The Mathematics of Financial Derivatives: A Student Introduction

by Paul Wilmott, Sam Howison, Jeff Dewynne

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.

Genres: Finance, Mathematics

333 pages, Hardcover

First published September 29, 1995

About the author

Paul Wilmott is a researcher, consultant and lecturer in quantitative finance. He is best known as the author of various academic and practitioner texts on risk and derivatives, and for Wilmott magazine and Wilmott.com , a quantitative finance portal.
He is the co-owner and Course Director for the Certificate in Quantitative Finance (CQF), a half year distance learning course on mathematical finance at 7City Learning, a London-based company providing training for the financial services industry. He is a founding partner of Caissa Capital, a volatility arbitrage hedge fund. He is on the editorial board of the academic journal International Journal of Theoretical and Applied Finance. He founded the Diploma in Mathematical Finance at Oxford University and the journal Applied Mathematical Finance. He is a director of Wilmott Electronic Media, which manages Wilmott.com, a website for the quantitative analyst community, and is a director of Paul & Dominic Quant Recruitment.
He studied mathematics at St Catherine’s College, Oxford University, where he received his D.Phil in Applied mathematics in 1985.