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.

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!

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!

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?

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.

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

- Cuchulainn
**Posts:**64438**Joined:****Location:**Drosophila melanogaster-
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I think Wiley discontinued providing CDs/DVDS along with the book some time ago, at least my own books.

"Compatibility means deliberately repeating other people's mistakes."

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

Thank you guys, very appreciate it!

" 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.

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:**64438**Joined:****Location:**Drosophila melanogaster-
**Contact:**

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.

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.

Last edited by Cuchulainn on January 19th, 2021, 6:57 pm, edited 1 time in total.

"Compatibility means deliberately repeating other people's mistakes."

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

- Cuchulainn
**Posts:**64438**Joined:****Location:**Drosophila melanogaster-
**Contact:**

Volume III. page 1261 Hopscotch Method

This is similar to ADE in that it is stable _and_ explicit which can't be a bad thing. The numerical analysts at Dundee did work here but I have seen little of it in finance ("clamped" to ADI and Crank-Nicolson). At lest for zero correlation, it looks attractive. Of course, we can transform the PDE to make it 'correlaton-free'.

typo?

2nd eq. should be

[$]V^{k+1}_{ij} = V^{k}_{ij} + the rest unchanged[$]

This is similar to ADE in that it is stable _and_ explicit which can't be a bad thing. The numerical analysts at Dundee did work here but I have seen little of it in finance ("clamped" to ADI and Crank-Nicolson). At lest for zero correlation, it looks attractive. Of course, we can transform the PDE to make it 'correlaton-free'.

typo?

2nd eq. should be

[$]V^{k+1}_{ij} = V^{k}_{ij} + the rest unchanged[$]

"Compatibility means deliberately repeating other people's mistakes."

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl

David Wheeler

http://www.datasimfinancial.com

http://www.datasim.nl