Do you think you have already read everything there is out there on financial risk management? Through the 1990's, so many books were published that all explored the same recurring themes. Fortunately, that started to change in 2003. I consider the two significant books of that year ... Read more

Books like this are rare. Positioning themselves at a point of convergence for practice and academic theory, authors Schwartz and FrancioniIt have written an outstanding book on today's equity markets. They use liquidity as a motivator for a wide ranging discussion of the forces shaping modern equity exchanges ... Read more

This is a wonderful book for anyone who works with portfolio management—and especially those who compile or analyze performance results. It is a treasure trove of all the important formulas for calculating portfolio returns, benchmark returns, portfolio risk or performance attribution. Appendices provide the actual text for various standards ... Read more

Immediately after Black and Scholes published their groundbreaking paper, Merton proposed that geometric Brownian motion might be improved by incorporating random jumps. What vision! Today, jump diffusions are one of the most interesting tools for modeling market phenomena such as volatility smiles and leptokurtic return distributions ... Read more

It is fair to say that America's first export was mica. In 1607, the settlers at Jamestown mistook the shiny yellow substance for gold. Laboring in appalling squalor—and ravaged by death and disease—they loaded up a ship with the "fools gold" and sent it to London. There, it was immediately identified as worthless ... Read more

This is a practical, hands-on introduction to fixed income financial engineering in complete markets. It is suitable for readers who have already mastered financial engineering for equity underliers and want to extend their skills to modeling term structures ... Read more

Liquidity is one of those concepts that means different things to different people. It is extremely difficult to even come up with a unifying definition. While there are numerous books available on market risk and credit risk, shelves are largely bare when it comes to liquidity risk. That fact alone makes this edited collection noteworthy ... Read more

Finance is only the second field of human endeavor (after physics) that draws on essentially every branch of mathematics: calculus, linear algebra, probability, differential equations, measure theory, stochastic calculus. This outstanding reference surveys it all, detailing results that are important for financial professionals and illustrating them with examples ... Read more

Copulas are currently one of the hot topics in quantitative finance. In a nutshell, copulas are a generalization of correlation. Suppose you have marginal distributions for the components of a random vector. With copulas, you can fill in the interdependencies between those components to obtain the joint distribution of the random vector. Depending on what copula you use, you can achieve different interdependencies ... Read more

Author Stephen Ross is perhaps best known for developing the arbitrage pricing theory (APT). He also co-discovered risk neutral valuation, which makes possible the methodology of binomial tree pricing ... Read more