Expensive but nice

by chemengineer on July 8, 2007

This book definitely helped me understand the Black-Scholes better. Paul Wilmott keeps algebraic notations to a minimum, so it helped an engineer like me quickly understand the concepts. I have only read half of the 1st book, my job doesn't require me to modify the equations we used, but it helped me quite a lot as a reference when going to some pricing/structuring VBA code, since it had all the math that I needed (barrier pricing, convexity adjustment).
When compared to Hull, Wilmott is easier to read because he really omits any unneccessary words. However, as some others have commented, some of the proofs are not so trivial to me. There's a section where he used Taylor approximation, but I didn't understand where the constant "3" came from.
The biggest problem is that this book is $200~300. However, I got our dept to pay for it, so it worked out in the end.