Quantitative Finance: An Object-Oriented Approach in C++

Erik Schlogl
November 19, 2013

Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++....








Introduction to Risk Parity and Budgeting

Thierry Roncalli
July 16, 2013

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular...








Stochastic Processes with Applications to Finance, Second Edition

Masaaki Kijima
April 18, 2013

Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of...








Computational Methods in Finance

Ali Hirsa
September 05, 2012

As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex...








Monte Carlo Simulation with Applications to Finance

Hui Wang
May 22, 2012

Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a...








An Introduction to Exotic Option Pricing

Peter Buchen
February 03, 2012

In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author...








Option Valuation: A First Course in Financial Mathematics

Hugo D. Junghenn
November 23, 2011

Option Valuation: A First Course in Financial Mathematics provides a straightforward introduction to the mathematics and models used in the valuation of financial derivatives. It examines the principles of option pricing in detail via standard binomial and stochastic calculus models. Developing the...








Risk Analysis in Finance and Insurance, Second Edition

Alexander Melnikov
April 25, 2011

Risk Analysis in Finance and Insurance, Second Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science. Taking into account the interdisciplinary nature of risk analysis, the author discusses many...








Stochastic Finance: A Numeraire Approach

Jan Vecer
January 06, 2011

Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for...








Introduction to Credit Risk Modeling, Second Edition

Christian Bluhm, Ludger Overbeck, Christoph Wagner
June 02, 2010

Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model...








Monte Carlo Methods and Models in Finance and Insurance

Ralf Korn, Elke Korn, Gerald Kroisandt
February 26, 2010

Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the...








Stochastic Financial Models

Douglas Kennedy
January 15, 2010

Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical...








Unravelling the Credit Crunch

David Murphy
June 08, 2009

Fascinating Insight into How the Financial System Works and How the Credit Crisis AroseClearly supplies details vital to understanding the crisis Unravelling the Credit Crunch provides a clearly written, comprehensive account of the current credit crisis that is easily understandable to...








Interest Rate Modeling: Theory and Practice

Lixin Wu
May 14, 2009

Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical...








Quantitative Fund Management

M.A.H. Dempster, Gautam Mitra, Georg Pflug
December 22, 2008

The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the...








Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing

Pierre Henry-Labordère
September 22, 2008

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously...








Credit Risk: Models, Derivatives, and Management

Niklas Wagner
May 28, 2008

Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable...








Understanding Risk: The Theory and Practice of Financial Risk Management

David Murphy
April 23, 2008

Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled....








Introduction to Stochastic Calculus Applied to Finance, Second Edition

Damien Lamberton, Bernard Lapeyre
November 30, 2007

Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the...








Engineering BGM

Alan Brace
November 01, 2007

Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Written by one of its developers, Engineering BGM builds progressively from simple to more sophisticated versions of the BGM model, offering a range of...








Numerical Methods for Finance

John Miller, David Edelman, John Appleby
September 21, 2007

Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial...








Quantitative Equity Portfolio Management: Modern Techniques and Applications

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen
May 11, 2007

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a...








Portfolio Optimization and Performance Analysis

Jean-Luc Prigent
May 07, 2007

In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of...








Structured Credit Portfolio Analysis, Baskets and CDOs

Christian Bluhm, Ludger Overbeck
September 29, 2006

The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long...








American-Style Derivatives: Valuation and Computation

Jerome Detemple
December 09, 2005

While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are constantly emerging in response to evolving economic conditions and regulations. Focusing on recent developments in the...








Robust Libor Modelling and Pricing of Derivative Products

John Schoenmakers
March 29, 2005

One of Riskbook.com's Best of 2005 - Top Ten Finance BooksThe Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective...








Financial Modelling with Jump Processes

Peter Tankov, Rama Cont
December 30, 2003

WINNER of a Riskbook.com Best of 2004 Book Award!During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for...

希望大家接力，盖一个漂亮的资源帖。

有电子书吗？

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如果能上传pdf文件就更好了