SERVING THE QUANTITATIVE FINANCE COMMUNITY

GPRW
Topic Author
Posts: 4
Joined: May 14th, 2018, 4:33 pm

### Paul Wilmott on Quantitative Finance, new edition?

I am considering buying this 3-volume set, but I saw the current edition is the 2nd edition published in 2006. Does Wilmott have any plan to release a new updated edition recently? If so, I may hold and wait for the new edition.

Paul
Posts: 10391
Joined: July 20th, 2001, 3:28 pm

### Re: Paul Wilmott on Quantitative Finance, new edition?

Wilmott doesn't.

The book, like most things I do, is meant to teach people to develop their own skills. Unlike some books I could mention which are great for what they contain but leave you unable to do anything for yourself!

dmitryy85
Posts: 2
Joined: September 6th, 2018, 3:14 pm

### Re: Paul Wilmott on Quantitative Finance, new edition?

I've bought digital version of Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition) but then noticed that CD-ROM/DVD and other supplementary materials are not included as part of eBook file. Is there any way I can buy CD separately or maybe it's shared somewhere?

Paul
Posts: 10391
Joined: July 20th, 2001, 3:28 pm

### Re: Paul Wilmott on Quantitative Finance, new edition?

If it's shared then Wiley's lawyers will be onto whoever is doing the sharing.

But just email gvaller@wiley.com to get the CD.

Cuchulainn
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Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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### Re: Paul Wilmott on Quantitative Finance, new edition?

I think Wiley discontinued providing CDs/DVDS along with the book some time ago, at least my own books.
http://www.datasimfinancial.com
http://www.datasim.nl

Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
Jean Piaget

dmitryy85
Posts: 2
Joined: September 6th, 2018, 3:14 pm

### Re: Paul Wilmott on Quantitative Finance, new edition?

Thank you guys, very appreciate it!

Collector
Posts: 4555
Joined: August 21st, 2001, 12:37 pm

### Re: Paul Wilmott on Quantitative Finance, new edition?

" discontinued providing CDs/DVDS along with the book "

CDs ?? Credit Default Swaps?

"But just email  to get the CD." credit default?

No thanks! but thanks for the tip! (rigged)

looks like a interesting book by the way, this both with or without the added benefit of a credit default trigger help line.

Cuchulainn
Posts: 61483
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

### Re: Paul Wilmott on Quantitative Finance, new edition?

Volume 3, page 1040, section 64.4 "Stochastic Dividends"

The principal part (i.e. the 2nd order derivatives in $S,D$) in its current form is parabolic and not elliptic (discriminant is zero) because the correlation term $\rho$ is not present in the PDE. Should it not be

$\rho \sigma q S \frac{\partial^2V}{\partial S \partial D}$?

BTW it is possible to remove the mixed derivatives by the canonical transformation

$\xi = \alpha logx - y, \eta = \beta log x$

where $\alpha = \rho q \sigma$ and $\beta = \sqrt{1-\rho^2} q \sigma$

resulting in

$A \frac{\partial^2V}{\partial \xi^2} + B \frac{\partial^2V}{\partial \eta^2}$ + lower-order terms

and with

$A = B = \frac{1}{2} q^2 (1 - \rho^2)$.

This is also an elliptic PDE since its discriminant is negative.
http://www.datasimfinancial.com
http://www.datasim.nl

Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
Jean Piaget