Pricing, models, machine learning, and analytics for markets.
11 published titles · Same filter in catalogue
Shelf notes for books in this topic.
Understanding and Managing Model Risk
A practical guide to model risk for quants, traders, and validators.
Random Number Generation and Monte Carlo Methods
This work provides a statistical computing foundation for Monte Carlo simulation used in derivative pricing and risk engines.
Modelling Measuring and Hedging Operational Risk
This book serves as a practitioner guide to operational risk loss distributions, capital allocation, and hedging frameworks.
Monte Carlo methods in financial engineering
This book covers Monte Carlo methods as applied to financial engineering, focusing on derivative securities and their pricing.
Empirical Market Microstructure
This book addresses the institutions, economics, and econometrics involved in securities trading.
This work addresses the complexities of funding and capital valuation adjustments in global financial markets post-2008.
This book offers practical wisdom on volatility trading with a focus on market realities.
The Volatility Surface: A Practitioner's Guide
A comprehensive examination of volatility dynamics in derivatives trading.
A technical reference on computational methods for financial derivatives.
Emerging Markets: The Practice of Trading and Managing Currency Risk
This work provides insights into the dynamics of currency trading in emerging markets.
Credit Risk Modeling: Theory and Application
This work offers a comprehensive examination of credit risk models.
Michel Crouhy et al. · 2000 · John Wiley & Sons
This comprehensive volume on credit risk modeling provides an in-depth exploration of both theoretical frameworks and practical applications. It covers essential methodologies for assessing credit risk, making it a crucial resource for practitioners in risk management and quantitative analysis.
Valerie Yalta · 2014 · John Wiley & Sons
This comprehensive guide focuses on the intricacies of trading and managing currency risk in emerging markets. It provides practical insights and methodologies tailored for traders and fund managers navigating these dynamic environments.
The Institutions, Economics, and Econometrics of Securities Trading
Joel Hasbrouck · 2007 · Oxford University Press
This book addresses the institutions, economics, and econometrics involved in securities trading, providing insights into market microstructure. It is oriented toward professionals seeking to understand the complexities of trading mechanisms and price formation in financial markets.
Marcelo G. Cruz · 2002 · John Wiley & Sons
Practitioner guide to operational risk loss distributions, capital allocation, and hedging frameworks.
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.
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.
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.
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.
Massimo Morini · 2011 · John Wiley & Sons
Practical guide to model risk for quants, traders, and validators covering pricing model governance and reserves.
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 guide covers strategies and methodologies for trading volatility, including the use of derivatives and risk management techniques.
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.