Books
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.
32 titles match these filters
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.
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.
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.
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.
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.
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.
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.
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.
Paul Wilmott · 2007 · John Wiley & Sons
Accessible quant entry across instruments and models.
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.
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.
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.
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.
Damiano Brigo · Fabio Mercurio · 2006 · Springer
Advanced interest-rate modelling for quants.
Paolo Brandimarte · 2006 · John Wiley & Sons
Numerical Methods in Finance by Paolo Brandimarte offers a comprehensive exploration of quantitative techniques applied to financial derivatives. This practitioner-grade text covers essential numerical methods, enabling finance professionals to implement these techniques in real-world scenarios.
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.
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.
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.
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.
Uwe Wystup · Jürgen Hakala · 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.
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.
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.
Roger Lowenstein · 2001 · Random House
LTCM and the limits of models.
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.
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.
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.
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.
Nassim Nicholas Taleb · 1997 · John Wiley & Sons
Options trading and hedging from a practitioner’s perspective.
Martin Baxter · Andrew Rennie · 1996 · Cambridge University Press
Martingale approach to derivative pricing.
A Student Introduction
Paul Wilmott et al. · 1995 · Cambridge University Press
Cambridge undergraduate-style path from binomial trees through Black–Scholes PDEs, hedging arguments, and basic numerical ideas—tighter and more applied than a pure analysis text, ideal as a mathematical spine behind introductory derivatives courses.
Trading and Risk Analysis for the Financial and Commodity Option Markets
Allen Jan Baird · 1992 · John Wiley & Sons
Floor-era option market-making primer: how professional liquidity providers thought about inventory, bid–ask, and spread risk before electronic and HFT dominance—valuable for microstructure intuition, not a handbook for today’s electronic vol markets.
Mark B. Garman · Steven W. Kohlhagen · 1983 · Financial Analysts Journal
The Garman-Kohlhagen Model for Foreign Currency Options presents a comprehensive framework for valuing currency options, integrating essential quantitative finance techniques. This text is particularly relevant for practitioners involved in FX trading and derivatives analysis.