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Frequently Asked Questions in
Quantitative Finance |
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Paul Wilmott |
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2007 |
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This small paperback is full of random information
relating to quantitative finance. There is a FAQ answering questions
like "why do quants like closed-form solutions?" or "what is
cointegration?" Another section gives various option pricing formulas.
Another offers ten derivations of the Black-Scholes formula. A section
of brain teasers asks "where should armor be placed on a
bomber?" Without an index or any attempt to be comprehensive, the book
is strictly for browsing ...
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Futures, Options and Swaps |
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Kolb is a standard introduction to derivatives and financial
engineering in the capital markets. It covers financial futures, swaps, options
and exotics in depth. Compared to a book such as Hull (2005),
it is ... Read more |
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Complete Guide to
Option Pricing Formulas |
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This reference is a treasure trove of derivatives pricing formulas. Coverage
is expansive with analytic and numerical solutions detailed for vanillas,
ratchets, choosers, extendible options, rainbows, lookbacks, barriers, Asians,
interest rate options, ... Read more |
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Understanding Arbitrage
An Intuitive Approach to Financial Analysis |
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Randall Billingsley |
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2006 |
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You have heard of pre-calculus? Think of this book as
like pre-financial engineering for readers who plan to go no further. It
focuses on the concept of arbitrage conditions—cost-of-carry, put-call
parity, interest rate parity—leading up to a simplistic discussion of
options pricing with binomial trees. A closing chapter discusses the
irrelevance of corporate capital structure ...
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Paul Wilmott on Quantitative Finance |
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Early in his
career, Paul Wilmott was a university professor. He made a name for himself when
he teamed up with Dewynne and Howison to publish a (1993)
book on derivatives pricing that took the financial engineering world by
storm. That book didn't present new theories so much as describe in
practical but rigorous terms how the emerging theories of financial
engineering should be used on a trading floor to price exotic
derivatives ... Read more |
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Options, Futures and Other Derivatives |
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Hull has long been the standard
introduction to financial engineering. I doubt there is a trading floor
in the world that doesn't have a copy, worn and dog-eared, passed from
one trading station to the next ...
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Principles of
Financial Engineering |
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Author Neftci is
well known for his earlier (2000)
book Introduction to the Mathematics of Financial Derivatives. He is now
back with another book ostensibly about the same topic. What has changed? The
answer is mathematics. The earlier book is an intuitive, non-rigorous
introduction to the sophisticated mathematics of financial
engineering ... Read more |
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The Oxford Guide to
Financial Modeling |
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Thomas Ho and Sang Bin Lee |
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2004 |
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Professors Ho and
Lee are authors of the famous Ho and Lee interest rate model. Both have had long
and illustrative careers as academics and practitioners. As one might expect,
they have much to say about finance, and that is evident in the physical heft of
this book. Weighing 3.3 pounds, it is packed with information. Targeting
primarily a university audience, the book is positioned as an alternative to
Hull's (2002) aging classic ...
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Stochastic Calculus for Finance
Volume 1 |
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Steven Shreve is a
mathematics professor at Carnegie-Mellon University who has a reputation
for co-authoring impenetrable texts on stochastic calculus and financial
engineering. This is his most penetrable effort to date, so it may be
worth checking out. The book is the first in a two-volume introduction
to financial engineering that ...
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Mathematical Techniques In Finance
Tools for Incomplete Markets |
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A focus of considerable
financial engineering research during the 2000s is incomplete markets.
The notion that markets are complete was a convenient lie that
facilitated much of financial engineering during decades past. It
allowed financial engineers to
... Read more |
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Derivatives Markets |
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McDonald is a
competitor for Hull's (2005)
classic introductory text on financial engineering. It is similar to
Hull in that it emphasizes financial engineering theory over
practicalities of actual markets ...
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Mathematics for Finance
An Introduction to Financial Engineering |
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M. Capinski and T. Zastawniak |
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2003 |
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This is a formal
introduction to financial engineering that uses a
definition-theorem-proof format. Interestingly, the book uses only
elementary mathematics, making it accessible to second or third year
university students. For the most part, the authors employ just
pre-calculus and basic probability theory ...
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Black-Scholes and Beyond:
Option Pricing Models |
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Chriss is the definitive non-technical introduction to option
pricing theory and financial engineering. While other elementary books may
oversimplify to achieve accessible explanations, Chriss does not. He uses
mathematics as necessary, but stops short of using any calculus. Also,
he is careful to explain basic concepts such ...
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