Rondanini

Financial Library

Books

Catalogue · derivatives

Search runs across title, subtitle, short description, and author names. Topics mirror the full instrument and desk coverage of the library—see also topic hubs.

36 titles match these filters

Classic

FX Options and Smile Risk

Antonio Castagna · 2010 · John Wiley & Sons

FX options pricing and volatility surface practice.

  • FX
  • Derivatives

Option Trading: Pricing and Volatility Strategies and Techniques

Euan Sinclair · 2010 · John Wiley & Sons

Option Trading: Pricing and Volatility Strategies and Techniques by Euan Sinclair is a detailed guide for practitioners in the options market, covering essential topics such as pricing, volatility measurement, and hedging techniques. This resource is designed for traders and analysts seeking to enhance their understanding of options trading strategies in various market conditions.

  • Derivatives
  • Risk management

Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading

Mohamed Bouzoubaa · Adel Osseiran · 2010 · John Wiley & Sons

This comprehensive guide explores the intricacies of exotic options and hybrid instruments, focusing on their structuring, pricing, and trading. It is particularly relevant for practitioners in FX and derivatives markets, providing insights into advanced pricing techniques and market dynamics.

  • Derivatives
  • FX

Derivatives Demystified

A Step-by-Step Guide to Forwards, Futures, Swaps and Options

Andrew M. Chisholm · 2010 · John Wiley & Sons

Plain-language walkthrough of forwards, futures, swaps, and options for non-specialists entering markets roles. This introductory guide is designed for students, analysts, and treasurers seeking to understand the fundamentals of derivatives and risk management.

  • Derivatives
  • Risk management

Collateral Management: A Guide to Mitigating Counterparty Risk

Amir D. Singh · James Aitken · 2009 · John Wiley & Sons

This comprehensive guide addresses the complexities of collateral management and its critical role in mitigating counterparty risk within financial markets. It is particularly relevant for professionals dealing with derivatives and treasury operations, providing practical insights and methodologies.

  • Risk management
  • Derivatives
  • Treasury

Correlation in Credit Markets

Stephen McLeish · Robert Resenfeld · 2009 · Risk Books

Correlation in Credit Markets examines the intricate relationships between various credit derivatives and their underlying assets. This text is essential for practitioners seeking to understand the quantitative aspects of credit risk and the dynamics of correlation in credit markets.

  • Credit
  • Derivatives
  • Quantitative finance

Term Structure Models - A Graduate Course

Damir Filipovic · 2009 · Springer

This comprehensive text delves into term structure models, focusing on their application in derivatives and quantitative finance, particularly in the context of interest rates. It serves as a graduate-level course, providing a robust foundation for understanding the dynamics of interest rate models.

  • Interest rates
  • Quantitative finance
  • Derivatives

Market Risk Analysis Volume IV: Value at Risk Models

Carol Alexander · 2008 · John Wiley & Sons

Market Risk Analysis Volume IV: Value at Risk Models offers an in-depth exploration of Value-at-Risk (VaR) models, essential for analysts and risk managers. This volume builds on foundational concepts from previous volumes, providing rigorous treatments of various VaR methodologies and their applications across different asset classes.

  • Risk management
  • Quantitative finance
  • Derivatives

Credit Index Derivatives: A Manual of Pricing, Trading, and Risk Management

Markit · 2008 · Jpmorgan

This manual provides a comprehensive overview of credit index derivatives, focusing on their pricing, trading strategies, and risk management techniques. It serves as a vital resource for practitioners involved in the credit derivatives market, offering insights into the complexities of these financial instruments.

  • Credit
  • Derivatives
Classic

Modelling Single-name and Multi-name Credit Derivatives

Dominic O'Kane · 2008 · John Wiley & Sons

Institutional quant reference on single-name CDS, indices, tranches, and portfolio credit—written from a pre-crisis dealer desk vantage that still shapes how correlation and skew are discussed, even where post-2008 conventions and liquidity have moved on.

  • Credit
  • Derivatives
  • Quantitative finance

Islamic Derivatives: An Overview and Prospects

Muhammad Ariff · 2007 · Butterworth Heinemann

This comprehensive overview of Islamic derivatives explores the principles and applications of derivatives within the framework of Islamic finance. It addresses the unique challenges and prospects of integrating conventional derivative instruments with Sharia-compliant practices.

  • Islamic finance
  • Derivatives

The Complete Guide to Option Pricing Formulas

2nd Edition

Espen Gaarder Haug · 2007 · McGraw-Hill

The Complete Guide to Option Pricing Formulas provides an extensive examination of option pricing methodologies, featuring a comprehensive collection of formulas essential for traders and analysts. This second edition includes practical tools such as VBA code and Excel spreadsheets to facilitate the application of these formulas in real-world scenarios.

  • Derivatives
  • Quantitative finance

Paul Wilmott on Quantitative Finance

2nd Edition (3-volume set)

Paul Wilmott · 2006 · John Wiley & Sons

Paul Wilmott on Quantitative Finance is a comprehensive three-volume set that delves into the intricacies of derivatives and financial engineering. The work covers fundamental mathematical tools, risk management, and advanced numerical methods, making it essential for professionals in quantitative finance.

  • Derivatives
  • Quantitative finance

The Volatility Surface: A Practitioner's Guide

Jim Gatheral · 2006 · John Wiley & Sons

The Volatility Surface: A Practitioner's Guide by Jim Gatheral delves into the complexities of the implied volatility surface, offering insights crucial for pricing and hedging derivatives. This work is particularly relevant for professionals engaged in FX and quantitative finance, as it bridges theoretical models with practical applications in the financial markets.

  • Derivatives
  • Quantitative finance
  • FX

Exotic Derivatives Pricing and Hedging

Michael G. Buehler · 2006 · John Wiley & Sons

This comprehensive volume addresses the pricing and hedging of exotic derivatives, providing practitioners with essential quantitative techniques and frameworks. It covers a range of derivative instruments and their applications in financial markets, making it a vital resource for quants and structurers.

  • Derivatives
  • Quantitative finance

Numerical Methods in Finance

Paolo Brandimarte · 2006 · John Wiley & Sons

Numerical Methods in Finance by Paolo Brandimarte explores quantitative techniques for financial derivatives, covering essential numerical methods for valuation and risk management. The text emphasizes practical applications, enabling finance professionals to implement these techniques effectively.

  • Quantitative methods
  • Risk management
  • Derivatives

The Volatility Surface: A Practitioner's Guide

Jim Gatheral · 2006 · John Wiley & Sons

This comprehensive guide delves into the intricacies of the volatility surface, a critical concept in derivatives pricing and risk management. It offers practitioners insights into the mathematical models and quantitative methods used to understand and navigate market behaviours.

  • Volatility
  • Quantitative methods
  • Derivatives

Structured Products Volume 2

Equity, Commodity, Credit and New Markets

Satyajit Das · 2006 · John Wiley & Sons

Second volume of Das's structured products series covering equity, commodity, credit, and new markets, with a focus on cross-asset hybrids and correlation products.

  • Structured products
  • Derivatives

Volatility and Correlation: The Perfect Hedger and the Fox

2nd Edition

Riccardo Rebonato · 2004 · John Wiley & Sons

This book delves into the intricate relationship between volatility and correlation within the context of derivatives and fixed income markets. It serves as a comprehensive guide for analysts and risk managers seeking to understand and apply quantitative finance principles in their work.

  • Derivatives
  • Quantitative finance
  • Fixed income

Monte Carlo methods in financial engineering

Paul Glasserman · 2004 · Springer

This book covers Monte Carlo methods as applied to financial engineering, focusing on derivative securities and their pricing. It serves as a comprehensive resource for practitioners looking to implement these techniques in financial markets.

  • Quantitative methods
  • Derivatives

Synthetic CDOs: Theory and Practice

Satyajit Choudhry · 2004 · Butterworth Heinemann

Synthetic CDOs: Theory and Practice offers an in-depth exploration of synthetic collateralised debt obligations, focusing on their theoretical foundations and practical applications within the derivatives and credit markets. This comprehensive text is essential for practitioners involved in structuring and trading these complex financial instruments.

  • Credit
  • Derivatives
  • Securitization

Complex Derivatives

Erik Banks · 2004 · Palgrave Macmillan

Desk-oriented guide to TARFs, accumulators, range accruals, and other complex payoff structures in derivatives and structured products.

  • Derivatives
  • Structured products

Pricing Credit-Default Swaps

Darrell Duffie · Mark Garleanu · 2003 · John Wiley & Sons

This comprehensive text delves into the pricing mechanisms of credit-default swaps (CDS), a pivotal instrument in modern financial markets. It offers quantitative methodologies tailored for practitioners, focusing on the intricacies of credit derivatives and their applications in risk management and trading strategies.

  • Credit
  • Derivatives
  • Quantitative finance

Foreign Exchange Risk: Models, Instruments and Strategies

Jürgen Hakala · Uwe Wystup · 2002 · Risk Books

This comprehensive text delves into the intricacies of foreign exchange risk, exploring various models, instruments, and strategies essential for effective risk management. It is particularly relevant for professionals engaged in FX trading and analysis, providing a robust framework for understanding and mitigating currency risk.

  • FX
  • Derivatives
  • Risk management

Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach

Alexander Lipton · 2001 · World Scientific

This text offers a comprehensive exploration of mathematical methods specifically tailored for the foreign exchange market, focusing on the quantitative techniques employed by financial engineers. It covers a range of derivatives and their applications within FX, making it essential for practitioners seeking to enhance their analytical capabilities.

  • FX
  • Derivatives
  • Quantitative finance
Classic

Credit Derivatives: A Guide to Instruments and Applications

Janet M. Tavakoli · 2001 · John Wiley & Sons

This comprehensive guide explores the intricate world of credit derivatives, detailing the various instruments and their applications in financial markets. It serves as an essential resource for traders, analysts, and structurers seeking to deepen their understanding of credit risk management.

  • Credit
  • Derivatives
Classic

When Genius Failed

Roger Lowenstein · 2001 · Random House

LTCM and the limits of models.

  • Risk management
  • Market memoirs
  • Derivatives

Structured Products and Hybrid Securities

2nd Edition

Satyajit Das · 2001 · John Wiley & Sons

Structured Products and Hybrid Securities provides an in-depth examination of complex financial instruments, focusing on their structure, valuation, and risk management. This edition covers various derivatives and fixed income products, making it essential for professionals involved in trading and portfolio management.

  • Derivatives
  • Fixed income
  • Risk management
Classic

Stochastic Volatility Modeling

Jean-Pierre Fouque et al. · 2000 · Chapman And Hall

Stochastic Volatility Modeling provides a comprehensive framework for understanding and applying stochastic volatility models in quantitative finance. The book covers essential mathematical tools and methodologies for pricing derivatives and managing risk in financial markets.

  • Derivatives
  • Quantitative finance

Pricing, Hedging and Trading Exotic Options

Israel Nelken · 2000 · McGraw-Hill

This comprehensive guide delves into the intricacies of pricing, hedging, and trading exotic options, focusing on their application in the FX and derivatives markets. It serves as an essential resource for traders and analysts seeking to enhance their understanding of complex financial instruments.

  • Derivatives
  • FX

Futures, Options, and Swaps

Robert W. Kolb · 1999 · John Wiley & Sons

Accessible textbook treatment of futures, options, and swaps with foundations in hedging and pricing, oriented toward risk management applications.

  • Derivatives
  • Risk management
Classic

An Introduction to Derivatives: Pricing and Hedging

Rebonato Riccardo · 1998 · MIT Press

This comprehensive text provides a detailed exploration of derivative pricing and hedging strategies, focusing on quantitative finance methodologies. It serves as a foundational resource for practitioners seeking to understand the complexities of derivatives in financial markets.

  • Derivatives
  • Quantitative finance