This is an ambitious book that attempts to cover financial engineering and risk management topics in energy markets, including oil, natural gas and electricity. The result is somewhat disjointed. For example ... Read more

For researchers or financial engineers, Knight and Satchell offer an edited collection of 15 articles on financial econometrics ... Read more

Scholarly but informed by practice, this book is outstanding. Don't shy away due to "insurance" in the title. Culp has twice the pages of Fabozzi (2006), so he treats financial solutions as thoroughly while showing there are often attractive insurance alternatives. Like Fabozzi, Culp covers derivatives, securitizations, hybrid structures and project finance. Culp also looks at credit enhancements and, of course, insurance. Fabozzi discusses leasing, which Culp skips. Neither is strong on the tax or accounting issues motivating many deals ...

If there is a standard book on fixed income financial engineering, this is it. Two practitioners with academic backgrounds cover models from Vasicek to the market models—with practical examples applied to traded derivatives like in-arrears caps, quanto diff swaps and trigger swaps. There is also material on modeling inflation and credit. Supplement with Musiela and Rutowski (2005) for more on theory, with James and Webber (2000) if you want to implement models, or with Nawalkha et al (2007) for an informed survey of published models ...

This edited collection is a handbok on investment management. It is broader and less deep than Fabozzi and Markowitz (2002), which focused primarily on portfolio optimization, equity investing and fixed income investing. Maginn has less on those topics but offers chapters on market forecasting, the different categories of institutional investors, retail investors, market microstructure theory, rebalancing, etc. Read both books. They are complements more than competitors ...

This massive volume on MBSs, ABSs and CDOs is comprehensive, deep and extremely well written. It presents both a US and international perspective, delving into structures, asset classes, prepayments, credit ratings, servicing, legal issues, accounting, taxes, and more. Written by a single author, it has a unity that multi-author volumes often lack. It can serve as an in-depth introduction for beginners, or a comprehensive desk reference for pros ...

Prepared in conjunction with the CFA Institute's Chartered Financial Analyst program, this is a book on probability, statistics and time series analysis for finance practitioners. Applications are sometimes contrived but are generally drawn from portfolio management. The book targets a non-quantitative audience, so the mathematics is watered down. Its value lies in presenting a unified body of mathematics relevant to junior financial analysts ...

This is a compendium of fixed income mathematics: price vs. yield, duration & convexity, return analysis, embedded options, performance measurement, credit analysis, elementary financial engineering, and the analysis of mortgage-backed securities and other securitizations. There are also chapters on basic statistical methods. Plugging numbers into (possibly oversimplified) formulas is emphasized over theory or market conventions. It is suitable for junior analysts who want familiarity with concepts ...

Written for professionals taking the Chartered Financial Analysts exams, this text covers fixed income instruments, derivatives, fixed income mathematics, credit analysis and portfolio management. There is tremendous breadth but little depth. The book reads like it was written by a committee, with all sorts of "pet" topics briefly—or even cryptically—inserted. I recommend it as a reference for entry-level professionals who are already familiar with the topic ...

I could have used this book in my first (and only) job in investment management. I knew the basics of portfolio theory and lots of math, but whenever I went to the library to read the latest research, I was lost. The concepts, the notation and the terminology were all beyond my basic knowledge. I needed a “bridge” between ... Read more

For anyone who is new to asset-liability management (ALM)—or for anyone who knows some of the pieces but would like to understand ALM as a unified whole—this is an outstanding book. Assuming only passing familiarity with bank management, it walks readers through all aspects of ALM—Capital management, transfer pricing, loan pricing, credit risk, interest rate risk, securitization, liquidity ... Read more

Now in its fourth edition, this is the classic book on the US money market. Based on hundreds of interviews with market practitioners, it is an in-depth look at all corners of the market, from Treasuries to repos and Eurodollar futures. Market makers, electronic trading, and the role of the Fed are all explained. The book is rich in history and industry folklore. There is almost no math here, just engaging writing ...

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

This is a wonderful, broad overview of the US electric industry for readers who have little or no prior experience. It is actually a very fun book to read, either skipping among topics, or from cover to cover ... Read more