Here are 100 books that An Introduction to the Mathematics of Financial Derivatives fans have personally recommended if you like
An Introduction to the Mathematics of Financial Derivatives.
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Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
For financial market practitioners, it would be unwise not to deeply care about the various financial risks associated with their uses.
This book thoroughly covers the whole set of such financial risks, i.e. market risk, credit/counterparty risk, liquidity risk (both on the asset and liability sides), broadening the subject up to the firmwide level risk. It goes both into theoretical and practical considerations (risk management of a portfolio of financial instruments), illustrated by useful examples, with a great pedagogical sense.
A global banking risk management guide geared toward the practitioner
Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the…
It is April 1st, 2038. Day 60 of China's blockade of the rebel island of Taiwan.
The US government has agreed to provide Taiwan with a weapons system so advanced that it can disrupt the balance of power in the region. But what pilot would be crazy enough to run…
Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
In the vast array of quantitative finance relative to financial markets instruments and related risks, the case of credit or counterparty risk remains by far the most complex one, and thus, unsurprisingly, the least mastered by financial markets professionals.
A lot has been done, but a lot remains to be done: covering this is precisely the goal of this book. In a nutshell, the main obstacle to succeed in developing grounded and useful models of default prediction is due to the fact that a default is (fortunately) a rare event, in other words, with a (very) low probability of occurrence, and statistical tools are uncomfortable with very low probability levels. Hence the need of this book, to help the practitioner to go ahead in this matter.
The book reveals to traders how to consistently outperform credit benchmarks, how to hedge the credit risk premium, and how to overcome pension liability deficits. In addition, several successful trading strategies are presented including debt versus equities, Co-Co bond trading and a quantitative analysis of the municipal bond market. Chapters include: Credit Models, Past Present and Future Predicting Annual Default Rates and Implications for Market Prices Risk and Relative Value in the Municipal Bond Market Contingent Collateral Bonds Model for Sovereign Default and Relative Value Beating Credit Benchmarks Analyzing and Hedging Systemic Liquidity Risk Building on the best-selling first edition,…
Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
The valuation of options has been the subject of numerous studies, papers, and books.
The originality of this one is that it is collecting the resulting formulae to be used in practice, and for each of them, proposing related Excel spreadsheets, and VBA coding (also with a CD included). All types of options are covered, from “vanilla” to “exotics”, on every kind of underlyings (from traditional ones up to commodities and energy).
It also develops calculation methods for the options “greeks” and volatility. But the book is not only such a catalog of formulae, these are assorted by useful comments about the best way to apply them, and their validity limits. Not surprisingly, this book is qualified as the “bible” of options valuation.
Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula_all presented in an easy-to-use dictionary format, with expert author commentary and ready-to-use programming code.
The Second Edition of this classic guide now includes more than 60 new option models and formulas...extensive tables providing an overview of all formulas...new examples and applications...and an updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets.
A poisonous maiden, a Daoist sex cult, and a violent insurgency.
The polyandrous Yan family in China's rural Shaanxi Province takes in two carpenter brothers. When one brother is convicted of murder after killing their neighbor in a dispute, a constable threatens to expose the family's rumored polyandry and extorts…
Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
Technical Analysis is traditionally denigrated by the academic community, not without good reasons. But as a matter of fact, traders and practitioners used them (also, not without good reasons) extensively, to the extent that Technical Analysis is often qualified as “self-fulfilling prophecy”.
There is therefore a good reason to be more or less familiar with these techniques, at worst, following the adage “Know your enemy”. The problem, with Technical Analysis, is that, as it is not a true science, it is not easy to find books about it, written in a serious way. This is however the case with this one, covering all the usual technical analysis methods, both the graphic and the numeric ones, in a clear, concise, and exemplified way.
This book is updated and revised - with over 35 brand new indicators! It is a comprehensive catalog of today's major technical analysis indicators - indispensable for trading in stocks, bonds, futures, and options! 'There is an urgent need for a concise reference on such a vast array of technical tools. Achelis' new edition fulfills that need and should provide an invaluable guide to newcomers and veterans alike' - John J. Murphy President, MurphyMorris.com, Author, "Technical Analysis of the Financial Markets and Intermarket Technical Analysis".'Steve Achelis has done it again. The first edition was a wonderfully comprehensive encyclopedia of market…
A noted quantitative hedge fund manager and quant finance author, Ernie is the founder of QTS Capital Management and Predictnow.ai. Previously he has applied his expertise in machine learning at IBM T.J. Watson Research Center’s Human Language Technologies group, at Morgan Stanley’s Data Mining and Artificial Intelligence Group, and at Credit Suisse’s Horizon Trading Group. Ernie was quoted by Bloomberg, the Wall Street Journal, New York Times, Forbes, and the CIO magazine, and interviewed on CNBC’s Closing Bell program. He is an adjunct faculty at Northwestern University’s Master’s in Data Science program and supervises student theses there. Ernie holds a Ph.D. in theoretical physics from Cornell University.
I have used this book to teach my Financial Risk Analytics course at Northwestern University for many years. As a textbook, it is surprisingly easy to read, and the abundant exercises are great. This would be a foundational text to read after you have read my own books. It puts you on solid ground to understand all the financial babble that you may read elsewhere. It includes extensive coverage of most basic topics important to a serious quantitative trader, while not being overly mathematical. Easily understandable if you have basic programming and math background from first year of university.
Everything is practical in this book, which isn’t what you would expect from a textbook! There is no math for math’s sake. I have used the techniques discussed in this book for real trading, and for creating features at my machine learning SaaS predictnow.ai. Examples: What’s the difference between net…
The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code…
I am an applied mathematician at Oxford University, and author of the bestseller 1089 and All That, which has now been translated into 13 languages. In 1992 I discovered a strange mathematical theorem – loosely related to the Indian Rope Trick - which eventually featured on BBC television. My books and public lectures are now aimed at bringing mainstream mathematics to the general public in new and exciting ways.
This is a sequel to Alex Bellos's bestseller Alex's Adventures in Numberland, but more focused on applications of mathematics to the real world, especially through physics. Many of these were known to me, particularly when they involved calculus, but I greatly enjoyed Alex's distinctive and novel way of putting across sophisticated ideas, in part by interspersing them with personal interviews with mathematicians of all kinds.
From triangles, rotations and power laws, to fractals, cones and curves, bestselling author Alex Bellos takes you on a journey of mathematical discovery with his signature wit, engaging stories and limitless enthusiasm. As he narrates a series of eye-opening encounters with lively personalities all over the world, Alex demonstrates how numbers have come to be our friends, are fascinating and extremely accessible, and how they have changed our world.
He turns even the dreaded calculus into an easy-to-grasp mathematical exposition, and sifts through over 30,000 survey submissions to reveal the world's favourite number. In Germany, he meets the engineer who…
A wind sorcerer. A dark spirit. An unsolved murder.
On the haunted Draakensky Windmill Estate, sketch artist Charlotte Knight arrives to live on the property, hired to illustrate the poetry of Rainer Maria Rilke—a bright and lucrative opportunity to boost her struggling art career.
I am an applied mathematician at Oxford University, and author of the bestseller 1089 and All That, which has now been translated into 13 languages. In 1992 I discovered a strange mathematical theorem – loosely related to the Indian Rope Trick - which eventually featured on BBC television. My books and public lectures are now aimed at bringing mainstream mathematics to the general public in new and exciting ways.
This may seem an odd choice, but as a maths popularizer I need to know all that I can about why some people find the main elements of the subject so difficult. I found Doug French's book exceptionally helpful in this respect, even though it is aimed principally at high school teachers. This is partly because he focuses throughout on the most important mathematical ideas and difficulties. Moreover, the scope is wider than the title suggests, for he also ventures imaginatively into both geometry and calculus.
Continuum has repackaged some of its key academic backlist titles to make them available at a more affordable price. These reissues will have new ISBNs, distinctive jackets and strong branding. They cover a range of subject areas that have a continuing student sale and make great supplementary reading more accessible. A comprehensive, authoritative and constructive guide to teaching algebra.
I’m a professor of computer science at Oregon State University. My research focus is on programming languages, but I also work on computer science education and outreach. I grew up in Germany and moved to the United States in 2000. Since computer science is a fairly new and not widely understood discipline, I am interested in explaining its core ideas to the general public. I believe that in order to attract a more diverse set of people to the field we should emphasize that coding is only a small part of computer science.
This book is not about computing, but it is relevant in an indirect way. I love this book, since it is written in such an engaging style and illustrates with many examples that math is not a dry subject to be practiced only by mathematicians but helps everyone to solve real-world problems. The book shows how important it is to be precise in describing problems and that applying a little mathematical rigor goes a long way in solving them. Ellenberg describes mathematics as the “extension of common sense by other means.” In a similar way, I view computer science as the extension of problem-solving methods (aka “algorithms”) by other means.
"Witty, compelling, and just plain fun to read . . ." -Evelyn Lamb, Scientific American
The Freakonomics of math-a math-world superstar unveils the hidden beauty and logic of the world and puts its power in our hands
The math we learn in school can seem like a dull set of rules, laid down by the ancients and not to be questioned. In How Not to Be Wrong, Jordan Ellenberg shows us how terribly limiting this view is: Math isn't confined to abstract incidents that never occur in real life, but rather touches everything we do-the whole world is shot through…
I am an applied mathematician at Oxford University, and author of the bestseller 1089 and All That, which has now been translated into 13 languages. In 1992 I discovered a strange mathematical theorem – loosely related to the Indian Rope Trick - which eventually featured on BBC television. My books and public lectures are now aimed at bringing mainstream mathematics to the general public in new and exciting ways.
This book has haunted me for years. For what is it, exactly, that gives it such enduring popularity? After all, it was first published in 1936, yet is still in print today. In his autobiography, Hogben remarks on the importance of eye-catching illustrations but speculates that its success may instead be because the book contains – most unusually for a 'popular' work – exercises and answers, making it more suitable for self-teaching. Whatever the real answer, his book must surely have something to teach anyone – like myself – who aspires to bring mainstream mathematics to life for the general public.
The epic saga continues. Jarnland is in a frenzy of excitement. After the eccentric demise of Old King Wyllard, his co-Majesty, young Queen Esmeralda, announces a Royal Tournament to celebrate the return of our heroes from their perilous quest. The Main Event will be a duel between the legendary warrior…
Meaningful communications with people through life, books, and films have always given me a certain kind of mental nirvana of being transported to a place of delight. I see fine writing as an informative and entertaining conversation with a stranger I just met on a plane who has interesting things to say about the world. Books of narrative merit in mathematics and science are my strangers eager to be met. For me, the best narratives are those that bring me to places I have never been, to tell me things I have not known, and to keep me reading with the feeling of being alive in a human experience.
Great Circles is a unique tale of the life and works of mathematicians, scientists, philosophers, poets, and other literary figures. It is collections of circles of thoughts and implications that return on themselves as if they are gravitationally attached to some core red dwarf of universal meaning.
I loved reading this book. One moment I was into the math, and in the next, I was immersed in a relevant poem or was personality attached to some math or a philosophical thought about a connection of a poem with the math. It was a ride more than a read. It is a calming cognitive exercise on tour through and between chapters – mind wandering not permitted-- with a smooth comfort of thought as if Grosholz is in the room (or perhaps in your brain) reading and guiding.
The poetry is gripping and wonderfully placed between the appropriate background materials.
This volume explores the interaction of poetry and mathematics by looking at analogies that link them. The form that distinguishes poetry from prose has mathematical structure (lifting language above the flow of time), as do the thoughtful ways in which poets bring the infinite into relation with the finite. The history of mathematics exhibits a dramatic narrative inspired by a kind of troping, as metaphor opens, metonymy and synecdoche elaborate, and irony closes off or shifts the growth of mathematical knowledge.
The first part of the book is autobiographical, following the author through her discovery of these analogies, revealed by…
