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
Damiano Brigo · Fabio Mercurio · 2006 · Springer
This comprehensive text on interest rate models delves into both theoretical frameworks and practical applications, making it essential for practitioners in quantitative finance. Covering a wide range of derivatives and quantitative techniques, it serves as a vital resource for traders and quants focused on interest rate instruments.
A Practical Guide to Swaps
J. Hamish M. Darbyshire · 2022 · Aitch & Dee
A swaps trader’s bridge from curve building to book management: plain-vanilla and cross-currency IR swaps, risk, funding/CSA colour, and the distance between classroom models and how desks actually work. Third-edition material includes practical Python illustrations alongside the narrative.
Scripting for Derivatives and xVA
Antoine Savine · Jesper Andreasen · 2021 · John Wiley & Sons
Second volume: building professional derivative scripting systems—cash-flow representation, branching, American Monte Carlo hooks, and how scripting supports xVA-style portfolio interrogation. Written for quant devs and library architects who must ship maintainable payoff DSLs.
Global edition
John C. Hull · 2021 · Pearson
The standard graduate-level derivatives text.
Dylan Toscano · 2018 · John Wiley & Sons
This book provides an in-depth exploration of quantitative finance through an object-oriented programming lens using Python. It covers essential topics such as derivatives and quantitative methods, making it suitable for practitioners in finance and technology.
Lipton & Sepp · 2018 · World Scientific
This comprehensive text delves into the intricacies of modern derivatives pricing and the analysis of credit exposure. It is tailored for professionals in risk management and quantitative finance, providing a robust framework for understanding the valuation of derivatives in the context of credit risk.
AAD and Parallel Simulations
Antoine Savine · Leif B. G. Andersen · 2018 · John Wiley & Sons
Institutional quant text on algorithmic adjoint differentiation (AAD), parallel Monte Carlo, and implementation-minded pricing/risk—written by practitioners who shipped large bank systems. Pairs naturally with scripting and xVA volumes for a full modern computational stack.
John C. Hull · 2018 · John Wiley & Sons
John C. Hull's 'Introduction to Derivatives' is a comprehensive resource for understanding derivatives in the context of quantitative finance. This intermediate-level text covers a wide array of derivative instruments, including options, futures, and swaps, while emphasising the mathematical models and risk management techniques used in their valuation and trading.
Financial Stability Board · 2017 · Fsb
This publication from the Financial Stability Board explores the evolving landscape of collateral management within the context of central clearing. It focuses on regulatory developments and their implications for risk management practices in derivatives markets.
2nd Edition
Uwe Wystup · 2017 · John Wiley & Sons
FX Options and Structured Products, Second Edition, by Uwe Wystup, provides an advanced exploration of non-vanilla FX options strategies and structured products. This comprehensive resource is designed for traders, analysts, and risk managers seeking to deepen their understanding of the FX derivatives market through practical case studies and exercises.
Christian Bluhm et al. · 2016 · Chapman And Hall
This comprehensive text provides a detailed exploration of credit risk modelling, focusing on the quantitative methods and techniques used in the assessment and management of credit risk. It is particularly relevant for professionals involved in derivatives and credit markets.
Emanuel Derman · Michael B. Miller · 2016 · John Wiley & Sons
The Volatility Smile delves into the intricacies of option pricing and the phenomena of volatility smiles in derivatives markets. It offers quantitative insights essential for traders and quants navigating complex financial instruments.
Cartea et al. · 2015 · MIT Press
This comprehensive overview of algorithmic and high-frequency trading delves into market microstructure and the quantitative methods that underpin these trading strategies. It is designed for practitioners seeking to understand the intricacies of derivatives and the technological frameworks that support high-speed trading operations.
3rd Edition
Jon Gregory · 2015 · John Wiley & Sons
The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital offers a comprehensive exploration of counterparty credit risk and its associated financial adjustments. This third edition provides practical insights into the latest regulatory frameworks and market practices, focusing on critical xVA terms such as CVA, DVA, and FVA.
Updated Edition
Sheldon Natenberg · 2015 · McGraw-Hill
Sheldon Natenberg's 'Option Volatility and Pricing' is an essential resource for practitioners in the fields of FX and derivatives trading. This updated edition provides advanced trading strategies and risk management techniques crucial for navigating the complexities of option markets.
Giles Jewitt · 2015 · John Wiley & Sons
A teaching-first tour of FX options and related derivatives: vocabulary, intuition, and workbook-style drills rather than a cutting-edge vol-surface engineering manual. Best for learners building confidence; experienced FX vol desks should treat it as revision or training material, not a primary reference.
Michael Cohen · 2015 · John Wiley & Sons
Options Trading: A Crash Course provides an accessible yet thorough introduction to the world of options trading. Covering essential strategies and concepts, this book is aimed at traders and analysts looking to enhance their understanding of derivatives and equities.
John C. Hull · 2015 · John Wiley & Sons
Institutional risk management alongside derivatives literacy.
Revised Edition
Alexander J. McNeil et al. · 2015 · Princeton University Press
This revised edition of 'Quantitative Risk Management' offers an extensive exploration of theoretical concepts and modelling techniques essential for effective risk management. It addresses market, credit, and operational risk, providing practical tools for analysts and risk managers to tackle real-world challenges.
Kenneth D. Campbell · 2015 · John Wiley & Sons
This comprehensive text delves into the Dodd-Frank Act's impact on derivatives regulation, providing a thorough examination of the concepts and codes that shape the current regulatory landscape. It is particularly relevant for traders, compliance professionals, and legal experts navigating this complex framework.
Funding and Capital Valuation Adjustments: A Continuing Challenge for Global Financial Markets
Damiano Brigo et al. · 2013 · John Wiley & Sons
This comprehensive volume addresses the complexities of funding and capital valuation adjustments (xVA) in the context of credit derivatives. It serves as a critical resource for professionals navigating the challenges of valuation in global financial markets.
Alan S. Blinder · 2013 · Center On Budget
This work by Alan S. Blinder provides a comprehensive analysis of quantitative easing (QE) and its implications for central banking in the aftermath of the financial crisis. It delves into the mechanisms of QE, its effectiveness, and the broader economic policies that have emerged in response to the crisis.
Philip Bennett · 2013 · Butterworth Heinemann
This comprehensive guide explores the mechanics and applications of currency forwards and options, essential tools in the FX derivatives market. Designed for treasurers and corporate finance professionals, it delves into practical strategies for managing currency risk through these instruments.
A Continuing Challenge for Global Financial Markets, 2nd Edition
Jon Gregory · 2012 · John Wiley & Sons
This book provides a comprehensive examination of counterparty credit risk and credit value adjustment, essential for understanding the challenges faced by global financial markets. It addresses the evolution of counterparty risk management practices and the implications for financial institutions.
Sinclair Colin · 2012 · John Wiley & Sons
Volatility Trading by Colin Sinclair provides an in-depth exploration of volatility as a financial instrument, essential for traders and quants. This comprehensive guide covers the strategies and methodologies for trading volatility, including the use of derivatives and risk management techniques.
Robert L. McDonald · 2012 · Pearson
Rigorous alternative framing to core derivatives curricula.
5th Edition
Lawrence G. McMillan · 2012 · Prentice Hall
Options as a Strategic Investment is a comprehensive guide for practitioners in the derivatives market, focusing on the strategic use of options in investment portfolios. The book covers various strategies, risk management techniques, and the underlying principles of options trading, making it essential for traders, analysts, and portfolio managers.
3rd Edition
David F. DeRosa · 2011 · John Wiley & Sons
This comprehensive guide delves into the intricacies of options on foreign exchange, providing essential insights for practitioners in the FX derivatives market. It covers pricing models, risk management strategies, and the application of these instruments in various trading scenarios.
Chance Don M. · 2011 · John Wiley & Sons
This comprehensive text on structured products delves into their analysis, valuation, and strategic applications within the financial markets. It is particularly relevant for professionals engaged in derivatives and equities, providing insights into the complexities of these instruments.
Jon Gregory · 2010 · John Wiley & Sons
This comprehensive volume addresses the intricacies of counterparty risk and credit valuation adjustment (CVA) within global financial markets. It delves into the methodologies and regulatory frameworks that shape risk management practices, particularly in derivatives trading.
Bond Risk Management · 2010 · Risk Books
This handbook provides an in-depth exploration of callable bonds, focusing on their valuation and risk assessment. It is particularly relevant for traders and portfolio managers engaged in fixed income markets, offering insights into numerical methods for pricing these complex instruments.
Christian Bluhm · Ludger Overbeck · 2010 · Butterworth Heinemann
This comprehensive guide delves into the intricacies of basket and tranche securities, focusing on their structure, pricing, and risk management. It serves as a vital resource for practitioners involved in derivatives and credit markets, offering insights into the mechanics of these complex financial instruments.
Claudi Nattermann · 2010 · Risk Books
This comprehensive reference on option pricing delves into the Greeks, essential metrics for understanding the sensitivity of options to various market factors. It addresses the quantitative methods used in derivatives pricing, making it a valuable resource for traders and risk managers alike.
Iain J. Clark · 2010 · John Wiley & Sons
Advanced FX options pricing and models.
Antonio Castagna · 2010 · John Wiley & Sons
FX options pricing and volatility surface practice.
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.