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.
22 titles match these filters
Philippe Jorion · 2007 · McGraw-Hill
Philippe Jorion's 'Value at Risk' provides a comprehensive framework for understanding and implementing Value at Risk (VaR) as a pivotal tool in financial risk management. The book delves into quantitative methods and their application in various financial contexts, making it essential for professionals in trading and risk management.
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.
Philippe Jorion · 2006 · McGraw-Hill
Industry-standard VaR reference.
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.
Yoshitaka Yamai · Hiroshi Yoshiba · 2005 · Boj
This concise volume explores the concept of expected shortfall as a key performance measure in risk management. It provides practitioners with quantitative insights into assessing risk exposure and performance evaluation.
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.
David Lando · 2004 · Princeton University Press
Theoretical and applied credit risk.
Almgren & Chriss · 2003 · Risk Books
Market Impact Models and the Implementation of Portfolio Trades provides a comprehensive exploration of market microstructure and quantitative finance, focusing on the effects of trading on market prices. The authors, Almgren and Chriss, delve into the mathematical modelling of trading strategies and their implications for execution and portfolio management.
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.
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.
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.
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.
Paul Embrechts et al. · 1997 · Springer
This comprehensive text delves into the modelling of extremal events, focusing on their implications for both insurance and finance. It integrates theoretical foundations with practical applications, making it a vital resource for professionals in risk management and quantitative finance.
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.
James D. Hamilton · 1994 · Princeton University Press
Time Series Analysis by James D. Hamilton offers a comprehensive exploration of time series econometrics, focusing on methodologies that are essential for quantitative finance and macroeconomic research. The text is designed for practitioners, providing in-depth coverage of models and techniques applicable to real-world data analysis.
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.