Models, pricing, and computational methods.
36 published titles · Same filter in catalogue
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Shelf notes for books in this topic.
A comprehensive guide on algorithmic adjoint differentiation and parallel simulations in finance.
This volume focuses on building professional derivative scripting systems with an emphasis on xVA applications.
The Mathematics of Financial Derivatives
Cambridge-flavoured path from trees to Black–Scholes PDEs with exercises—rigorous for its length, dated on modern vol and funding detail.
Modelling Single-name and Multi-name Credit Derivatives
Dense, dealer-era quant manual on CDS through tranches—essential lineage reading if not a live map of 2025 flow.
This work addresses the complexities of funding and capital valuation adjustments in global financial markets post-2008.
Value at Risk: The New Benchmark for Managing Financial Risk
This work serves as an industry standard reference on Value at Risk methodologies.
This work serves as a comprehensive guide to econometric time series methods.
The Volatility Surface: A Practitioner's Guide
A comprehensive examination of volatility dynamics in derivatives trading.
This work discusses the limitations of the Black-Scholes model in the context of derivatives trading.
The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
This book chronicles the rise of quantitative finance and its impact on Wall Street.
The Greeks: A Comprehensive Reference on Option Pricing
This work offers an in-depth exploration of the Greeks in option pricing.
The Garman-Kohlhagen Model for Foreign Currency Options
This work presents a foundational model for pricing foreign currency options.
Term Structure Models - A Graduate Course
This text offers an advanced mathematical exploration of yield curve models and term structure dynamics.
Stochastic Volatility Modeling
This book serves as an advanced reference on stochastic volatility models, particularly focusing on SABR and CEV.
Reinforcement Learning: An Introduction
This text serves as a thorough reference for reinforcement learning methods and their applications in various fields.
Quantitative Finance with Python: An Object-Oriented Approach
This book provides an object-oriented approach to quantitative finance using Python.
Python for Finance: Mastering Data-Driven Finance
A practical guide to using Python for financial data analysis and visualisation.
This work provides a mathematical framework for valuing credit-default swaps.
Order Flow: The Price Impact of Trading
This work focuses on the dynamics of order flow and its implications for market behaviour.
A technical reference on computational methods for financial derivatives.
Modern Derivatives Pricing and Credit Exposure Analysis
This work provides a comprehensive examination of counterparty valuation adjustments and modern pricing frameworks in derivatives.
Market Impact Models and the Implementation of Portfolio Trades
A quantitative framework for understanding market impact and execution costs.
This book explores the application of machine learning techniques in trading environments.
This textbook serves as a comprehensive resource on derivatives, including options, futures, and exotic derivatives.
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.
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.
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.
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.
Barry Johnson · 2010 · John Wiley & Sons
Execution, algorithms, and market access mechanics.
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.
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.
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.
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.
David Lando · 2004 · Princeton University Press
Theoretical and applied credit risk.
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.
Robert L. McDonald · 2012 · Pearson
Rigorous alternative framing to core derivatives curricula.
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.
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.
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.
Martin Baxter · Andrew Rennie · 1996 · Cambridge University Press
Martingale approach to derivative pricing.
Iain J. Clark · 2010 · John Wiley & Sons
Advanced FX options pricing and models.
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.
Irene Aldridge · 2013 · John Wiley & Sons
HFT strategies and infrastructure overview.
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.
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.
Damiano Brigo · Fabio Mercurio · 2006 · Springer
Advanced interest-rate modelling for quants.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
Global edition
John C. Hull · 2021 · Pearson
The standard graduate-level derivatives text.
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.
Paul Wilmott · 2007 · John Wiley & Sons
Accessible quant entry across instruments and models.