Models, pricing, and computational methods.
22 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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
Gregory Zuckerman · 2019 · Random House
Renaissance and quantitative investing narrative.
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.
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.
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.
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.
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.
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.
Philippe Jorion · 2006 · McGraw-Hill
Industry-standard VaR reference.
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
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.
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.