Derivatives Models on Models

Haug on Wilmott and Wilmott on Wilmott

I first learned the name Paul Wilmott through his book with the green cover entitled “Option Pricing” written together with Jeff Dewynne and Sam Howison. This was the first book on derivatives focusing extensively on the PDE method and finite differences. Paul Wilmott soon came out with his third book “Derivatives”. This was a wonderful book packed with useful information. I found a minor typo in his computer code accompanying his book. As I had recently written a book myself (“Option Pricing Formulae”) I knew that it was impossible to get a first edition completely free of typos, so I sent the typo to Wilmott in a e-mail suggesting that he could fix it in a potential second edition. This was how I first established contact with Paul who through exceptional talent, hard work and unlimited enthusiasm would soon transform himself into a guru of quantitative finance. The second edition of “Paul Wilmott on Quantitative Finance” consists of three volumes and is nearly 1,400 pages long. This book not only shows how Paul Wilmott's knowledge has grown over the years, but also illustrates how fast the field of quantitative finance has grown, and there seems to be no end to it.

Beside his books Paul has published a large number of papers and is also the founder and editor of a leading quantitative finance magazine known as “Wilmott”. This magazine is different in that it is much more open minded in terms of style and ideas than most academic finance ...