Popular Quant Books

The following are the dozen most popular quant books in the wilmott.com bookshop since December 2001.

Paul Wilmott Introduces Quantitative Finance, Second Edition by Paul Wilmott

'The style is pedagogical and yet very lively and easygoing. As only great teachers can, Wilmott makes even the most obtuse mathematics seem easy and intuitive.' Marco Avellaneda

Publisher John Wiley & Sons Ltd Publication date 2007 Format Paperback + CD ISBN 97804703195817

An introductory text for students based on the three-volume research-level book PWOQF2, see below. The book covers much of the foundation material for students approaching the subject from an applied mathematician's perspective. There are chapters on derivatives, portfolio management, equity

and fixed income, as well as the numerical methods of Monte Carlo simulation, the binomial method and finite-difference methods.

Paul Wilmott on Quantitative Finance, Second Edition by Paul Wilmott

'Paul Wilmott on Quantitative Finance, Second Edition, is even better than his unsurpassed First Edition. He combines the insights of an incisive theorist with his extensive practical experience. His teaching style is clear and entertaining. I recommend the book to everyone in the ''quant community, from beginner to expert, both for learning and for reference. Ed Thorp

Publisher John Wiley & Sons Ltd Publication date 2006

Format Hardback, three volumes in slip case, + CD ISBN 9780470018705

A research-level book containing the tried and trusted techniques, the analysis of models and data, and cutting-edge material. Contains models and research that cannot be found in other textbooks.

Advanced Modelling in finance Using Excel and VBA by Mary Jackson and Mike Staunton

Publisher John Wiley & Sons Ltd

Publication date 2001

Format Hardback + CD

ISBN 9780471499220

The book adopts a step-by-step approach to understanding the more sophisticated aspects of Excel macros and VBA programming, showing how these programming techniques can be used to model and manipulate financial data, as applied to equities, bonds and options. The book is essential for financial practitioners who need to develop their financial modelling skill sets as there is an increase in the need to analyse and develop ever more complex 'what if scenarios.

Option Valuation under Stochastic Volatility by Alan Lewis

'This exciting book is the first one to focus on the pervasive role of stochastic volatility in option pricing. Since options exist primarily as the fundamental mechanism for trading volatility, students of the fine art of option pricing are advised to pounce.' Peter Carr

Publisher Finance Press Publication date 2000 Format Paperback ISBN 0967637201

This book provides an advanced treatment of option pricing for traders, money managers, and researchers. Providing largely original research not available elsewhere, it covers the new generation of option models where both the stock price and its volatility follow diffusion processes.

These new models help explain important features of real-world option pricing that are not captured by the Black-Scholes model. These features include the 'smile' pattern and the term structure of implied volatility. The book includes Mathematica code for the most important formulae and many illustrations.

The Concepts and Practice of Mathematical Finance by Mark Joshi

'Mark Joshi's work is one of the most thoughtful books in applied finance I know. It is both intuitive and mathematically correct and it deals with very deep concepts in derivatives pricing while keeping the treatment simple and readily understandable.' Riccardo Rebonato

Publisher Cambridge University Press Publication date 2003 Format Hardback ISBN 0521823552

Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus, each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems. The author brings to this book a blend of practical experience and rigorous mathematical background, and supplies here the working knowledge needed to become a good quantitative analyst.

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