Publication:3594586

zbMath1127.91002MaRDI QIDQ3594586

Paul Wilmott

Publication date: 9 August 2007

zbMATH Keywords

numerical integration; hedging; stochastic volatility; option pricing; Monte Carlo simulation; stochastic calculus; derivatives; Black-Scholes model; finite-difference methods; real options; risk; credit risk; energy derivatives; volatility; utility theory; risk management; default risk; uncertain parameters; exotic options; binomial model; dividend payment; jump diffusion; volatility surface; quantitative finance; storage costs; Merton model; interest rate modeling; non-probabilistic interest rate model

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B70: Stochastic models in economics

91B24: Microeconomic theory (price theory and economic markets)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

00A06: Mathematics for nonmathematicians (engineering, social sciences, etc.)

91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance

91Gxx: Actuarial science and mathematical finance

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Uses Software

• Visual Basic