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«Frequently Asked Questions in Quantitative Finance»





The Most Popular Search Words and Phrases on Wilmott.comVasicek Spot rate modelsAsian option How Good is the Assumption of Normal Distributions for Financial Returns?Hedge Series solutions The Oracle at DelphiMiss Moneypenny Sobol' Annual returnsEssaysMortgage Backed Security (MBS) Cap Lesson 6: Reliance on Continuous Hedging (Arguments)Dice game The underlying is lognormally distributed Ones and zerosWhat is Meant by 'Complete' and 'Incomplete' Markets?The Commonest Mistakes in Quantitative Finance: A Dozen Basic Lessons in Commonsense for Quants and Risk Managers and the Traders Who Rely on ThemPut option Covering letter What is the Kelly Criterion?Good clothes Extendible option/swap Cox, Injersoll & Ross Implied Break/Cancellable forward Vega Change of NumeraireHo & Lee Hit-and-run taxiWhat is the Best-Kept Secret in Quantitative Finance?Student's t Name and Shame in Our New Blame Game!Equity, FX and commodity markets Approximations Schonbucher's stochastic implied volatility Mean reversion BookwormPoisson processes What? Markowitz Lesson 11: Too Much PrecisionThe Complete Guide to Option Pricing Formulas by Espen Gaarder HaugReduced formAges of three childrenWhich Numerical Method should I Use and When?What is Bootstrapping using Discount Factors?Hit-and-run taxi Ants on a circle Theta Make sure you can be contacted Covering a chessboard with dominoes Stochastic volatility Advanced Modelling in finance Using Excel and VBA by Mary Jackson and Mike StauntonFast drift and high volatility in stochastic volatility models Contingent premium option Be polite What is Jensen's Inequality and What is its Role in Finance?EfficiencyApply for the right job Vanna The yield to maturity (YTM) or internal rate of return (IRR) What are the Most Useful Performance Measures?Swaptions There are no transaction costs Show you can do things GOOD SALESMEN WILL HOODWINK SMART PEOPLE Jewellery Unberstanb the process HYPER option kg of berriesThe spot rate and forward rates Duration Questions for the interviewerFinite difference Read your CV Principles of Financial Engineering by Salih NeftciFinding banks Avellaneda and Paras What is Maximum Likelihood Estimation?Gamma hedging Volatility is constant Risk Balls in a bagHull & White (1987) SABR Cash flows Lesson 1: Lack of DiversificationStraddle What is a Jump-Diffusion Model and How does it Affect Option Values?Square-root model/Heston (1993) Quanto Index amortizing rate swap Inverse floater Merton, again Black 1976Option pricesBonus Lesson 13: The Binomial Method is RubbishShow some market insight Returns are normally distributed Discrimination methods What is Serial Autocorrelation and Does it Have a Role in Derivatives?Attribution CFA Outperformance option The Financial Modellers' ManifestoBase correlation Hanging a picture Uniform Two heads Turnover Lesson 2: Supply and DemandPreface to the First EditionFirst-derivative terms Mobile phone interviews A Diffusion EquationOption Valuation under Stochastic Volatility by Alan LewisFind out more about the job Snowflake Logistic Boundary/final conditions Sums of uniform random variablesCoupe option Lesson 5: CorrelationEinstein Sortino ratio Exotic Thorp What are Low-Discrepancy Numbers?Econometric models Duration The Same Old Same OldThe order of an option GARCH Barrier option Gamma Levy Rainbow optionMulti-dimensional lognormal random walksAircraft armourAsymptotic analysis Structural modelsRussian rouletteFixed IncomeWhat is Cointegration?Market maker Vomma or Volga kgof berries Future Chi square Intuition Other terms? The AnswersCAPMLesson9: Valuation is Not LinearCopula What is Modern Portfolio Theory?ExponentialDecision features Compensation AppearanceCloser to the edge or the centre?Basket option The Quantitative Finance TimelineHow much will transaction costs reduce my profit? Ratchet Fonts and layout Lesson 10: CalibrationMuddy faces Finite-difference methodsVasicek What are the Different Types of Mathematics Found in Quantitative Finance?Balls in a bag Normal distribution Binary option Volatility ArbitrageLi CMS SABR PrefaceWhat is Meant by the 'Value' of a Contract?Multiple CVs TurnoverMORE HEDGE FUNDS WILL COLLAPSE Cox, Ross and Rubinstein Aircraft armour Sums of uniform random variables Brennan & Schwartz Popular Quant BooksHanging a pictureSkew FAQs How Do I Dynamically Hedge?VOLATILITY WILL INCREASE ENORMOUSLY AT TIMES FOR NO ECONOMIC REASON Interests and hobbies Urban planningWhat is a Poisson Process and What are its Uses in Finance?Bookworm Diff (erential) swap Lesson 3:Jensen's Inequality ArbitrajeMiss MoneypennyGamma What is Dispersion Trading?Monte Carlo Methods in Finance by Peter JackelBarbarians Hawai'ian option Asset swap What is Girsanov's Theorem, and Why is it Important in Finance?Another one about birthdaysStochastic volatilityQuantlib s Samuelson Paul Wilmott on Quantitative Finance, Second Edition by Paul WilmottTime dependence Get it checked The Monty Hall problem Dispersion Risk neutral What are the Forward and Backward Equations?Information ratio Colour Deterministic Fama Continuous-Time Limit of the Binomial ModelManifestoWhat are the Stupidest Things People have Said about Risk Neutrality?Callable Convertible Passport option Preface to the Second EditionTransactions costs Heard on the Street by Timothy CrackConvertible bond Covering a chessboard with dominoesFour switches and a lightbulbMinimum and maximum correlationAirforce OneTOO MUCH MONEY WILL GO INTO TOO FEW PRODUCTS FrustrationHimalayan option Term independent of V Heath, Jarrow and Morton What is Monte Carlo Simulation?Sleep regularly, sleep often Discrete/Continuous Total Return Swap (TRS) Einstein's brainteaser Weibull What is a Free-Boundary Problem and What is the Optimal-Stopping Time for an American Option?What is the Efficient Markets Hypothesis?Basis swap Pirate puzzleSpeed Floating Rate Note (FRN) Constant Maturity Swap (CMS) There are no costs associated with borrowing stock for going short What is Value at Risk and How is it Used?Gumbel Hybrid Do not sound as if you work for Accenture Quanto Paul & Dominic Swap Cap Kissing frogs Bond options Treynor ratio Matching birthdays Quants' salariesAmerican option Options, Futures, and Other Derivatives by John HullStrangle Other DerivationsArbitrage The QuestionsPirate puzzle Stochastic Buzzwords Science in Finance I Revisited: Supply and Demand, and Spoon BendingMagicians and MathematiciansThe lognormal random walkRichardson Can I Reverse Engineer a Partial Differential Equation to get at the Model and Contract?Be true to yourself Dupire, Rubinstein, Derman and Kani Hedging is continuous What is Marking to Market and How Does it Affect Risk Management in Derivatives Trading?Last job first Things to Look Out For in Exotic ContractsExpected loss Forward Muddy facesCoherent measures Range note Bermudan option Number of dimensions Swaption What is Option Adjusted Spread?Einftein'f brainteaserGreen's functions Twelve Different Ways to Derive Black-ScholesEconomics Makes My Brain HurtBe prepared C++ Design Patterns and Derivatives Pricing by Mark JoshiYield curve Balloon option How Robust is the Black-Scholes Model?Boyle Why? Annual returns What is the Central Limit Theorem and What are its Implications for Finance?What is a Utility Function and How is it Used?Convexity Making a difference Make eye contact There are no arbitrage opportunities Cauchy Modigliani-Modigliani measure EfficiencyFamily membersOrnstein-Uhlenbeck process The V term Two-factor modelsEsotericaSTRIPS Basket Vega hedging Pricing derivatives Credit markets What is the Market Price of Risk?Call option -81 Harrison, Kreps and Pliska What People Get WrongPonzi Schemes, Auditors, Regulators, Credit Ratings, and Other ScamsWhat is the Difference between a Quant and an Actuary?Delta Name Focus ExamplesCrash (Platinum) hedging Gamma Find the volatilityAsymptotic analysis The Concepts and Practice of Mathematical Finance by Mark JoshiSharpe ratio CompensationWhat is Arbitrage Pricing Theory?Numerical integrationMBS Asking questions Science in Finance VI: True Sensitivities, CDOs and CorrelationsBachelier What is the Black—Scholes Equation?Collateralized Mortgage Obligation (CMO) Structured products Brace, Gatarek & MusielaThe backward equationNeatness is good What is the correct delta? Correlation markets Correlation Deterministic models The Black-Scholes Formulae and the GreeksWhat is Extreme Value Theory?CQF Can I use Real Probabilities to Price Derivatives?What is the Finite-Difference Method?Compound option Calibration Convexity What is Calibration?Monte Carlo methodsPass through QuizThe forward equationCliquet option CDS Functional form of coefficients Regression How big is my hedging error? The Most Popular Probability Distributions and Their Uses in Finance Normal or Gaussian SnowflakeWhat is Asymptotic Analysis and How is it Used in Financial Modelling?The Oracle at Delphi Interest rate swap Gender ratio MartingalesLocal Times Sobol', Faure, Hammersley, Haselgrove and Halton... Accrual Ultras Collateralized Debt Obligation (CDO) Science in Finance IX: In Defence of Black, Scholes and MertonAsian option Beta Variance swap Poisson* THERE WILL BE MORE ROQUE TRADERS Lookback option Closer to the edge or the centre? Exponential Collateralized Debt Obligation (ECDO) Two headsSimulations The market price of risk as a random factor CDO August 2007 quantitative finance in disrepute Airforce One Jump diffusionMake-up Two thirds of the averageStatic hedging American option Results and Ideas: Two Classical PutdownsBrown Its Programme of studyWhy is the Lognormal Distribution Important?LIBOR-in-arrears swap Longstaff & Schwartz What are the Greeks?Uncertain volatility Two thirds of the average Shadow greeks What is GARCH?Rho What is the Capital Asset Pricing Model?Exploring portfolio statistics Floor Caps and floors Repo Matching birthdaysWhat is a Coherent Risk Measure and What are its Properties?s Cheyette, Barrett, Moore and Wilmott Wiener Linear or non-linear How? Credit Derivatives Pricing Models by Philipp SchonbucherPOLITICIANS AND GOVERNMENTS WILL REMAIN COMPLETELY IN THE DARK Fixed-income markets Boundary/final conditions Lognormal Margin hedging Default probability Russian rouletteBe honest What is Ito's Lemma?Parameters as VariablesWhy do Quants like Closed-Form Solutions?Pareto Getting the message across Swaptions Biased coins PDE What is Put-Call Parity?Writing a CVScience in Finance VII: Risk Management — What is the Point?Lesson 4: Sensitivity to ParametersCONVEXITY WILL BE MISSED What is Arbitrage?Hedging and the Partial Differential EquationReverse repo Gender ratioBermudan swaption Forward-start option Superhedging PDF Paul Wilmott Introduces Quantitative Finance, Second Edition by Paul WilmottHull & White Volatility What are Copulas and How are they Used in Quantitative Finance?Zeroth law of holes What is the LIBOR Market Model and its Principal Applications in Finance?Black—Scholes for AccountantsDates Dimensionality Science in Finance II: '... ists'Set traps Sharpe, Lintner and Mossin Read the job specification Utility TheoryHull & White Monte Carlo Be punctual Mellin TransformCommon ContractsThe Monty Hall problemSecond-derivative terms Minimum and maximum correlation The doorsCORRELATION PRODUCTS WILL BLOW UP DRAMATICALLY Digital option Brace, Gatarek and Musiela GARCH-diffusion And Now a Brief Unofficial History!The doors Taylor SeriesLIBOR Lesson 8: Reliance on Closed-Form SolutionsCan I optimize my hedging when there are transaction costs? Asset swap Delta Interview overlap Credit Default Swap (CDS) What is a Wiener Process/Brownian Motion and What are its Uses in Finance?How is Risk Defined in Mathematical Terms?Barrier option Why Does Risk-Neutral Valuation Work?Why Hedge?Lesson 7: FeedbackWhat are the Bastard Greeks?Fong & Vasicek Probabilistic What is the Volatility Smile?Science in Finance IV: The Feedback EffectEfficiencyParisian option Dice gameBrainteasers What is Volatility?Path dependence Another one about birthdays Chooser option Delta hedging Black, Scholes and Merton Be confident Equity, Foreign Exchange and CommoditiesProgramme of studyProgramme of studyCollateralized Debt Obligation squared (CDO2) Swap Ants on a circleKnock-in/out option /2 modelHo and Lee Show that you can do things What you need to proveLinear or non-linear Smile Heath, Jarrow & MortonIt Is and It Isn'tWhat is CrashMetrics?Functional form of coefficients Ones and zeros Embedded decisions Why is calibration unstable?What is the Difference Between the Equilibrium Approach and the No-Arbitrage Approach to Modelling?Laplace RISK MANAGEMENT WILL FAIL Hagan, Kumar, Lesniewski and Woodward Perfume and aftershave Models and EquationsUrban planning Lesson 12: Too Much ComplexityForward Rate Agreement (FRA) BrainteasersColours Biased coinsSABRCan I optimize my hedge? InterviewsNumber of dimensions Paul & Dominic's Guide to Getting a Quant JobVariance swap CreditFour switches and a lightbulb Decision features Inverse normal Ages of three children Digital This is No Longer FunnyBlack & Karasinski Prices as expectations
 
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