine, but expect I will never know for certain, that getting the right level of maths is like having the right equipment to climb Mount Everest; too little and you won’t make the first base camp, too much and you’ll collapse in a heap before the top.
“Whenever I write about or teach this subject I also aim to get the right mix of theory and practice. Finance is not a hard science like physics, so you have to accept the limitations of the models. But nor is it a very soft science, so without those models you would be at a disadvantage compared with those better equipped. I believe this adds to the fascination of the subject.
“This FAQs book looks at some of the most important aspects of financial engineering, and considers them from both theoretical and practical points of view. I hope that you will see that finance is just as much fun in practice as in theory, and if you are reading this book to help you with your job interviews, good luck! Let me know how you get on!” --This text refers to an out of print or unavailable edition of this title.
This review is for the Kindle version I have on my iPad. I really hope Amazon rework on the equations and formulas in the book. The scanned images are too small and blur to read. For example, go to page 458 showing a poor image quality of equation table. I would rather like to see that equations are actually typed into the text-fields so that they look clear, big and natural in pages.
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.
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.
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.
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.
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 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 quant 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 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.
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
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 1.3 x 6.9 inches
More Details about Frequently Asked Questions in Quantitative Finance 2nd edition
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Download Frequently Asked Questions in Quantitative Finance 2nd edition PDF Ebook
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