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.
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.
Michael Gorelick · Iman Ozsvald · 2019 · O Reilly
This comprehensive volume delves into high-performance computing (HPC) systems and their applications, particularly in quantitative finance and technology. It covers modern architectures, programming models, and performance optimization techniques essential for practitioners in the field.
Manish Yarats · David Mann · 2019 · Springer
Machine Learning for Trading provides practitioners with a comprehensive guide to applying machine learning techniques in financial trading. The book covers essential quantitative finance concepts and the integration of technology to enhance trading strategies.
Gregory Zuckerman · 2019 · Random House
Renaissance and quantitative investing narrative.
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.
Bender et al. · 2018 · Research Affiliates
This comprehensive review examines equity market anomalies through the lens of behavioural finance, presenting alternative explanations and strategies. It is tailored for practitioners seeking to understand the nuances of market behaviour and its implications for equity investment.
Richard S. Sutton · Andrew G. Barto · 2018 · MIT Press
This comprehensive text on reinforcement learning provides an in-depth exploration of key algorithms and concepts within the field, focusing on both theoretical foundations and practical applications. It covers a range of topics, including online learning algorithms, function approximation, and the intersection of reinforcement learning with psychology and neuroscience.
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.
Yves Hilpisch · 2018 · John Wiley & Sons
This comprehensive guide to Python for finance equips analysts and technologists with the skills needed to harness data-driven techniques in financial contexts. Covering a range of topics from Monte Carlo simulations to portfolio optimisation, the book provides practical examples and frameworks essential for modern quantitative finance.
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.
How I Cracked the Stock Market
Edward Thorp · 2017 · John Wiley & Sons
In 'A Man for All Markets', Edward Thorp recounts his journey from the gaming tables of Las Vegas to the trading floors of Wall Street, sharing insights into quantitative finance and market strategies. This memoir offers a unique perspective on the development of investment techniques that have shaped modern trading.
Ian Goodfellow et al. · 2016 · MIT Press
Deep Learning provides a comprehensive introduction to the field of deep learning, covering essential mathematical concepts, techniques employed in industry, and research perspectives. It addresses various applications, including natural language processing and computer vision, making it a vital resource for analysts in quantitative finance and technology.
Andreas Mueller · 2016 · O Reilly
Advanced Python for Data Science provides a comprehensive guide for practitioners looking to leverage Python in quantitative finance and data analysis. The book covers advanced techniques and libraries essential for data manipulation, statistical analysis, and machine learning applications in finance.
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.
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.
Irene Aldridge · 2013 · John Wiley & Sons
This comprehensive guide delves into high-frequency trading (HFT), offering insights into algorithmic strategies and systems essential for navigating today's dynamic markets. It covers portfolio management techniques, technological advancements, and risk management strategies tailored for traders and quants alike.
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.
Gareth James et al. · 2013 · Springer
An Introduction to Statistical Learning offers a comprehensive overview of statistical learning techniques, essential for analysing complex data sets in various fields including finance. The book covers key topics such as linear regression, classification, and tree-based methods, with practical applications demonstrated using R.
Irene Aldridge · 2013 · John Wiley & Sons
HFT strategies and infrastructure overview.
Robert L. McDonald · 2012 · Pearson
Rigorous alternative framing to core derivatives curricula.
Darrell Duffie · James Aitken · 2012 · MIT Press
Order Flow: The Price Impact of Trading provides an in-depth analysis of market microstructure and the quantitative aspects of trading. Authors Darrell Duffie and James Aitken explore how trading activities affect price formation and market dynamics, making it essential for practitioners in finance.
Federal Reserve · 2011 · Frb
This document provides comprehensive guidance on model risk management, focusing on the identification, assessment, and control of risks associated with the use of models in financial institutions. It is particularly relevant for risk managers and quantitative analysts in middle office roles.
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.
Barry Johnson · 2010 · John Wiley & Sons
Execution, algorithms, and market access mechanics.
Iain J. Clark · 2010 · John Wiley & Sons
Advanced FX options pricing and models.
Scott Patterson · 2010 · John Wiley & Sons
In 'The Quants', Scott Patterson delves into the rise of quantitative finance and its profound impact on Wall Street. The book chronicles the stories of the mathematicians and programmers who revolutionised trading, revealing both their triumphs and the catastrophic risks they introduced to the financial system.
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.
Steven S. Skiena · 2008 · Springer
The Algorithm Design Manual by Steven S. Skiena serves as a comprehensive guide for understanding and applying algorithm design techniques. It covers essential topics such as data structures, dynamic programming, and heuristics, tailored for practitioners in quantitative finance and technology sectors.
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.
Paul Wilmott · 2007 · John Wiley & Sons
Accessible quant entry across instruments and models.