SERVING THE QUANTITATIVE FINANCE COMMUNITY

vgoklani
Topic Author
Posts: 26
Joined: March 21st, 2007, 6:49 pm

Hi,I am just getting into the quantitative finance field, and I read through Wilmott's "Mathematics of Financial Derivatives" book. I thought it was well written, and presented a nice PDE approach. I was looking into purchasing "Option Pricing", also by Wilmott, but balked at the price (>$275 - it's out of print). Is this book worth the price, or am I just wasting my time pursuing the PDE approach? I have also read through Shreve's continous time finance book, so I am well versed in Martingales and abstract probability theory, but my formal academic training is in physics, and I love PDEs. I've also noticed that Wilmott has a three volume edition, does this contain all the material form Option Pricing? Please share your thoughts...-V- unkpath Posts: 289 Joined: January 13th, 2004, 8:44 pm ### "Option Pricing: Mathematical Models and Computation" - any impressions on this book? It is not a problem, but your saying that you are "getting into the quantitative finance field" and are "well versed in martingales and abstract probability theory" sounds fishy to me. If you were then you would have a rough idea of how useful pdes are or are not. Now as to pdes and much as it hurts to say that for me, the "expectation approach" is vastly more useful in quantitative finance. I strongly believe that it is virtually impossible to become intuitively familiar with QF by knowing only pdes, it is just too limited. I know that this is particularly true of fixed income. I am not saying that pdes (or trees for that matter) are unimportant, quite on the contrary, when it comes to numerics, if at all possible, they are the methods of choice (MC is much too painful, at this stage at least), but they are isolatedand useful tools in today's worls, whereas the expectation stuff is an actual framework in which to understand things.QuoteOriginally posted by: vgoklaniHi,I am just getting into the quantitative finance field, and I read through Wilmott's "Mathematics of Financial Derivatives" book. I thought it was well written, and presented a nice PDE approach. I was looking into purchasing "Option Pricing", also by Wilmott, but balked at the price (>$275 - it's out of print). Is this book worth the price, or am I just wasting my time pursuing the PDE approach? I have also read through Shreve's continous time finance book, so I am well versed in Martingales and abstract probability theory, but my formal academic training is in physics, and I love PDEs. I've also noticed that Wilmott has a three volume edition, does this contain all the material form Option Pricing? Please share your thoughts...-V-

vgoklani
Topic Author
Posts: 26
Joined: March 21st, 2007, 6:49 pm

### "Option Pricing: Mathematical Models and Computation" - any impressions on this book?

Thanks for your response!"well versed in martingales and abstract probability theory"well-versed might be overselling the point, but I do have a good understanding of the basic ideas....I also have a bit of a bias, like most physicists I would to prefer a PDE approach, but I suppose it has limited value in this context...could someone point me to a statistical mechanics approach to problems in finance. I am also curious if anyone has actually read the book: Options Pricing

Cuchulainn
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### "Option Pricing: Mathematical Models and Computation" - any impressions on this book?

I have read the book by Wilmott, Dewynne and Howison. It's good.My favourite Wilmott book is the 739-page "Derivatives". I really enjoyed reading that book.
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vgoklani
Topic Author
Posts: 26
Joined: March 21st, 2007, 6:49 pm

I just looked up the "739 page Derivatives book by Wilmott" - it costs $195...it's also kind of old. What type of approach does he use in the book? Also, how does this compare withi his new three volume edition? ppauper Posts: 70239 Joined: November 15th, 2001, 1:29 pm ### "Option Pricing: Mathematical Models and Computation" - any impressions on this book? QuoteOriginally posted by: vgoklaniI just looked up the "739 page Derivatives book by Wilmott" - it costs$195...it's also kind of old. What type of approach does he use in the book? Also, how does this compare withi his new three volume edition?this book became the 2 volume set which became the 3 volume set.

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

### "Option Pricing: Mathematical Models and Computation" - any impressions on this book?

pp is correct. (A sentence I never imagined I'd say) Derivatives (big and black) became PWOQF (bigger and silver) which became PWOQF2 (biggest and gold, three vols). OPMMC (medium sized and dark green, turning to a paler green when exposed to light, no seriously!) is out of print and only of historical interest.If you are from an applied maths/physics/chemistry/engineering background and just starting on QF, go for PWIQF but wait until mid April when the new edition is out (includes more on vol, inc. vol arb, and exercises)If you are from same background but want to delve deeper, inc. research topics, critiques of models, modern ideas (where simulations start to struggle, unkpath ), then you want PWOQF2.If you already know the theory but want something to get to the point asap with some clues as to difference between theory and practice, and also useful for interview practice, go for FAQQF.Thus endeth the first sales pitch.P

vgoklani
Topic Author
Posts: 26
Joined: March 21st, 2007, 6:49 pm

### "Option Pricing: Mathematical Models and Computation" - any impressions on this book?

and how does the big "Options Pricing" book fit in this hierarchy?

ppauper
Posts: 70239
Joined: November 15th, 2001, 1:29 pm

### "Option Pricing: Mathematical Models and Computation" - any impressions on this book?

QuoteOriginally posted by: vgoklaniand how does the big "Options Pricing" book fit in this hierarchy?see professa wilmott's reply:QuoteOPMMC (medium sized and dark green, turning to a paler green when exposed to light, no seriously!) is out of print and only of historical interest."OPMMC" = "Option Pricing: Mathematical Models and Computation"