There are plenty of introductions to credit derivatives and related structured products. This is the one to read. It covers the products, the market, applications, pricing and risk measurement... Read more

Readers will recognize Edward Altman as the inventor of the famous Altman's Z Score for assessing a corporation's credit quality. Here he has teamed up with Andrea Resti and Andrea Sironi to prepare an edited collection of articles on recovery risk ... Read more

The more things change, the more they stay the same on Wall Street. Here is the story of how equity analysts at major brokerage firms hyped the stocks of internet firms in exchange for lucrative investment banking business from those same firms. Their mischief fueled a powerful bubble in technology stocks that collapsed in 2000. Author Gasparino was a reporter for the Wall Street Journal while all this was going on. His account, along with Partnoy's broader (2003) book, represents the best treatment available of the go-go 1990's. ... Read more

Despite its title, this is an introductory financial engineering text. The author is a math professor who, with this book, makes financial engineering concepts accessible to readers with a strong background in basic calculus and probability theory but with little other background in math. In this respect, the book competes with the likes of Baxter and Rennie (1996), Chriss (1997), Neftci (2000) and ... Read more

This edited collection of seminal research papers on stochastic volatility models is a cute idea. To place it in context, you need a little background. Back in 1995, ARCH/GARCH models were sweeping Wall Street. They were a hot topic in econometrics research, and their discoverer, Robert Engle, edited a collection of seminal papers on the topic ... Read more

Almost a hundred years ago, in an impoverished Alabama mining town, a young woman was severely burned when a stove exploded. As she lay wasting away in a hospital bed, her doctor pleaded for anyone to donate a skin graft that might save her life. Days went by and no one stepped forward. Finally, a stranger in town, an ex-convict with dreams of bringing water and electricity to the town, heard of the woman's plight and offered his own skin. He risked his life but saved hers ... Read more

Finite elements are an invaluable technique for solving financial engineering problems that are presented as partial differential equations. This is a highly specialized topic with a vast literature crossing multiple disciplines. What Topper has done is compile a detailed survey of methodologies that are useful in finance ... Read more

This is a great book for someone—academic or practitioner—who is new to financial time series analysis and needs an accessible introduction. The book is actually a wide ranging survey of topics in financial econometrics. It is much like an updated version of Campbell, Lo and MacKinlay (1997) with excellent information on ARCH and stochastic volatility models ... Read more

The Libor market model is the standard model used by derivatives dealers to price interest rate derivatives. The reason is simple. Vanilla interest rate caps are priced by convention using Black 76, and their prices are quoted in terms of Black 76 implied volatilities. The Libor market model is consistent with Black 76, so it allows cap implied volatilities to be used to price more exotic structures ... Read more

Okay, there are numerous financial engineering textbooks on the market. A lot of them are excellent, and this one is too. How do you pick the right one for self study or for a course you may need to teach? My job is to help you answer that question, so what can I say about this book?

It is a practical introduction to the mathematics of financial engineering ... Read more