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.
36 titles match these filters
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.
Edward I. Altman · Edith Hotchkiss · 2006 · John Wiley & Sons
Fallen Angels and Rising Stars provides a comprehensive analysis of credit rating changes and their impact on investment strategies. The authors, Edward I. Altman and Edith Hotchkiss, explore the dynamics of credit markets, focusing on how shifts in ratings can signal opportunities for investors and analysts alike.
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.
Michel Crouhy et al. · 2006 · John Wiley & Sons
This comprehensive guide addresses the intricacies of managing market and credit risk within treasury operations. It provides practical insights and methodologies essential for treasurers and risk managers navigating complex financial landscapes.
Tim Weithers · 2006 · John Wiley & Sons
Practitioner-oriented FX markets overview.
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 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.
Benjamin Graham · 2006 · Collins Business
The Intelligent Investor is a foundational text on value investing, authored by Benjamin Graham. This comprehensive guide covers essential principles of stock market investing, focusing on the importance of a disciplined approach to selecting undervalued equities.
Richard K. Lyons · 2006 · MIT Press
Landmark FX microstructure 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.
Philippe Jorion · 2006 · McGraw-Hill
Industry-standard VaR reference.
Nier & Baumann · 2006 · Imf
This work presents a mechanism-based approach to understanding systemic risk within financial systems. It provides insights into how interconnectedness and feedback loops can amplify risks, making it essential for risk managers and policymakers.
Gopal Laryea · Giovanni Majnoni · 2006 · World Bank
This book provides an in-depth analysis of credit risk transfer mechanisms through securitization, exploring recent developments and their implications for financial markets. It serves as a resource for analysts and risk managers seeking to understand the complexities of securitization in the context of credit risk management.
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.
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.
Frank J. Fabozzi · 2005 · McGraw-Hill
Comprehensive practitioner reference across bond markets.
Sidney Homer · Richard Sylla · 2005 · John Wiley & Sons
A History of Interest Rates provides a comprehensive examination of the evolution of interest rates from ancient times to the present day. Authors Sidney Homer and Richard Sylla explore the interplay between economic conditions and interest rate movements, making it a crucial resource for investors, economists, and historians alike.
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.
Garcia & Leuthold · 2004 · John Wiley & Sons
This comprehensive text delves into the intricacies of agricultural commodities, focusing specifically on corn, wheat, and soybeans. It equips traders and analysts with essential insights into market dynamics, pricing mechanisms, and the factors influencing these key commodities.
David Lando · 2004 · Princeton University Press
Theoretical and applied credit risk.
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.
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.
Erik Banks · 2004 · Palgrave Macmillan
Desk-oriented guide to TARFs, accumulators, range accruals, and other complex payoff structures in derivatives and structured products.
Donald Kaufman · Michael Scott · 2003 · John Wiley & Sons
Financial Contagion explores the mechanisms and implications of risk transmission across financial markets during crises. The authors, Donald Kaufman and Michael Scott, provide insights into market dynamics and the role of risk management in mitigating the effects of contagion.
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.
Ian H. Giddy · 2003 · John Wiley & Sons
Corporate hedging and treasury risk framing.
Lucio Sarno · Mark P. Taylor · 2003 · Cambridge University Press
Academic foundations of exchange rate behaviour.
Burton Malkiel · 2003 · Random House
In 'Predicting Stock Price Movements Using Only Price', Burton Malkiel explores the dynamics of stock price movements through historical price data. This introductory text is aimed at students and investors seeking to understand the fundamental principles behind price prediction in equity markets.
James E. Gentle · 2003 · Springer
Statistical computing foundation for Monte Carlo simulation used in derivative pricing and risk engines, covering random number generation techniques and their applications in various statistical models.
Hersh Shefrin · 2002 · Northwestern University Press
Hersh Shefrin's 'Behavioral Finance: Psychology, Decision-Making, and Markets' delves into the psychological underpinnings of financial decision-making, exploring how cognitive biases affect market dynamics and equity trading. This intermediate-level text is essential for traders, analysts, and investors seeking to understand the interplay between psychology and market behaviour.
Maureen O'Hara · 2002 · MIT Press
A Primer on Market Microstructure by Maureen O'Hara provides an essential introduction to the intricacies of market microstructure, focusing on the mechanisms that underpin trading and price formation. This text is particularly relevant for traders, analysts, and researchers seeking to understand the operational dynamics of financial markets.
Owen F. Harris · 2002 · MIT Press
A Primer on Market Microstructure provides an accessible introduction to the essential concepts and mechanisms that underpin trading environments. It focuses on the behaviour of market participants and the impact of their actions on price formation and liquidity.
Market microstructure for practitioners
Larry Harris · 2002 · Oxford University Press
Institutional view of trading mechanics and market design.