Quant Finance Books

All books (page 5 of 5)

Risk Management

• Credit risk pricing models — Bernd Schmid (2010)
• Credit Risk: Modeling, Valuation and Hedging — Tomasz R. Bielecki, Marek Rutkowski (2010)
• Derivatives and Internal Models — Hans-Peter Deutsch (2003)
• Derivatives, risk management & value — Mondher Bellalah (2010)
• Derivatives: Markets, Valuation, and Risk Management — Robert E. Whaley (2006)
• Extreme Financial Risks: From Dependence to Risk Management — Yannick Malevergne, Didier Sornette (2006)
• Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab — Jon Danielsson (2012)
• Financial Risk in Insurance — G. Ottaviani (2000)
• Financial Risk Management and Derivative Instruments — Michael Dempsey (2021)
• Financial risk management with Bayesian estimation of GARCH models — David Ardia (2008)
• Financial Risk Management: An End User Perspective — Don M. Chance (2019)
• Financial Risk Management: models, history, and institution — Allan M. Malz (2011)
• Financial Risk Modelling and Portfolio Optimization with R — Bernhard Pfaff (2012)
• Frontiers in quantitative finance: Volatility and Credit Risk Modeling — Rama Cont (2008)
• Handbook of Financial Risk Management — Thierry Roncalli (2020)
• Handbook of Quantitative Finance and Risk Management — Cheng-Few Lee, Alice C. Lee, John Lee (2010)
• Hypermodels in Mathematical Finance: Modelling via Infinitesimal Analysis — Siu-Ah Ng (2003)
• Innovations in Quantitative Risk Management — Kathrin Glau, Matthias Scherer, Rudi Zagst (2015)
• Interest Rate Management — Rudi Zagst (2002)
• Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures, and Valuation — Frank J. Fabozzi, Steven V. Mann (2001)
• Introduction to Insurance Mathematics — Annamaria Olivieri, Ermanno Pitacco (2011)
• Introduction to the Mathematics of Finance: From Risk Management to Options Pricing (Undergraduate Texts in Mathematics) — Steven Roman (2004)
• Life Insurance Risk Management Essentials — Michael Koller (2011)
• Managing credit risk — John B. Caouette, Edward I. Altman, Paul Narayanan, Robert Nimmo (2007)
• Market Risk and Financial Markets Modeling — Didier Sornette, Sergey Ivliev, Hilary Woodard (2012)
• Mathematical Risk Analysis — Ludger Rüschendorf (2013)
• Mathematics And Statistics For Financial Risk Management — Michael B. Miller (2012)
• Measuring market risk — Kevin Dowd (2002)
• Model Risk in Financial Markets: From Financial Engineering to Risk Management — Radu Tunaru (2015)
• Modélisation et évaluation Quantitative des Risques en Actuariat — Etienne MARCEAU, Yadolah DODGE (2013)
• Modelling, pricing, and hedging counterparty credit exposure — Giovanni Cesari (2009)
• Pricing Derivative Credit Risk — Manuel Ammann (1998)
• Principles of financial engineering — Robert Kosowski, Salih N. Neftci (2004)
• Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market — Bin Li, Yi Tang (2007)
• Quantitative Finance and Risk Management: A Physicist's Approach — Jan W. Dash (2004)
• Risk finance and asset pricing: Value, Measurements, and Markets — Charles S. Tapiero (2010)
• Risk Management: Value at Risk and Beyond — M. A. H. Dempster (2001)
• Risk-adjusted lending conditions: An Option Pricing Approach — Werner Rosenberger (2002)
• SABR and SABR LIBOR Market Models in Practice — Christian Crispoldi, Gérald Wigger, Peter Larkin (2015)
• Simulation techniques in financial risk management — Ngai Hang Chan (2006)
• Statistical Analysis Of Financial Data In R — Rene Carmona (2013)
• Statistics of financial markets — Jürgen Franke, Wolfgang Härdle, Christian M. Hafner (2004)
• Statistics of Financial Markets — Ju rgen Franke (2008)
• Stochastic Models in Life Insurance — Michael Koller (2012)
• Stochastic optimization in insurance — Pablo Azcue (2014)
• The LIBOR market model in practice — Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk (2006)
• The Oxford guide to financial modeling: Applications far Capital Markets, Corporate Finance, Risk Management, and Financial Institutions — Thomas S. Y. Ho, Sang Bin Lee (2003)
• The valuation of interest rate derivative securities — J. F. J. de Munnik (1992)
• The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and Capital — Jon Gregory (2015)
• Theoretical Foundations for Quantitative Finance — Luca Spadafora, Gennady P. Berman (2017)
• Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management — Jean-Philippe Bouchaud, Marc Potters (2003)
• Valuation of Interest Rate Derivative Securities — Jeroen F. J. De Munnik (2005)

Statistical Arbitrage

• A Machine Learning based Pairs Trading Investment Strategy — Simão Moraes Sarmento, Nuno Horta (2020)
• Alpha trading: Profitable Strategies That Remove Directional Risk — Perry J. Kaufman (2011)
• Handbook of Pairs Trading: Strategies Using Equities, Options, and Futures — Douglas S. Ehrman (2006)
• Pairs Trading — Joseph Benning (2010)
• Pairs Trading — Mathias Eickholt (2011)
• Statistical Arbitrage: Algorithmic Trading Insights and Techniques — Andrew Pole (2007)
• Test of the Market Efficiency Using Statistical Arbitrage Strategies in the KRX Equity Market — Chang Park (2015)
• Trading Pairs + CD — Mark Whistler (2004)

Stochastic Calculus

• Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications — ukasz Delong (2013)
• Derivative Security Pricing: Techniques, Methods and Applications — Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos (2015)
• Forward-backward stochastic differential equations and their applications — Jin Ma, Jiongmin Yong (1999)
• From elementary probability to stochastic differential equations with Maple — Sasha Cyganowski (2002)
• From Stochastic Calculus to Mathematical Finance — Yu Kabanov, R. Liptser, J. Stoyanov, Yuri Kabanov (2006)
• Introduction to Option Pricing Theory — Gopinath Kallianpur, Rajeeva L. Karandikar (2000)
• Introduction to stochastic calculus for finance — Dieter Sondermann (2006)
• Malliavin Calculus and Stochastic Analysis — Frederi Viens (2013)
• Methods of mathematical finance — Ioannis Karatzas, Steven E. Shreve (1998)
• Numerical Solution of Stochastic Differential Equations — Peter E. Kloeden, Eckhard Platen (1992)
• Optimality and Risk: Modern Trends in Mathematical Finance — Freddy Delbaen (2009)
• Selected Aspects of Fractional Brownian Motion — Ivan Nourdin (2012)
• Stochastic Analysis And Applications To Finance — Tusheng Zhang (2012)
• Stochastic Calculus and Financial Applications — J. Michael Steele (2000)
• Stochastic calculus for finance — Steven E. Shreve (2004)
• Stochastic Calculus for Finance — Marek Capinski, Ekkehard Kopp, Janusz Traple (2012)
• Stochastic Calculus for Finance I: The Binomial Asset Pricing Model — Steven Shreve (2005)
• Stochastic calculus for fractional Brownian motion and applications — Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang (2008)
• Stochastic calculus of variations in mathematical finance — P. Malliavin (2006)
• Stochastic Calculus of Variations in Mathematical Finance — Paul Malliavin, Anton Thalmaier (2006)
• Stochastic Differential Equations in Infinite Dimensions: with Applications to Stochastic Partial Differential Equations — Leszek Gawarecki, Vidyadhar Mandrekar (2010)

Time Series Analysis

• Econometric modelling of financial time series — T. C. Mills (1995)
• Introduction to Modern Time Series Analysis — Gebhard Kirchgässner (2007)
• MAXDATA — Wilhelm A. Hennerkes (1990)
• Modeling financial time series with S-Plus — Eric Zivot, Jiahui Wang (2004)
• Modeling Financial Time Series with S-PLUS® — Eric Zivot, Jiahui Wang (2007)
• Modelling Financial Time Series — Taylor, Stephen (1986)
• Predictions in Time Series Using Regression Models — Frantisek Stulajter (2002)
• Robustness In Statistical Forecasting — Y. Kharin (2013)
• State-Space Models: Applications in Economics and Finance — Yong Zeng, Shu Wu (2013)
• The Econometric Modelling of Financial Time Series — Terence C. Mills (1993)
• The Econometric Modelling of Financial Time Series — Terence C. Mills, Raphael N. Markellos (1999)

Unclassified

• Arbitrage, credit and informational risks — Caroline Hillairet, Monique Jeanblanc, Ying Jiao (2014)
• Bayesian Methods in Finance — S. T. Rachev (2008)
• Computational Methods in Economic Dynamics — Herbert Dawid, Willi Semmler (2011)
• Financial analysis and modeling using Excel and VBA — Chandan Sengupta (2010)
• Finding Alphas: A Quantitative Approach to Building Trading Strategies — Igor Tulchinsky (2015)
• Introduction au calcul stochastique appliqué à la finance — Damien Lamberton, Bernard Lapeyre (1996)
• Introduction to C++ for Financial Engineers — Daniel J. Duffy (2006)
• Modeling Maximum Trading Profits with C++: New Trading and Money Management Concepts — Valerii Salov (2007)