Frequently Asked Questions In Quantitative Finance


This book grew out of a suggestion by Member ‘bayes’ for a Forum (as in ‘internet discussion group’) dedicated to gathering together answers to the most common quandy questions.

We responded positively, as is our wont, and the Wilmott Quantitative Finance FAQs Project was born. This Forum may be found at (There anyone may read the FAQ answers, but to post a message you must be a member.

Fortunately, this is entirely free!) The FAQs project is one of the many collaborations between Members of As well as being an ongoing online project, the FAQs have inspired the book you are holding.

It includes FAQs and their answers and also sections on common models and formula, many different ways to derive the Black-Scholes model, the history of quantitative finance, a selection of brainteasers and a couple of sections for those who like lists (there are lists of the most popular quant books and search items on

Right at the end is an excerpt from Paul and Dominic’s Guide to Getting a Quant Job, this will be of interest to those of you seeking their first quant role.

FAQs in QF is not a shortcut to an in-depth knowledge of quantitative finance. There is no such shortcut.

However, it will give you tips and tricks of the trade, and insight, to help you to do your job or to get you through initial job interviews. It will serve as an aide memoire to fundamental concepts (including why theory and practice diverge) and some of the basic Black–Scholes formula and Greeks.

The subject is forever evolving, and although the foundations are fairly robust and static there are always going to be new products and models.

So, if there are questions you would like to see answered in future editions, please drop me an email at [email protected]

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