Risk & Quantitative Finance_Global Catalogue by Lori Boulton

Contents

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Encyclopedia of Quantitative Finance Editor-in-Chief Rama Cont

The definitive reference to quantitative finance, written by the leading academics and practitioners in the field. The Encyclopedia of Quantitative Finance is a landmark, multi-volume major reference work, presenting a timely and comprehensive body of knowledge. The Encyclopedia is designed to serve as an essential reference for the finance community, as well as academics and students in mathematical finance and related areas. With contributions from some of the leading figures in industry and academic research, the Encyclopedia provides an authoritative exposition of quantitative finance. The cross-disciplinary nature of the work is reflected in its coverage of key concepts including financial econometrics, risk management, asset and option pricing, derivatives, portfolio optimization, and mathematical tools and methods, and also by the inclusion of supporting topics such as market microstructure, the history of quantitative finance, energy and commodities, and actuarial methods. Over the past three decades the explosive growth in trading of financial derivatives has been reflected in a commensurate growth in the study of financial mathematics, which in turn has helped to support the increasing sophistication of financial markets. Scholars from both practice and academia have long felt the need for a comprehensive reference work such as the Encyclopedia of Quantitative Finance. In its broadest sense quantitative finance is concerned with the mathematical modeling of financial and related risks, associated with the trading, valuation, and risk management of financial instruments. It relies on mathematical finance and computer simulations to make trading, hedging, and investment decisions, as well as facilitating the management of risk in those decisions. The Encyclopedia draws together the computational methods and practical aspects of mathematical modeling for the financial sector. The Encyclopedia of Quantitative Finance also provides wide coverage of theoretical and practical aspects of quantitative finance. The contributions - even the more mathematically demanding - are sufficiently accessible that the less mathematically-adept reader can gain insight into the topics discussed. The articles also contain citations to the scholarly literature, are fully crossreferenced to other relevant articles in the encyclopedia, and include detailed bibliographies for further reading. The scope and breadth of the Encyclopedia will make it an invaluable resource for the professional, the academic researcher, and for the student in this rapidly growing area.

Section Editors

Aims and Scope

History of Quantitative Modeling in Finance - Perry Mehrling, Murad Taqqu Mathematical Tools - Phillip Protter Asset Pricing Models - Paolo Guasoni Arbitrage Theory - Walter Schachermayer Option Pricing: Fundamentals - Mark Davis Foreign Exchange Derivatives - Uwe Wystup Equity Derivatives: Products and Strategies - Marco Avellaneda, Ali Hirsa Equity Derivatives: Pricing Models - Rama Cont, James Gatheral Credit Risk - Greg Gupton, Rüdiger Frey Credit Derivatives - Philipp Schönbucher, William Morokoff Interest Rate Derivatives - Leif Andersen, Vladimir Piterbarg PDE’s and Computational Methods - Peter Forsyth, Damien Lamberton Simulation Methods in Financial Engineering - Eckhart Platen, Peter Jaeckel Asset Allocation and Portfolio Optimization - Xunyu Zhou, Michael Stutzer Risk Management - Michel Crouhy, Rüdiger Frey Energy and Commodity Derivatives - Hélyette Geman, Christopher Harris Market Microstructure - Jean-Philippe Bouchaud, Charles M. Jones Financial Econometrics - Ole Barndorff-Nielsen, Eric Renault Asset Backed and Mortgage Backed Securities – Rama Cont

The Encyclopedia of Quantitative Finance provides a comprehensive, definitive, and up-to-date single, essential reference to the main areas of specialist and expert knowledge and skills used by those involved in all aspects of quantitative finance.

Structure and Format The Encyclopedia is a multi-author, multivolume book aimed at quants, graduate students, academic researchers, and all those involved in quantitative modeling in finance (including end users of models). Published in 4 volumes (simultaneously), and organized alphabetically, each volume comprises approximately 600 pages, with typically around 150-200 articles per volume.

9780470057568 • Cloth • 2256 pages • Mar 2010

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WILMOTT – Books, Magazine and Journal “Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such that the outstanding notional of all contracts is now many multiples of the underlying world economy. No longer are derivatives for helping people control and manage their financial risks from other business and industries, no, it seems that the people are toiling away in the fields to keep the derivatives market afloat! (Apologies for the mixed metaphor!) If you work in derivatives, risk, development, trading, etc. you’d better know what you are doing, there’s now a big responsibility on your shoulders.”

Frequently Asked Questions in Quantitative Finance,

Paul Wilmott on Quantitative Finance, 3-Volume Set, 2nd Edition Paul Wilmott

2nd Edition

Paul Wilmott on Quantitative Finance, Third Edition is the ultimate guide to the field, serving as a comprehensive reference on both traditional and new derivatives and financial engineering techniques. Split into three volumes, the author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book in cartoon form, readers will be relieved to hear to personally highlight and explain the key sections and issues discussed.

Paul Wilmott In Frequently Asked questions in Quantitative Finance, Second Edition, Paul Wilmott continues his mission to pull quant finance up from the dumbed-down depths, and to drag it back down to earth from the super-sophisticated stratosphere. The book contains important FAQs and answers that cover both theory and practice and includes sections on how to derive Black-Scholes (a dozen different ways!), the key models, equations, important formulae and probability distributions, critical essays, brainteasers, and the commonest quant mistakes. Fully revised and updated to include new developments in quantitative finance and bring it up-todate with the events of the financial crisis, this is a valuable reference for anyone involved or looking to be involved in quantitative finance.

Volume One:

9780470748756 • Paper • 624 pages • Aug 2009

Mathematical and Financial Foundations; Basic Theory Of Derivatives; Risk And Return

Paul Wilmott Introduces Quantitative Finance

In this volume the reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling.

2nd Edition

Volume Two:

Paul Wilmott

Exotic Contracts and Path Dependency; Fixed Income Modeling And Derivatives; Credit Risk

Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.

In this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets.

Volume Three:

Advanced Topics; Numerical Methods and Programs In this volume the reader enters territory rarely seen in textbooks, the cuttingedge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved.

9780470319581 • Paper • 722 pages • Jun 2007

9780470018705 • Cloth • 1500 pages • Jan 2006

WILMOTT Magazine & Wilmott Journal WILMOTT Magazine is now published in conjunction with a new periodical – the WILMOTT Journal. The new journal publishes technical research articles over six issues throughout the year, whilst the magazine features the regular articles, commentaries, reports, interviews and columnists. The WILMOTT Journal expands the offering of technical articles to meet the needs of quants and academics more than ever before. Subscribe to WILMOTT now to benefit from the increased coverage offered by 12 issues a year – 6 issues of the magazine, 6 of WILMOTT Journal on alternate months. In addition, WILMOTT is now also available as a combined print and online package.

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The SABR/LIBOR Market Model

Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Riccardo Rebonato, Kenneth McKay, Richard White In The SABR/LIBOR Market Model, the authors take two market standards, the SABR and the LIBOR Market Model (LMM) and produce a coherent synthesis for the pricing of complex interest-rate derivatives. The SABR model has become the market standard to recover the price of European options. Its main strengths are its financial justifiability, and its ability to recover the dynamics of the smile evolution when the underlying changes. However, the SABR model treats each European option in isolation. The processes for forward rates and swap rates cannot easily be combined to create coherent dynamics for the entire yield curve. With their new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single measure, and derive drift adjustments to ensure the absence of arbitrage and to allow for the pricing of complex derivatives. The credible evolution of future smiles generated by the model is essential to complex derivatives pricing as it determines future prices for caplets and swaptions and therefore plausible re-hedging costs. The authors calibrate their model to hedging instruments in a way that is both accurate and extremely simple. They also propose a pragmatic hedging approach, inspired by work done with the two-state Markov-chain approach which relies on the empirical regularities of the dynamics of the smile surface and the robustness of the fits proposed. The final chapter considers survival hedging in times of market turmoil. It does so by providing a set of transactions that can protect the value of a complex derivatives book in a stressed market. The extension of the LMM model provides a valid description of the financial reality while retaining tractability, computational speed and ease of calibration. The goal for the new model is to offer the ability to reduce uncertainty in market prices to an acceptable minimum by making as judicious a use as possible of the econometric information available. The grounding in empirical information of the modelling approach utilised by the authors differentiates this title from the stochastic-calculus-heavy, but empirically light, work of others. The title will be of interest to quantitative analysts, quantitative developers, risk managers and traders in complex derivatives. 9780470740057 • Cloth • 296 pages • Mar 2009

Commodities and Commodity Derivatives

Volatility and Correlation The Perfect Hedger and the Fox, 2nd Edition

Modeling and Pricing for Agriculturals, Metals and Energy

Riccardo Rebonato Volatility and Correlation, Second Edition has been thoroughly updated and expanded with over 80% new or reworked material, reflecting the changes and developments that have taken place in the field. The new and updated material includes: empirical and theoretical analysis of the smile dynamics; examination of the perfect-replication model in relation to exotic options; treatment of additional important models, namely, Variance Gamma, displaced diffusion, CEV, stochastic volatility for interest-rate smiles and equity/FX options; questioning of the informational efficiency of markets in commonly-used calibration and hedging practices. The second edition is even more comprehensive than the first, and ideally suited to quantitatively oriented traders and risk managers. Both practitioners and academics will benefit from it’s teachings and advice. 9780470091395 • Cloth • 864 pages • Aug 2004

Hélyette Geman Commodities and Commodity Derivatives is a comprehensive guide to hard and soft commodities, analyzing the economic and geopolitical issues in commodities markets. This comprehensive resource touches on a variety of issues associated with commodities and their derivatives, including: financial risk, stochastic modeling of spot prices and forward curves, and real options valuation and hedging. “Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications...” —Robert Merton, Professor, Harvard Business School 9780470012185 • Cloth • 416 pages • Jan 2005

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Derivatives Models on Models

Risk Management in Commodity Markets

Espen Gaarder Haug

From Shipping to Agricuturals and Energy

Derivatives Models on Models takes a theoretical and practical look at some of the most important ideas behind derivatives pricing models. A wide range of topics is covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. It also discusses innovative ideas surrounding finance such as the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The book also includes interviews with some of the worlds top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include Nassim Taleb, Paul Wilmott and Emanuel Derman. An accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book. 9780470013229 • Cloth • 384 pages • May 2007

The Volatility Surface A Practitioner’s Guide

Today commodities represent some of the fastest growing markets worldwide. Historically misunderstood, generally understudied and undervalued, certainly underrepresented in the literature, commodities are suddenly receiving the attention they deserve. Bringing together some of the best authors in their fields, this book focuses on the risk management issues associated with both soft and hard commodities: energy, weather, agriculturals, metals and shipping. Taking the reader through every part of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new futures markets. The book also looks at the use of options and other derivative contract forms for hedging purposes, as well as supply management in commodity markets. It looks at the implications of climate policy and climate research and analyzes the various freight derivatives markets and products used to manage shipping and freight risk in a global commodity world. 9780470694251 • Cloth • 320 pages • Nov 2008

Copula Methods in Finance

Jim Gatheral This book illustrates the dynamic nature of the volatility of options and presents models for accurately calibrating volatility to accurately price, structure, trade, and hedge equity derivatives. Gatheral examines why options are priced as they are and reviews long-used models. Along the way he also discusses default risk models, capital structure arbitrage, quadratic variation-based payoffs, VIX futures contracts, and much more. Throughout The Volatility Surface, specific examples are considered to make theory come to life for practitioners. 9780471792512 • Cloth • 208 pages • Sep 2006

Frontiers in Quantitative Finance Volatility and Credit Risk Modeling

Umberto Cherubini, Elisa Luciano, Walter Vecchiato Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in a number of areas is a vigorously growing field. This book takes copulas and applies the methodology to mathematical finance. The authors explain copulas by describing their application to major topics such as asset pricing, risk management and credit risk analysis. They take financial problems such as the pricing of multivariate derivatives and exotic contracts and risk management issues such as allocating capital among different desk and business lines. The intention is that the reader will be able to devise their own applications and answers to such problems by following the strategies illustrated throughout the book. 9780470863442 • Cloth • 310 pages • May 2004

Edited by Rama Cont Some of the best minds in quantitative finance share their insights on important financial modeling issues. Quantitative research in finance has spurred innovation in derivatives markets during the last decade - especially when it comes to volatility modeling and credit risk. Frontiers in Quantitative Finance develops these ideas through the contributions of numerous experts in this field. Divided into two informative parts, this comprehensive guide deals with advances in volatility modeling in the context of equity and index derivatives, and covers recent advances in pricing models for CDOs and portfolio credit derivatives.

Handbook of Multi-Commodity Markets and Products Structuring, trading and risk management Andrea Roncoroni, Gianluca Fusai

9780470292921 • Cloth • 300 pages • Nov 2008

Monte Carlo simulation (MCS) is a key pricing and risk management tool for financial professionals. With Monte Carlo Methods in Finance, readers will learn how to use this complex method to price derivatives and measure their risks. With a practical, hands-on approach throughout, this comprehensive guide uses a problem solving approach and shows how to implement Monte Carlo methods, starting from first principles through to advance techniques.

The Handbook of Multi-Commodity Markets is a practical manual which covers everything the professional needs on in order to become acquainted with the structure, functioning, rules and practices across a wide spectrum of commodity markets. Coverage includes the convergence of topics such as arbitrage valuation, econometric modelling, market structure analysis, contract engineering, risk assessment and management. Scenario simulation is dealt with to show how to structure and manage both simple and more sophisticated multi-commodity deals. It shows how you can exploit pay-off profiles and trading strategies by betting on the evolution of a diversified set of commodity prices and how you should price energy products and other commodities belonging to markets segmented across specific structural features. The book also discusses which methods and models should be developed or selected in order to make appropriate estimations of the future evolution of prices, specifically in terms of trend and market risk and what measures of risk should be adopted for the purpose of correctly assessing the quality of multi-commodity portfolios.

9780471497417 • Cloth • 238 pages • Feb 2002

9780470745243 • Cloth • 992 pages • Apr 2010

Monte Carlo Methods in Finance Peter Jäckel

Edited by Hélyette Geman

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Market Risk Analysis 4 Volume Boxset Carol Alexander Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on risk in financial markets. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and related information. The four volumes of Market Risk Analysis illustrate virtually every concept or formula with a practical, numerical example or a longer, empirical case study. In total there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies. Nearly all are contained in interactive Excel spreadsheets that are available on a CD-ROM. The material on the CD-ROM offers course tutors an unparalleled teaching resource. The interactive workbooks provide endless possibilities for setting exercises based on these textbooks. Whenever an add-in or analysis tool is used, clear instructions are given and if an Excel example is not possible (for instance, when estimating parameters of a Markov switching model or when calibrating stochastic volatility models) then special code is provided. Many case studies, based on complete and up-to-date financial data, and all graphs and tables in the text are also contained in the workbooks on the CD-ROM. The financial data were obtained from free internet sources and references for updating the data sets are provided. In addition, the graphs, figures and tables can be modified if required, and course tutors have permission to copy and paste these as enhanced metafiles into personal lectures notes for courses based on these textbooks. 9780470997994 • Cloth • 1652 pages • Jan 2009

Market Risk Analysis

Volume I: Quantitative Methods in Finance

Volume II: Practical Financial Econometrics

Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance.

Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation.

9780470998007 • Cloth • 318 pages • Apr 2008

Market Risk Analysis Volume III: Pricing, Hedging and Trading Financial Instruments Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces (the implied and the local volatility surfaces) that accompany an option pricing model, with particular reference to hedging. 9780470997895 • Cloth • 416 pages • May 2008

Market Risk Management for Hedge Funds

9780470998014 • Cloth • 426 pages • Apr 2008

Market Risk Analysis Volume IV: Value at Risk Models Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, in the following chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results as well as numerous applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing. 9780470997888 • Cloth • 492 pages • Jan 2009

Measuring Market Risk 2nd Edition

Foundations of the Style and Implicit Value-at-Risk

Kevin Dowd

This book provides a cutting edge introduction to market risk management for hedge funds, hedge funds of funds, and the numerous new indices coming to market. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. This book will be the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies. The accompanying CD-ROM includes a Measuring Market Risk toolbox, with about 150 risk measurement functions, a manual and a selection of Excel workbooks illustrating basic risk measurement functions.

9780470722992 • Cloth • 262 pages • Oct 2008

9780470013038 • Cloth • 410 pages • May 2005

Francois Duc, Yann Schorderet

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Stochastic Simulation and Applications in Finance with MATLAB Programs

High Performance Computing for Financial Engineers Farrukh Alavi

Huu Tue Huynh, Van Son Lai, Issouf Soumare Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book also includes an accompanying CD-ROM which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.

This book aims to show quants how modern computing tools and techniques can be used to write better performing code and significantly speed up mathematical finance calculations. It gives readers the ability to model and analyze code for higher performance as a natural part of programming projects, gain expertise in the terminology, tools and techniques of parallel processing, and exploit modern multi-core CPU horsepower. It shows how to use profiling tools in order to discover the slowest performing sections of your code, and enable code refactoring for higher performance. It will also teach how to exploit the power of assembly language, where and when that is appropriate, to achieve the highest possible performance in quantitative finance calculations.

9780470697351 • Cloth • 352 pages • Oct 2010

9780470725382 • Cloth • 354 pages • Nov 2008

Implementing Monte Carlo and Lattice Methods in VBA

Implementing Payoff Description Languages Sasha Lucic

Nick Webber The book provides a practical, step-bystep introduction to the design of pricing engines with VBA. It teaches students and practitioners the numerics and design of a powerful pricing tool in VBA, taking the reader through the basics of VBA, from simple procedural code to the advanced design of systems and object-style applications. It also covers Monte Carlo and lattice methods and their implementation in VBA. Full implementation methods and code are provided for all methods discussed, making this an invaluable guide for students, portfolio managers, risk managers and fund managers.

9780470712207 • Cloth • 352 pages • Jan 2010

9780470986400 • Cloth • 352 pages • May 2010

Financial Modelling in Practice

Finite Difference Methods in Financial Engineering

A Concise Guide for Intermediate and Advanced Level with CD ROM

A Partial Differential Equation Approach

An ObjectOriented Approach Daniel J. Duffy This book serves as an introductory companion volume to Daniel Duffy’s book Financial Instrument Pricing Using C++ (0-470-85509-6). It presents a step-by-step introduction to C++, with numerous examples and applications in finance. It will help bring developers, quantitative analysts, and financial engineers up to speed on C++ quickly. Ideal for those without experience with C++, the book features examples, source code on the accompanying CD-ROM, and end-of-chapter exercises.

9780470015384 • Cloth • 438 pages • Oct 2006

Monte Carlo Frameworks Building Customisable High-performance C++ Applications Daniel J. Duffy, Joerg Kienitz This is one of the first books that describes all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using stateof-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools. This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++ and includes a CDROM containing the source code for all examples.

9780470060698 • Cloth • 680 pages • Sep 2009

Financial Applications using Excel Add-in Development in C/C++, 2nd Edition Steve Dalton

Financial Modelling in Practice: A Concise Guide for Intermediate and Advanced Level is a practical, comprehensive and in-depth guide designed to cover the modelling issues that are relevant to facilitate the construction of robust and readily understandable models. Based on the author’s extensive experience of building models in business and finance, and of training others how to do so, this book presents advanced financial modelling tools and simulations, and applies them to modern aspects of financial management. As a renowned expert in modelling, Michael Rees develops efficient techniques for simulation and sensitivity analysis within an Excel and Excel add-on framework using many useful and transparent applications in the context of company valuation, derivative business and risk management, enabling the reader to develop good models themselves. A unique book which is highly instructive and motivating.

Daniel J. Duffy This is today’s most complete and practical guide to finite difference methods and its applications to derivatives. Finite Difference Methods in Financial Engineering provides a step-by-step description of how robust and accurate numerical methods are motivated and applied to pricing financial derivative products. Focusing on real-world derivative products such as vanilla and exotic options and credit and interest rate derivatives, it details the application of FDM to the partial differential equations that model derivative products in the financial markets and includes a CD-ROM containing C++ source code and executable programs.

Financial Applications using Excel Add-in Development in C/C++ is a must-buy book for any serious Excel developer. Excel is the industry standard for financial modelling, providing a number of ways for users to extend the functionality of their own add-ins, including VBA and C/C++. This is the only complete how-to guide and reference book for the creation of high performance add-ins for Excel in C and C++ for users in the finance industry. The author explains how to apply Excel add-ins to financial applications with many examples given throughout the book. It also covers the relative strengths and weaknesses of developing add-ins for Excel in VBA versus C/C++, and provides comprehensive code, workbooks and example projects on the accompanying CD-ROM. The impact of Excel 2007s multi-threaded workbook calculations and large grids on add-in development are fully explored.

9780470997444 • Cloth • 288 pages • Oct 2008

9780470858820 • Cloth • 440 pages • Mar 2006

9780470027974 • Cloth • 584 pages • Jul 2007

Michael Rees

The book introduces payoff description languages, explaining what they are, why they are useful and how to write and implement them. An overview of programming languages’ design, implementation and history follows, covering recent advances and commonly used tools and state of the art languages. Fully compiled code is compared and contrasted, and a simple example is provided which will be a building block of the author’s example language. Throughout the book Lucic will develop an example language, starting from a very simple one, and growing it as the chapters progress. Also provided is a simple version of a framework within which products described in the example language can be valued.

Introduction to C++ for Financial Engineers

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Financial Modelling in Python

Mathematical Methods

Shayne Fletcher, Christopher Gardner

Riaz Ahmad

This book is directed at both industry practitioners and students interested in designing a pricing and risk management framework for financial derivatives using the Python programming language. It is a practical book complete with working, tested code that guides the reader through the process of building a flexible, extensible pricing framework in Python. The book is accompanied by a CD-ROM containing a code library; and a companion website www.wiley.com/go/ fletcher_python which will feature code-based updates relating to Python 3.0.

Mathematical methods are a core part of every finance and economics course. This is the only mathematical methods text to use examples from the economics and finance disciplines. This book is presented in sections, each part covering in detail one of the four mathematical disciplines required for a responsible approach to tackling problems in mathematical economics and finance.

9780470987841 • Cloth • 244 pages • Jun 2009

9780470697214 • Cloth • 960 pages • Jul 2010

Enterprise Analytics Michael Jones This is the first book to cover both the theory and practice of quantitative modelling, looking at these aspects in the overall context of the faster response and tighter integration which is required in today’s world of straight-through processing (STP) and immediate pricing. It provides a framework through which optimum product turnaround and integration can be achieved. Although the book concentrates on interest rate derivatives, providing reference implementations of various interest rate models in order to illustrate the framework, the underlying theories enable the practitioner to expand this platform across asset classes. It is especially useful for multi-asset products.

9780470510254 • Cloth • 416 pages • Feb 2010

Financial Modeling Using C++

Advanced Modelling in Finance using Excel and VBA Mary Jackson, Mike Staunton This book will appeal to both graduate students and practitioners. Students will value the Excel spreadsheets allowing them to develop their knowledge of modelling in finance, using a stepby-step approach accompanied by explanations using elementary mathematical statistics and probability. Practitioners will value the VBA functions as a source of up-to-date and efficient programs that can be easily used from Excel. The book is accompanied by a CD-ROM containing the spreadsheets, VBA functions and macros used throughout the work.

9780471499220 • Cloth • 276 pages • Apr 2001

Chandan Sengupta This book teaches finance professionals with no prior programming, C++, and modeling knowledge how to create simple to advanced financial models using C++. In it, the author addresses all aspects of financial modeling in C++ including basic knowledge of underlying financial theory and mathematics, programming and system development skills, knowledge of the appropriate programming language, and discussion of modeling skill.

9780471789086 • Paper • 565 pages • Oct 2007

Building Financial Models with Microsoft Excel A Guide for Business Professionals + CD-ROM, 2nd Edition K. Scott Proctor

This is a book on designing & implementing robust and flexible software for applications for financial instrument pricing problems using C++. The approach is very practical and geared towards IT professionals within banks involved in designing and implementing numerical models for financial derivative products. The book provides a step-by-step account of how to price financial derivatives using C++, design patterns and state-of-the-art numerical schemes and methods.

Unlike the more technical financial modeling books on the market which often require knowledge of VBA, this book provides beginning or intermediate level computer users with a comprehensive guide to building financial models using Microsoft Excel, the most popular spreadsheet program available. Building Financial Models with Microsoft Excel provides step-bystep instructions on the building of financial models using Excel, and the accompanying CD-ROM contains sample Excel worksheets to guide the reader. In addition, the book will cover topics such as the concept of valuation, sensitivity analysis, contribution margin and financial ratios, the basics of building and using a capitalization table, and how to best present a financial model, including the use of Microsoft Word and XBRL (eXtensible Business Reporting Language).

9780470855096 • Cloth • 432 pages • Jun 2004

9780470481745 • Cloth • 384 pages • Dec 2009

Financial Instrument Pricing Using C++ Daniel J. Duffy

Professional Financial Computing Using Excel & VBA Donny C. F. Lai, Humphrey K. K. Tung, Michael C. S. Wong, Stephen Ng Too often, books on financial computing provide only quickand-dirty implementations of financial models that have very little use in real-world applications. Professional Financial Computing Using Excel and VBA aims at providing real-world implementations of financial models that are robust, reusable, and flexible. The book covers a wide range of financial models in the areas of derivatives pricings, market and credit risk modeling, and advanced interest rate modeling. This book is designed for self-study, reference, and classroom use for graduate programs in financial engineering and computing.

9780470824399 • Cloth • 352 pages • Feb 2010

Financial Analysis and Modeling Using Excel and VBA 2nd Edition Chandan Sengupta Designed for self-study, classroom use, and reference, this second edition presents a comprehensive approach to developing both simple and sophisticated financial models in all major areas of finance using both Excel 2007 and VBA. Completely updated for Excel 2007 and with expanded coverage of important topics, this book assumes only basic knowledge of finance and Excel, and no previous knowledge of VBA but will make you an expert. The book reviews all the necessary financial theory and concept, and walks you through a wide range of real-world financial models that you can imitate and use for practice as well with the companion CD-ROM that includes full working versions of all the models discussed in the book.

9780470275603 • Paper • 784 pages • Nov 2009

Principles of Quantitative Development Manoj Thulasidas Principles of Quantitative Development is a step by-step-guide to designing, building and modifying a trading platform. Because of the high number of participants in the markets, the high speed and frequency of trades, and the time it takes to set up third party platforms, there is a massive demand for proprietary house-built trading systems which can plug in quant models, handle risk management and trade processing functions, but be quickly modified to host new models and change risk parameters. The book will highlight the overlap between the big picture of how a trade flows through the systems, and the role of a quantitative professional in the organization. It will therefore deal with the typical lifecycle of a trade as well as the technical aspects of platform design. To illustrate the technical aspects, the book will contain a fully functional pricing program and exercises based on it.

9780470745700 • Cloth • 416 pages • Jun 2010

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Credit Derivatives Trading, Investing, and Risk Management, with CD-ROM, 2nd Edition Geoff Chaplin This book covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. The book has been thoroughly revised and includes a large amount of new material. Coverage includes copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and the mathematics of the credit bubble. The book is accompanied by a CD-ROM which will illustrate the models used in the book and also provide an advanced valuation toolkit.

The Art of Credit Derivatives Demystifying the Black Swan

Strategies and new market developments

João Garcia, Serge Goossens

Foued Ayari

Credit derivatives have been instrumental in the recent increase in securitization activity. The complex nature and the size of the market have given rise to very complex counterparty credit risks. The Lehman failure has shown that these issues can paralyse the financial markets, and the need for detailed understanding has never been greater. The Art of Credit Derivatives shows practitioners how to put a framework in place which will support the securitization activity. By showing the models that support this activity and linking them with very practical examples, the authors show why a mind-shift within the quant community is needed - a move from simple modeling to a more hands on mindset where the modeler understands the trading implicitly.

9780470747353 • Cloth • 256 pages • Dec 2009

9780470686447 • Cloth • 320 pages • Jan 2010

Structured Credit Products Credit Derivatives and Synthetic Securitisation, 2nd Edition Moorad Choudhry Structured credit products are one of today’s fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralized debt obligations. This new edition features updated case studies from Europe and Asia, the latest developments in synthetic structures, the impact of the subprime meltdown, and a CD-ROM of models and teaching aids.

9780470824139 • Cloth • 300 pages • Dec 2009

Counterparty Credit Risk The new challenge for global financial markets Jon Gregory This book is a technical guide to counterparty risk and all related aspects, explaining the emergence of counterparty as the key financial risk during the recent credit crisis. The quantification of firm-wide credit exposure for all trading desks and businesses is discussed in detail, alongside all relevant risk mitigation methods such as netting, closeout and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full.

9780470685761 • Cloth • 416 pages • Dec 2009

The Rating Agencies and Their Credit Ratings What They Are, How They Work, and Why They are Relevant

Understanding Credit Derivatives

Counterparty Credit Risk and Hybrid Models Interest rates, commodities, equity and FX

The credit derivatives market has been growing exponentially for the last few years and will continue to do so. A feature of these products is that they are complex and not well understood and this is a serious concern for both market practitioners as well as for regulators. The existing literature is generally highly complex and highly mathematic, thus making it difficult to understand for most of the financial community. This book provides a clear and easy understanding of credit derivatives, in plain English, at the beginner to intermediate level from a practical and empirical point of view.

9780470987247 • Cloth • 352 pages • Jul 2010

Modelling Single-name and Multi-name Credit Derivatives Dominic O’Kane Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. Practical and accessible, the author does not assume any previous knowledge of credit derivatives. Products are explained in detail as are the requirements of any pricing model. While the book is undoubtedly mathematical, the emphasis is on building intuition, especially regarding the risk sensitivities of the product.

9780470519288 • Cloth • 514 pages • Jul 2008

Credit Derivatives Pricing Models Models, Pricing and Implementation Philipp J. Schönbucher In this book, the author carefully explains the different pricing models for credit derivatives in a very application-oriented way. Based on his wide experience in professional training for credit derivatives analysis, the models are developed with a view to their application to real pricing problems rather than just presenting the theory.

9780470842911 • Cloth • 396pages • May 2003

Lévy Processes in Credit Risk Wim Schoutens, Jessica Cariboni

Herwig Langohr & Patricia Langohr

Damiano Brigo, Massimo Morini, Andrea Pallavicini

This book is a guide to ratings, the ratings industry and the mechanics and economics of obtaining a rating. It sheds light on the role that the agencies play in the international financial markets. It avoids the sensationalist approach often associated with studies of recent rating scandals, and instead provides an objective and critical analysis of the business of ratings. It will be of practical use to any individual who has to deal with ratings and the ratings industry in their day-to-day job.

The book’s content is focused on quantitative methods of tackling valuation problems, supplying sound theoretical frameworks for the pricing and hedging of counterparty risk, linking particular models to particular ‘concrete’ financial situations. The authors also aim to help quantitative analysts, traders, and anyone else needing to measure counterparty risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems.

This introductory guide to Lévy processes covers all types of credit derivatives, from the single-name vanilla derivatives to more complex structured credit risk products. It refines credit risk modeling with jump processes, a vital revision for today’s tumultuous credit market. Readers will learn how the classical models can be improved with Lévy processes. The book uses real market data to analyze and illustrate derivative structures and covers both the practical and theoretical underpinnings of Lévy processes in credit risk modeling.

9780470018002 • Cloth • 524 pages • Jan 2009

9780470748466 • Cloth • 256 pages • Jul 2010

9780470743065 • Cloth • 200 pages • Jul 2009

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FX Options and Smile Risk Antonio Castagna This book takes readers through the main technicalities of the FX spot and options markets, building practical trading skills that will enable them to actually run an FX options book in the real world. It analyzes how to build FX volatility surfaces in robust and consistent ways and how to use them in the pricing of plain vanilla and exotic options, by means both of practitioners’ rules of thumb and of models encapsulating stochastic volatility. The book also enables readers to effectively hedge exposures to volatility surface and other risks related to exotic options. Appendices with VBA code are included. 9780470754191 • Cloth • 288 pages • Apr 2009

Modeling Foreign Exchange Options A Quantitative approach Uwe Wystup This book explains all of the products, pricing models and numerical techniques for the practical implementation of a pricing model. It moves beyond using the basic Black Scholes equation to price options to show readers how to use stochastic volatility models, Monte Carlo techniques, finite difference techniques, the Merton 76 model, general levy processes and stochastic skew models. It also guides the reader through modeling and pricing multi-currency trades, American options and long term FX options. The CD-ROM provides examples and problems to work through and code in C++, R, Visual Basic and Mathematica. 9780470725474 • Cloth • 352 pages • Apr 2010

FX Options and Structured Products Uwe Wystup This book explains the most popular products and strategies with a focus on everything beyond vanilla options, dealing with these products in a literate yet accessible manner, giving practical applications and case studies. A special emphasis on how the client uses the products, with interviews and descriptions of real-life deals means that it will be possible to see how the products are applied in dayto-day situations the theory is translated into practice.

Interest Rate Swaps and Their Derivatives A Practitioner’s Guide Amir Sadr Interest Rate Swaps and Their Derivatives is unique in that it is written by an experienced trader who has traded swaps, options and exotics. As a result, Sadr aims to bridge the gap between the theory of these instruments and actually using them in day-to-day life. He has written the book for practitioners in the field of interest rate derivatives (traders, marketers, operations). The book covers the main “rates” products: swaps, options (cap/floors, euro swaptions), CMS products, and Bermudan callables. The book emphasizes the exotics/structured-notes area, which is currently the most challenging part of the market, since their pricing and risk issues are difficult to understand and implement. Rather than focus on the mathematics, Sadr uses simple settings and illustrations to show real results and insights. 9780470443941 • Cloth • 272 pages • Sep 2009

Advanced Modeling for Complex Interest Rate Products John Schoenmakers, Denis Belomestny Advanced Modeling for Complex Interest Rate Products provides well structured extensions of the Libor market model which are based on processes with stochastic and jumps. The book develops a range of models which can be used to model and price interest rate products such as options and caps. In particular, the book will enable practitioners to effectively calibrate the models to particular market data and prices, and reveals how unstable and inflexible the current models actually are. It will be a must-have resource for the quant who wants to remain at the cutting edge of derivatives modeling and pricing. 9780470697122 • Cloth • 416 pages • Aug 2010

9780470011454 • Cloth • 340 pages • Nov 2006

Options on Foreign Exchange 3rd Edition David F. DeRosa Written by a practitioner with real-world experience on an investment bank FX desk, Options on Foreign Exchange, 3rd Edition employs real-world terminology so readers can make a quick transition to actual market price. The opening chapters present a substantive discussion of the spot and forward foreign exchange market and the mechanics of trading currency options. The Black-Scholes-Merton option pricing model as applied to currency options is covered, along with an examination of currency futures options.

The LIBOR Market Model in Practice Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk This book provides a full practitioners approach to the LIBOR Market Model (LMM). It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. Co-authored by Dariusz Gatarek, the G in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates. 9780470014431 • Cloth • 290 pages • Dec 2006

9780470239773 • Cloth • 304 pages • Apr 2010

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Fourier Transform Methods in Finance

Exotic Options Trading

Umberto Cherubini, Dr. Giovanni Della Lunga, Prof. Sabrina Mulinacci, Mr. Pietro Rossi

Written by experienced trader and consultant Frans de Weerts, Exotic Options Trading offers a risk-focused approach to the pricing of exotic options. It gives readers the necessary tools to understand exotic options, this book serves as a manual to equip the reader with the skills to price and risk manage the most common and the most complex exotic options.

In recent years, fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes. Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier pricing methods; the dynamics of asset prices; non stationary market dynamics; arbitrage free pricing; generalized functions and the Fourier transform method. 9780470994009 • Cloth • 248 pages • Dec 2009

Frans de Weert

By explaining the practical implications for every exotic option and how it affects the price, in addition to the necessary mathematical derivations and tools for pricing exotic options, Exotic Options Trading removes the mystique surrounding exotic options in order to give the reader a full understanding of every aspect of each exotic option, creating a useable tool for dealing with exotic options in practice. 9780470517901 • Cloth • 212 pages • Feb 2008

The Blank Swan The End of Probability Elie Ayache The Blank Swan is Elie’s highly original treatise on the financial markets - presenting a totally revolutionary rethinking of derivative pricing and technology. It is not a diatribe against Nassim Taleb’s The Black Swan, but criticises the whole background or framework of predictable and unpredictable events - white and black swans. In this revolutionary book, Elie redefines the components of the models needed to price and trade derivatives, and redefines the actual trading of derivatives and derivative pricing. Most importantly he redefines the market itself against the common perceptions of both orthodox financial theory and the sociology of finance. This book will change the way that we think about options and trade volatility and establishes the missing link between quantitative modelling and the reality of the market. 9780470725221 • Cloth • 288 pages • Feb 2010

Exotic Options and Hybrids A Guide to Structuring, Pricing and Trading Mohamed Bouzoubaa, Adel Osseiran Exotic Options and Hybrids is the first book to guide practitioners on how to structure, price and trade modern exotic and hybrid derivatives, without complicating matters with the use of maths. Starting from the unique practical setting of being in a derivatives operation, the book focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. The book will take readers through all the applications, strengths and limitations of various models, focussing on the products and their risks rather than the model implementations. Readers can thus understand how models work when applied to pricing and hedging. 9780470688038 • Cloth • 352 pages • Feb 2010

Swaps and Other Derivatives 2nd Edition Richard Flavell Fully revised and updated from the first edition, Swaps and other Derivatives, Second Edition, provides a practical explanation of the pricing and evaluation of swaps and interest rate derivatives. Based on the author’s extensive experience in derivatives and risk management, working as a financial engineer, consultant and trainer for a wide range of institutions across the world this book discusses in detail how many of the wide range of swaps and other derivatives, such as yield curve, index amortisers, inflation-linked, cross-market, volatility, diff and quanto diffs, are priced and hedged. It also describes the modelling of interest rate curves, and the derivation of implied discount factors from both interest rate swap curves, and cross-currency adjusted curves.

Exotic Option Pricing and Advanced Lévy Models Edited by Andreas Kyprianou, Wim Schoutens, Paul Wilmott Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. 9780470016848 • Cloth • 344 pages • Aug 2005

Equity Hybrid Derivatives Marcus Overhaus, Ana Bermudez, Hans Buehler, Andrew Ferraris, Christopher Jordinson & Aziz Lamnouar This book acquaints readers with leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly being used for active investment strategies used by hedge funds. Equity Hybrid Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated with an emphasis on demonstrating its practical application. 9780471770589 • Cloth • 336 pages • Feb 2007

9780470721919 • Cloth • 480 pages • Nov 2009

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Practical Financial Optimization

Financial Derivatives Pricing and Risk Management

Decision Making for Financial Engineers

James A. Overdahl (Edited by) Robert W Kolb As part of the Robert W. Kolb Series in Finance, Financial Derivatives skillfully explores the contemporary world of financial derivatives. Starting with a presumption of only a general knowledge of undergraduate finance, this collection of essential readings, written by leading figures in academics, industry, and government, provides a comprehensive understanding of financial derivatives. The contributors provide a complete overview of the types of financial derivatives and the markets in which they trade. 9780470499108 • Cloth • 624 pages • Nov 2009

The Practical Guide to Wall Street

Stavros A. Zenios This book gives a comprehensive account of financial optimization models used to support decision-making for financial engineers. It starts with the classical static mean-variance analysis and portfolio immunization, moves on to scenario-based models, and builds towards multiperiod dynamic portfolio optimization. As the story unfolds, the relationships between classes of models are revealed. Once the foundations are laid with several building blocks and the broad landscape of financial optimization is charted, the book moves on to analyze several real-world applications. In this way the reader acquires not only solid knowledge of the foundations of financial optimization, but also a taste for the large-scale models that can be grounded on these foundations. The math prerequisite is optimization with matrix algebra. 9781405132008 • Cloth • 432 pages • Jan 2008

Essays in Derivatives

Equities and Derivatives Matthew Tagliani The Practical Guide to Wall Street is an indispensable resource for anyone who aspires to front-office sales or trading position on Wall Street, and an essential desk reference for market practitioners and those who interact with this exciting but widely misunderstood industry. Written by an experienced trader in a clear, conversational style and assuming no previous background in finance, The Practical Guide to Wall Street provides a thorough schooling in the core curriculum of the equity and equity derivatives sales and trading business. This book provides the first comprehensive explanation of all aspects of the functioning of the equities division, with information, details and insights previously only available to those who already worked on a trading floor. 9780470383728 • Cloth • 528 pages • Apr 2009

Risk-Transfer Tools and Topics Made Easy, 2nd Edition Don M. Chance In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices. 9780470086254 • Cloth • 432 pages • Jun 2008

Practical Financial Optimization

Property Derivatives

A Library of GAMS Models

Pricing, Hedging and Applications

Stavros A. Zenios, Soren S Nielson, Andrea Consiglio

Juerg M. Syz

In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. GAMS consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers numerical algorithms to solve them. The system was developed in response to the need for powerful and flexible front-end tools to manage large, real-life models. The title will be a valuable guide for quantitative developers and analysts, portfolio and asset managers, investment strategists and advanced students of finance.

This book is a practical introduction to property derivatives and their numerous applications. Providing a comprehensive overview of the property derivatives market and indices, there is also in-depth coverage of pricing, hedging and risk management, which will deepen the readers understanding of the markets mechanisms. Covering both the theoretical and practical aspects of the property derivatives markets, this book is the definitive reference guide to a new and fast-growing market.

9781405133715 • Cloth • 200 pages • May 2009

9780470998021 • Cloth • 252 pages • Jun 2008

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Commodity Derivatives Markets and Applications Neil C. Schofield This book provides extensive coverage of both hard and soft commodities, including gold, crude oil, electricity, plastics, emissions and agriculturals. Using structures unique to the individual market, each chapter includes an explanation of the commodity and an analysis of its physical market, discussion on the typical patterns of demand and supply and the main factors that will influence the price of the commodity, and the main products. Each chapter focuses on how the products could be used along the physical supply chain and seeks to identify the main market risks and how they can be hedged. The book then brings into perspective how the structuring banks hedge their own resultant exposure and examines the attraction of OTC investment structures for the wholesale market. 9780470019108 • Cloth • 336 pages • Nov 2007

Accounting for Derivatives Advanced Hedging under IFRS Juan Ramirez Accounting for Derivatives: Advanced Hedging Under IFRS is a comprehensive practical guide to hedge accounting. The author has drawn on his day-to-day experience, advising corporate CFOs and treasurers on sophisticated hedging strategies to provide an invaluable resource for the practitioner. The most frequently used hedging strategies are all covered and the most pressing challenges that corporate executives face today in this area are addressed. Accounting for Derivatives is case-driven throughout, with each specific case analyzing in detail a real-life hedging strategy. A broad range of hedging strategies have been included, some of them using sophisticated derivatives. 9780470515792 • Cloth • 448 pages • Oct 2007

Financial Engineering and Arbitrage in the Financial Markets Robert Dubil Many students of financial markets and institutions learn a lot of the descriptive details about types of securities and products traded, but do not gain a real insight into what drives people to trade in these markets. They leave the classroom still believing that financial trading firms primarily speculate on the direction of the market movements or earn money from fees. They fail to grasp the concept of relative value arbitrage, which drives most of the trading in today’s fast and interconnected markets. This book will teach them what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. It will explain to the reader what all the people sitting on the trading floors of financial firms do and why they all sit together. 9780470746011 • Cloth • 416 pages • Feb 2010

Financial Engineering Tanya S. Beder, Cara M. Marshall, (Edited by) Robert W. Kolb The purpose of this book is to provide a comprehensive view of financial engineering by describing the current state of financial research and practices, including timeless techniques. There will be a focus on the future of financial engineering and a discussion of several techniques that were created to exploit specific opportunities as they developed. The book is intended for senior managers, board members, regulators, finance professionals, as well as advanced undergraduate and graduate students.

How I Became a Quant Insights from 25 of Wall Street’s Elite Richard R. Lindsey, Barry Schachter With the support of the International Association of Financial Engineers, this book offers both business students and financial professionals the chance to learn firsthand what it’s like to be a quant today. Thirty quants have contributed a chapter based on their own personal experiences, accompanied by a brief biography, which includes key events and the stories behind their careers. An introductory chapter written by Schachter and Lindsey provides a framework for the contributions, and detail how globalization and technology created the need for and the means of the quantification of financial markets. It also discusses the Black-Scholes phenomenon, the option pricing model, and the quick adoption by the financial markets. 9780470452578 • Paper • 386 pages • Aug 2009

My Life as a Quant Reflections on Physics and Finance Emanuel Derman As investment firms increasingly rely on advanced quantitative financial models to generate profits, large “quant” departments staffed by former physicists, mathematicians, and computer scientists have become routine on Wall Street. Emanuel Derman, one of the first physicists to move to Wall Street, is its most well-known quant whose career path parallels the growth of quantitative modeling. My Life as a Quant traces his pilgrim’s progress from ambitious academic scientist to managing director and head of the renowned Quantitative Strategies group at Goldman, Sachs & Co., one of the world’s most elite investment firms. Derman reveals his experiences learning to adapt the methods of science to finance and working with some of the finest minds in the business, including Fischer Black (with whom he developed the widely used BlackDerman-Toy model of interest rates). He also recounts his adventures with other quants, traders, and other high fliers on Wall Street. 9780470192733 • Paper • 292 pages • Dec 2007

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The Ideal Risk, Uncertainty, and Performance Measures Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. 9780470053164 • Cloth • 382 pages • Apr 2008

9780470455814 • Cloth • 528 pages • Jun 2010

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Risk Management in Banking 3rd Edition Joel Bessis

Financial Risk Manager Handbook 5th Edition Philippe Jorion, GARP (Global Association of Risk Professionals) Risk professionals looking to earn the Financial Risk Manager (FRM) certification, as well as corporate training programs, professors, and graduate students all rely on the Financial Risk Manager Handbook for the most comprehensive and up-to-date information on financial risk management. Filled with in-depth insight and practical advice, the FRM Handbook is the core text for risk management training programs worldwide. Presented in a clear and consistent fashion, this completely updated Fifth Edition which comes with an interactive CD-ROM containing hundreds of multiple choice questions from previous FRM exams-is one of the best ways to prepare for the Financial Risk Manager (FRM) exam.

9780470479612 • Paper • 752 pages • May 2009

Spreadsheet Risk Grenville Croll This is the first book to comprehensively address the many problems caused by the widespread and naïve use of spreadsheets in organisations. Many users do not take into account that through their use of a spreadsheet to solve a problem, they are deploying a complex software application. Technology can be faulty, but also spreadsheets are used, misused, abused and through the non-adoption of any of the disciplines of software engineering. Spreadsheet Risk lays bare the various risks of using spreadsheets, and what to do about it. Supported by a comprehensive summary of the well-established academic and commercial research on the subject, it includes simple exercises for the reader to perform which will support the truth of the research being reported and outlines the strategies and tactics which can be put in place to control the risks of using spreadsheets.

9780470748541 • Cloth • 352 pages • Feb 2010

Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take in to account the changing face of risk management. Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, credit models based on time intensity models, implementing risk systems and intensity models of default, it also includes a section on Subprime that discusses the crisis mechanisms and makes numerous references throughout to the recent stressed financial conditions. The book postulates that risk management practices and techniques remain of major importance, if implemented in a sound economic way with proper governance. Risk Management in Banking: third edition considers all aspects of risk management emphasizing the need to understand conceptual and implementation issues of risk management and examining the latest techniques and practical issues, including: • Asset-Liability Management • Risk regulations and accounting standards • Market risk models • Credit risk models • Dependencies modeling • Credit portfolio models

Macrofinancial Risk Analysis Dale Gray, Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.

9780470058312 • Cloth • 362 pages • Mar 2008

The Handbook of Risk Management Implementing a Post Crisis Corporate Culture Philippe Carrel This handbook shows a firm how to repurpose its risk management in order to design and implement a corporate culture which involves all business units and individuals at each level of the hierarchy, how to analyse its risk appetite, translate it into risk policies and risk targets and distribute responsibilities and capabilities accordingly. The book explains how to identify risk exposure across the enterprise; how to empower each business unit with risk management capabilities; how to create an information workflow for preventative decision making; how to align funding strategies and liquidity management tactics with corporate risk policies and finally, how to deal with risk management in external communications.

9780470681756 • Cloth • 192 pages • Feb 2010

• Capital Allocation

Extreme Events

• Risk-adjusted performance • Credit portfolio management Building on the considerable success of this classic work, the third edition is an indispensable text for MBA students, practitioners in banking and financial services, bank regulators and auditors alike. 9780470019139 • Paper • 800 pages • Dec 2009

9780470019122 • Cloth • 800 pages • Dec 2009

Robust Portfolio Construction in the Presence of Fat Tails Malcolm Kemp Markets are fat-tailed; extreme outcomes occur more often than many might hope, or indeed the statistics or normal distributions might indicate. In this book, the author provides readers with the latest tools and techniques on how best to adapt portfolio construction techniques to cope with extreme events. Beginning with an overview of portfolio construction and market drivers, the book analyzes fat tails, what they are, their behaviour, how they can differ and what their underlying causes are. The book then moves on to look at portfolio construction techniques which take into account fat tailed behaviour, and how to stress test your portfolio against extreme events. Finally, the book analyzes really extreme events in the context of portfolio choice and problems.

9780470750131 • Cloth • 256 pages • Jun 2010

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Market Consistency

Basic Quantitative Finance

Model Calibration in Imperfect Markets

Edited by John Banko

Malcolm Kemp In Market Consistency: Model Calibration in Imperfect Markets, leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. The book explores how risk management and related disciplines might develop as fair valuation principles become more entrenched in finance and regulatory practice. This is the only text that clearly illustrates how to calibrate risk, pricing and portfolio construction models to a market consistent level, carefully explaining in a logical sequence when and how market consistency should be used, what it means for different financial disciplines and how it can be achieved for both liquid and illiquid positions.

As part of the Robert W. Kolb Series in Finance, Basic Quantitative Finance is the essential guide to the now immensely popular and controversial topic of mathematical finance and trading. Using a balance of theory and practical application, this book explores the basics of quantitative finance and will improve your understanding of the many issues associated with it. The book is the first comprehensive volume to discuss the research, analysis, and day-to-day work of quantitative analysts or “quants”. Experienced author John Banko outlines the essential elements of quantitative finance and examines the role that quantitative finance and quants play in modern financial markets. A complete resource and authoritative guide, Basic Quantitative Finance will enhance your understanding of this dynamic discipline.

9780470770887 • Cloth • 376 pages • Sep 2009 9780470499122 • Cloth • 528 pages • Apr 2010

The New Science of Asset Allocation

Managing Credit Risk The Great Challenge for Global Financial Markets, 2nd Edition

Risk Management in a Multi-Asset World Thomas Schneeweis, Garry Crowder, Hossein Kazemi Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you’ll discover how to make it work. In The New Science of Asset Allocation, authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then examine how the practice of asset allocation has failed in recent years. They outline a new approach to asset allocation in a post 2008 world, which employs liquidity, transparency, and real risk controls across multiple asset classes. The approach also includes an examination of the “great manager” problem, offering solutions on how to capture manager alpha while limiting downside risk.

John B. Caouette, Edward I. Altman, Paul Narayanan, Robert Nimmo There have been significant developments and changes to the world of credit risk management in recent years. Managing Credit Risk, Second Edition will touch upon all these changes, including a new emphasis on actively managing credit risk, the introduction of important regulatory changes, and the impact of hedge funds on the field of credit. In addition, the second edition will include updates and expanded discussions of the following topics: techniques used to control credit risk; historical roots of credit management; a look into the classic industry players (banks, finance companies, insurance companies); and consumer credit models.

9780470118726 • Cloth • 628 pages • Jun 2008 9780470537404 • Cloth • 224 pages • Mar 2010

Handbook of Asset and Liability Management From Models to Optimal Return Strategies

Pricing and Risk Management

Alexandre Adam

Geoff Chaplin, Jim Aspinwall, Mark Venn

In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for asset and liability managers both for the present day and the future.

9780470034965 • Cloth • 576 pages • Oct 2007

Brownian Motion Calculus Ubbo F. Wiersema There are not many calculus books that are very accessible to students without a strong mathematical background and the large majority of financial derivatives students do not have a strong quantitative background. This book provides a short introduction to the subject with examples of its use in mathematical finance e.g pricing of derivatives. Wiersema assumes only a basic knowledge of calculus and probability and guides the reader through the book with examples and exercises.

9780470021705 • Paper • 330 pages • Apr 2008

Life Settlements and Longevity Structures

This book provides readers of all levels of experience with essential information on the process surrounding the acquisition and management of a portfolio of life settlements; the assessment, modelling and mitigation of the associated longevity, interest rate and credit risks; and practical approaches to financing and risk management structures. The authors provide a detailed exploration of the mathematical formulae surrounding the generation of mortality curves, drawing a parallel between the tools deployed in the credit derivatives market and those available to model longevity risk.

9780470741948 • Cloth • 274 pages • Jun 2009

Handbook of Mortality and Longevity Factors, Models and Markets Paul Sweeting Mortality and Longevity: Factors, Models and Markets provides a complete reference to the fast growing field of mortality and longevity modelling. Starting with the very basics and moving on to intermediate and advanced topics, readers will learn everything they need to model mortality completely. It looks at the mathematical functions affecting life expectancy, and crucially, the way that these differ between people and over time. It also analyses the various genetic, environmental and medical factors that determine these relationships.

9780470744741 • Cloth • 416 pages • Nov 2010

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Credit Risk Management In and Out of the Financial Crisis

Risk Management in Finance

Six Sigma and other Next Generation Techniques

Anthony Tarantino, Deborah Cernauskas,

New Approaches to Value at Risk and Other Paradigms, 3rd Edition Anthony Saunders, Linda Allen This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling - credit scoring, structural, and reduced form models - while offering sound advice for stress testing credit risk models and when to accept or reject loans. The book breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them. It concentrates on the underlying economics to objectively evaluate new models, and includes new chapters on how to prevent another crisis from occurring. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.

9780470478349 • Cloth • 400 pages • Apr 2010

Liquidity Risk Measurement and Management

A Practitioner’s Guide to Global Best Practices

This book provides a general overview and introduction to quality control methods such as Six Sigma and Total Quality Management (TQM). It provides an examination of control tools commonly used and new techniques. It covers statistical process monitoring tools such as CUSUM charts and exponential weighted moving averages. The book also provides new approaches to data management, predictive analytics, Bayesian process controls, and automated remediation controls. There are examples and case studies of implementations of quality financial and initiatives from various industries and real world examples of six sigma in financial services.

9780470413463 • Cloth • 360 pages • May 2009

Modeling Risk

Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, and Optimization Techniques Johnathan Mun Modeling Risk and its companion CD-ROM, which includes trial versions of the Risk Simulator and Real Options Super Lattice Solver software created by the author and multiple Excel models, provide up-to-date coverage of risk analysis and offers the reader an intuitive feel of what risk looks like, as well as the different ways of quantifying it. Modeling Risk offers professionals in all industries a more comprehensive guide on key risk concepts and includes strategic business cases in the pharmaceutical, biotech, real estate, financial services, nonprofit, military, and oil and gas industries.

9780471789000 • Cloth • 624 pages • Jun 2006

Leonard Matz, Peter Neu This book gives you the guidance and the tools you require to take control of your bank’s liquidity risk. No other resource takes you from the general principles of liquidity management to the specific financial strategies and gives you the tools you need to implement them. Specific recommendations for liquidity management help you determine the actions you need to take. Bank-specific case studies and examples (including actual balance sheet data) make it easy to apply the methods. Sample liquidity policies and contingency plans provides a useful template. Worksheets, ratios, formulas, and checklists help you to save time and get the numbers right.

9780470821824 • Cloth • 350 pages • Dec 2006

Risk Arbitrage

An Investor’s Guide, 2nd Edition

Managing Liquidity in Banks A Top Down Approach Rudolf Duttweiler In this title, Duttweiler advances the study of quantitative liquidity risk management with the concept of the ‘Liquidity Balance Sheet’, which allocates portfolios into a specific structure, and consequently is able to account for potentially negative surprises so that the necessary buffers can be quantified. The book begins with an overview of liquidity as part of financial policy and highlights the importance of liquidity as part of a general business concept and as protector and supporter of a business as a going concern. The author examines the role of liquidity in helping managers to achieve high-level liquidity aims to support operating units to achieve business goals. He looks at quantitative methods of assessing a bank’s liquidity levels, including LaR and VaR, to establish an integrated concept in which liquidity is incorporated into the framework of financial policies. He also presents methods, tools, scenarios and concepts to create a policy framework for liquidity and to support contingency planning.

9780470740460 • Cloth • 304 pages • Apr 2009

Keith M. Moore, Jason Dahl, Christopher Pultz

Bayesian Methods in Finance

While the first edition of Risk Arbitrage is considered the definitive text in this area, a lot has changed in recent years. Both the growth in hedge funds and the changing nature of the merger and acquisition business have affected the process of risk arbitrage and the techniques used to participate in the business. Thus, the authors are going to great lengths to make this revised edition as current as possible with case studies on new mergers, information on new legal changes that affect merger interactions, and details about the rise of computers and trading systems, which have had a major effect on an individual’s ability to compete with professionals in managing risk arbitrage portfolios. Lastly, the authors plan to include a workbook or website that can be updated more frequently and will provide exercises and techniques on how to compute spreads (cash deals, stock deals, and mixed transactions) and how to determine risk (downside risk, upside risk, total risk, and market-adjusted risk).

Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva, Frank J. Fabozzi

9780470379745 • Cloth • 304 pages • Jun 2010

9780471920830 • Cloth • 329 pages • Mar 2008

Bayesian Methods in Finance explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms. It provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management. With this book as their guide, readers will learn how to use Bayesian methods, and notably, the Markov Chain Monte Carlo toolbox, to incorporate the prior views of a fund manager into the asset allocation process, estimate and predict volatility, improve risk forecasts, calculate option prices, and combine the conclusions of different models. Bayesian Methods in Finance clearly shows readers how to apply this approach to the world of investment management, risk management, asset pricing, and corporate finance.

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Risk Arbitrage Guy Wyser-Pratte Originally published in 1982, Risk Arbitrage has become a classic on arbitrage strategies by the “dean of the arbitrage community.” It provides an overview of risk arbitrage, how it has been used over the centuries and particularly in modern markets, with a focus on merger arbitrage. From average expected returns to turning a position, cash tender offers, exchange offers, recapitalizations, spinoffs, stub situations, limited risk arbitrage, and corporate freezeins, the book provides a step by step walk through of a world of arb strategies illuminated by real world examples and case studies.

From Risk Measurement Models to Capital Allocation Policies Andrea Sironi, Andrea Resti This book presents an integrated framework for risk measurement, capital

management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders value. Parts I to IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-todate, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the fair return expected by shareholders, to monitor the value creation process.

9780470415719 • Paper • 304 pages • Feb 2009

The Bank Analyst’s Handbook Money, Risk and Conjuring Tricks Stephen M. Frost The Bank Analyst’s Handbook provides an introduction to financial markets and intermediation. Individual subject areas are covered in a thorough but clear and succinct manner. The breadth of the author’s experience as a sell-side bank analyst is exploited to good effect to pull together these threads and create a coherent framework for the analysis of financial markets, whether these are in advanced economies or developing markets. It builds on orthodox financial theory (with all of its flaws and controversies) but also highlights many of the real problems involved with translating such theory into practice. 9780470091180 • Cloth • 572 pages • Apr 2004

The Bank Credit Analysis Handbook A Guide for Analysts, Bankers and Investors, 2nd Edition Jonathan Golin The Bank Credit Analysis Handbook, Second Edition explains the role and methodologies of bank credit analysts, giving both investors and practitioners an insider’s perspective on how rating agencies assign all-important credit ratings to banks. Updated for today’s environment of increased oversight and calls for transparency, it includes international case studies of bank credit analysis; suggestions and insights for understanding and complying with the Basel Accords; techniques for reviewing asset quality on both quantitative and qualitative bases; studies of the restructuring of distressed banks, bank rating types and symbologies; and more. Charts, graphs, and spreadsheet illustrations help tie together the issues discussed throughout the text. 9780470821572 • Cloth • 800 pages • Jan 2010

Risk Quantification Management, Diagnosis and Hedging

9780470029787 • Cloth • 808 pages • Apr 2007

Advanced Analytical Models Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond Johnathan Mun Advanced Analytical Models offers a comprehensive set of analytical models covering a range of industries, including manufacturing, military, banks, financial services, oil and gas, operations, and much more. If you’re seeking solutions to advanced and even esoteric problems, this book goes beyond theoretical discussions of modelling by facilitating a thorough understanding of concepts and their real-world applications - including the use of embedded functions and algorithms. This reliable resource will equip you with all the tools you need to quantitatively assess risk in a range of areas, whether you are a risk manager, business decision-maker, or investor. The book comes complete with a companion DVD that includes all of the models discussed in the book, as well as trial version software of Mun’s Risk Simulator and Real Options SLS. 9780470179215 • Cloth • 1014 pages • May 2008

Practical Portfolio Performance Measurement and Attribution 2nd Edition Carl R. Bacon

This book is designed to equip each board member, each executive and each field manager, with the tool box enabling them to quantify the risks within his/her jurisdiction to all the extent possible and thus make sound, rational and justifiable decisions, while recognising the limits of the exercise. Beyond traditional probability analysis, used since the 18th Century by the insurance community, it offers insight into new developments like Bayesian expert networks, Monte-Carlo simulation, etc. with practical illustrations on how to implement them within the three steps of risk management, diagnostic, treatment and audit.

Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in todays financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management, and also a CD-ROM containing worked examples for the majority of exhibits.

9780470019078 • Cloth • 286 pages • Dec 2006

9780470059289 • Cloth • 402 pages • May 2008

Laurent Condamin, Jean-Paul Louisot, Patrick Naïm

Risk Management and Shareholders’ Value in Banking

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Scenarios for Risk Management and Global Investment Strategies

Simple Tools and Techniques for Enterprise Risk Management

Rachel E. S. Ziemba, William T. Ziemba

Ideal for practitioners and implementation specialists, Tools and Techniques in Enterprise Risk Management provides a structured approach to ERM, which helps readers implement the process in their organizations. With case studies and practical examples from a variety of industries, the author approaches ERM from the perspective of a practitioner, following a step-by-step process modeled on real implementations. It brings together risk management practice, identification techniques, modeling techniques, business analysis, and the underlying statistics of ERM to form a complete and comprehensive guide to the practice.

Robert J. Chapman

Scenarios for Risk Management and Global Investment Strategies assesses the risks and challenges of modern investing, focusing on the importance of adapting and responding to changing investment climates. This book discusses the probabilities that various future events will occur an how these events and their probable occurrences influence investment decisions. The book includes empirical studies of key markets and sectors and successful and disastrous investment results along with superior optimization strategies of the great investors. The book contains essential material for hedge fund managers, quants and traders, supplying them with the tools to build accurate investment scenarios and optimize returns.

9780470319246 • Cloth • 334 pages • Nov 2007

Operational Risk Assessment The Commercial Imperative of a More Forensic and Trasparent Approach Brendon Young , Rodney Coleman This book is concerned with the efficient and effective management of operational risk; its primary aims being to improve the quality and stability of earnings and to reduce the probability of failure, by optimizing risk. It seeks to promote transparency - a new requirement under Pillar three of the new Basel Accord (Basel II), which is seen as a facilitator of competition and efficiency as well as being a barrier to fraud, corruption and financial crime. It shows financial institutions how to provide investors with a sound understanding of the approaches used to assess the standing of firms and determine their true potential (identifying probable future winners and losers). Initially, the book looks at traditional methods of risk assessment and shows how these have developed into the approaches currently being used. It then goes on to consider the more advanced forensic techniques being developed, which will undoubtedly increase understanding.

9780470753873 • Cloth • 456 pages • Apr 2009

Corporate Risk Management 2nd Edition

9780470014660 • Cloth • 494 pages • Apr 2006

Measuring Operational and Reputational Risk A Practitioner’s Approach Aldo Soprano, Bert Crielaard, Fabio Piacenza, Daniele Ruspantini Measuring Operational and Reputational Risk: A Practitioners Approach maps out the process of risk assessment and mitigation undertaken by risk managers at UniCredit Group in response to the requirements of the Basel II Accord. The book presents a set of risk assessment methods which will be of use to risk managers and quantitative risk analysts for a variety of risk management purposes in unique scenarios. The reader is taken through the processes of risk assessment in view of the Basel Accord requirements, from the identification and evaluation of the calculation dataset, to scenario analysis and analysing insurance for operational risk. The title will be valuable to quantitative analysts, quantitative developers and risk managers trying to digest and integrate the new Basel requirements.

9780470517703 • Cloth • 226 pages • Mar 2009

Foundations of Banking Risk An Overview of Banking, Banking Risks, and RiskBased Banking Regulation GARP (Global Association of Risk Professionals)

Tony Merna, Faisal F. Al-Thani Risk management is one of the most important issues facing organisations today. With an increasing pace of change, customer demands and market globalisation, having a process in place to identify, assess and manage major business risks is essential to survive in todays market. Getting the balance right is key; the opportunities are as important as the threats. Fully updated from the first edition, this book compares and contrasts tools and techniques used in risk management, showing readers how to implement a generic risk management mechanism. Including up-to-date guidance on new regulations in corporate governance, including updates on the Turnbull and Sarbanes Oxley acts, the Higgs report and European legislation, the book presents a fully updated and expanded model framework for analysing risk at corporate, strategic business and project levels.

9780470518335 • Cloth • 440 pages • Apr 2008

Enterprise Risk Management Today’s Leading Research and Best Practices for Tomorrow’s Executives Edited by Betty Simkins, John Fraser

The first in a series of study guides for GARP’s International Certificate in Banking Risk and Regulation program, GARP’s Foundations of Banking Risk and Regulations creates a comprehensive understanding of the bank risks and the regulatory environment under which banks operate. It focuses on core banking risks: market, credit, and operational—and how international regulation, including the Basel II Accord, affects the management of these risks. The full International Certificate in Banking Risk and Regulation program reflects the insight of internationally recognized leaders in banking and risk management. Completing the entire program is not only an accomplishment, but also the right step in career development.

9780470442197 • Paper • 264 pages • Aug 2009

Modeling and Forecasting Electricity Loads and Prices A Statistical Approach Rafal Weron

This invaluable guide offers a broad overview of the different types of techniques: the role of the board, risk tolerances, risk profiles, risk workshops, allocation of resources, while focusing on the principles that determine business success. It also provides a thorough introduction to enterprise risk management as it relates to credit, market and operational risk, as well as the evolving requirements of the rating agencies and their importance to the overall risk management in a corporate setting. Filled with helpful tables and charts, Enterprise Risk Management offers a wealth of knowledge on the drivers, the techniques, the benefits, as well as the pitfalls to avoid, in successfully implementing enterprise risk management.

Modeling and Forecasting Electricity Loads and Prices offers an indepth review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes - electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series - including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. An accompanying CD-ROM containing both the data and detailed examples of implementation of different techniques in Matlab will enable readers to retrace all the intermediate steps of a practical implementation of a model and test their understanding of the method and correctness of the computer code using the same input data.

9780470499085 • Cloth • 576 pages • Jan 2010

9780470057537 • Cloth • 192 pages • Oct 2006

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Energy and Power Risk Management

Energy Markets Price Risk Management and Trading

New Developments in Modeling, Pricing, and Hedging, 2nd Edition

Tom James

Energy and Power Risk Management, Second Edition addresses the complex issues and challenges arising in the expanding market for energy derivatives, providing readers with insight into modeling, hedging, and risk management techniques utilized in the energy markets. This fully revised and updated Second Edition provides significantly more coverage of the oil and oil product markets as well as commodity-linked fixed-income products, and also reviews the impact technical developments in modeling and model estimation have made within this industry over the last few years.

This is a practitioners’ guide to trading the markets and optimizing company performance using the correct price risk strategies and tools. As a company exposed to the price increases/decreases and the high volatility in energy prices experienced since the turn of the new century, this book will help you put in place the management controls and reporting structures necessary to ensure that your hedging programme achieves its goals and does not add unexpected or unwanted risks to your firm. As a direct trader in these markets or as an investor in hedge funds in the energy sector it will give you an insight to the global energy markets and their operation.

9780471784210 • Cloth • 700 pages • Oct 2010

9780470822258 • Cloth • 450 pages • Jan 2008

Alexander Eydeland, Krzysztof Wolyniec

Foundations of Energy Risk Management An Overview of the Energy Sector and Its Physical and Financial Markets GARP (Global Association of Risk Professionals) GARP created the Certificate in Energy Risk Management to provide a practical understanding of the risks inherent in the energy industry and to offer a comprehensive overview and analysis based on the everyday practice of energy risk management in the global physical and financial energy markets. Foundations of Energy Risk Management is an integral part of GARP’s Certificate in Energy Risk Management’s rigorous, practice-driven, comprehensive program developed to meet the needs of today’s dynamic global energy markets and the highly skilled professionals working with energy and the first in a series of books focusing on energy risk management. Each chapter contains practical, real-life examples and explanations of energy-related events to explain the “science” and “business” of energy. Tables, graphs, and diagrams reveal the complex path energy takes to reach the consumer, the risks relating to various energy commodities, and the role of the commodity markets.

Managing Energy Risk An Integrated View on Power and Other Energy Markets Markus Burger, Bernhard Graeber, Gero Schindlmayr Managing Energy Risk is a practical guide to using modern techniques in financial mathematics for trading energy. Taking a multi-commodity view on the energy markets, addressing electricity, oil, gas, coal and CO2 emissions and explaining their fundamental relations, this book is a comprehensive overview of the energy markets and their products explaining models for pricing, portfolio optimization, risk measurement and market analysis. By integrating energy economics approaches, including fundamental market models, with financial engineering approaches commonly used in banks and other trading companies, Managing Energy Risk is valuable resource, relevant for risk management, structuring, pricing, market analysis, and model development. 9780470029626 • Cloth • 316 pages • Nov 2007

9780470421901 • Paper • 120 pages • Nov 2008

Handbook of Finance 3 Volume Set Frank J. Fabozzi

The Handbook of Finance is a comprehensive 3-Volume Set that covers both established and cutting-edge theories and developments in finance and investing. Edited by Frank J. Fabozzi, this set includes valuable insights from global financial experts as well as academics with extensive experience in this field. Organized by topic, this comprehensive resource contains complete coverage of essential issues - from portfolio construction and risk management to fixed income securities and foreign exchange - and provides readers with a balanced understanding of today’s dynamic world of finance. Volume I: Financial Markets and Instruments skillfully covers the general characteristics of different asset classes, derivative instruments, the markets in which financial instruments trade, and the players in those markets. Volume II: I nvestment Management and Financial Management focuses on the theories, decisions, and implementations aspects associated with both financial management and investment management. Volume III: Valuation, Financial Modeling, and Quantitative Tools contains the most comprehensive coverage of the analytical tools, risk measurement methods, and valuation techniques currently used in the field of finance. 9780470042564 • Cloth • 2714 pages • Apr 2009

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Also Available!

Lecturing Birds on Flying

Can Mathematical Theories Destroy the Financial Markets? Pablo Triana with a foreword by Nassim Taleb For the past few decades, the financial world has often displayed an unreasonable willingness to believe that “the model is right, the market is wrong,” in spite of the fact that these theoretical machinations were largely responsible for the stock market crash of 1987, the LTCM crisis of 1998, the credit crisis of 2008, and many other blow-ups, large and small. Why have both financial insiders (traders, risk managers, executives) and outsiders (academics, journalists, regulators, the public) consistently demonstrated a willingness to treat quantifications as gospel? Nassim Taleb first addressed the conflicts between theoretical and real finance in his technical treatise on options, Dynamic Hedging. Now, in Lecturing Birds on Flying, Pablo Triana offers a powerful indictment on the trustworthiness of financial theory, explaining-in jargon-free plain English-how malfunctions in these quantitative machines have wreaked havoc in our real world.

Triana first analyzes the fundamental question of whether financial markets can in principle really be solved mathematically. He shows that the markets indeed cannot be tamed with equations, presenting a long and powerful list of obstacles to prove his point: maverick unlawful human actions rule the markets, unexpected and unimaginable events shape the markets, and historical data is not necessarily a trustworthy guide to the future of the markets. The author then examines the sources of origin of many prevalent theories and mathematical dictums. He details how the field of financial economics evolved from a descriptive discipline to an abstract one dedicated to technically concocting professors’ own versions of how such a world should work. He goes on to explain how Wall Street and other financial centers became eager employers of scientists, and how scientists became eager employees of financial firms. Triana concludes with an in-depth discussion of the most significant historical episodes of theory-caused real-life market malaise, with a strong emphasis on the current credit crisis. In the end, Lecturing Birds on Flying calls for the radical substitution of good old-fashioned common sense in place of mathematical decision-making and the restoration to financial power of those who are completely unchained to the iron ball of classroomobtained qualifications. 9780470406755 • Cloth • 400 pages • May 2009

Wall Street Revalued Imperfect Markets and Inept Central Bankers Andrew Smithers In 2000 one of the world’s foremost economists, Andrew Smithers, showed that the US stock market was widely over-priced at its peak and correctly advised investors to sell. He also argued that central bankers should adjust their policies not only in light of expected inflation but also if stock prices reach excessive levels. At the time, few economists agreed with him, today it is hard to find those who would disagree. In the past central bankers have denied that markets can be valued and that it did not matter if they fell. These two intellectual mistakes are the fundamental cause of the current financial market crisis. In addition, a lack of understanding by investors as to how to value the market has also resulted in widespread losses. It is clearly of great importance to everyone that neither these losses nor the current financial chaos should be repeated and thus that the principle of asset valuation should be widely understood. In this timely and thought-provoking sequel to the hugely successful Valuing Wall Street Andrew Smithers puts forward a coherent and testable economic theory in order to influence investors, pension consultants and central bankers policy decisions so that they may prevent history repeating itself. Backed by theory and substantial evidence Andrew shows that assets can be valued, as financial markets are neither perfectly efficient nor absurd casinos. 9780470750056 • Cloth • 256 pages • Jul 2009

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Author

ISBN

■ Adam 9780470034965 ■ Ahmad 9780470697214 ■ Alavi 9780470697351 ■ Alexander 9780470998007 ■ Alexander 9780470998014 ■ Alexander 9780470997895 ■ Alexander 9780470997888 ■ Alexander 9780470997994 ■ Ayache 9780470725221 ■ Ayari 9780470987247 ■ Bacon 9780470059289 ■ Banko 9780470499122 ■ Beder 9780470455814 ■ Bessis 9780470019139 ■ Bessis 9780470019122 ■ Bouzoubaa 9780470688038 ■ Brigo 9780470748466 ■ Burger 9780470029626 ■ Caouette 9780470118726 ■ Carrel 9780470681756 ■ Castagna 9780470754191 ■ Chance 9780470086254 ■ Chaplin 9780470741948 ■ Chaplin 9780470686447 ■ Chapman 9780470014660 ■ Cherubini 9780470863442 ■ Cherubini 9780470994009 ■ Choudhry 9780470824139 ■ Condamin 9780470019078 ■ Cont 9780470057568 ■ Cont 9780470292921 ■ Croll 9780470748541 ■ Dalton 9780470027974 ■ De Weert 9780470517901 ■ Derman 9780470192733 ■ DeRosa 9780470239773 ■ Dowd 9780470013038 ■ Dubil 9780470746011 ■ Duc 9780470722992 ■ Duffy 9780470060698 ■ Duffy 9780470015384 ■ Duffy 9780470858820 ■ Duffy 9780470855096 ■ Duttwéiler 9780470740460 ■ Eydeland 9780471784210 ■ Fabozzi 9780471920830 ■ Fabozzi 9780470042564 ■ Fabozzi 9780470053164 ■ Flavell 9780470721919 ■ Fletcher 9780470987841 ■ Fraser 9780470499085 ■ Frost 9780470091180 ■ Garcia 9780470747353 ■ GARP 9780470442197 ■ GARP 9780470421901 ■ Gatarek 9780470014431 ■ Gatheral 9780471792512 ■ Geman 9780470012185 ■ Geman 9780470694251 ■ Golin 9780470821572 ■ Gray 9780470058312 ■ Gregory 9780470685761

Title

Format

Handbook of Asset and Liability Management Mathematical Methods High Performance Computing for Financial Engineers Market Risk Analysis Volume I: Quantitative Methods in Finance Market Risk Analysis Volume II: Practical Financial Econometrics Market Risk Analysis Volume III: Pricing, Hedging and Trading Financial Instruments Market Risk Analysis Volume IV: Value at Risk Models Market Risk Analysis 4 Volume Boxset The Blank Swan Understanding Credit Derivatives Practical Portfolio Performance Measurement and Attribution, 2nd Edition Basic Quantitative Finance Financial Engineering Risk Management in Banking, 3rd Edition Risk Management in Banking, 3rd Edition Exotic Options and Hybrids Counterparty credit risk and hybrid models Managing Energy Risk Managing Credit Risk, 2nd Edition The Handbook of Risk Management FX Options and Smile Risk Essays in Derivatives, 2nd Edition Life Settlements and Longevity Structures Credit Derivatives Simple Tools and Techniques for Enterprise Risk Management Copula Methods in Finance Fourier Transform Methods in Finance Structured Credit Products Risk Quantification Encyclopedia of Quantitative Finance Frontiers in Quantitative Finance Spreadsheet Risk Financial Applications using Excel Add-in Development in C/C++, 2nd Edition Exotic Options Trading My Life as a Quant Options on Foreign Exchange, 3rd Edition Measuring Market Risk, 2nd Edition Financial Engineering and Arbitrage in the Financial Markets Market Risk Management for Hedge Funds Monte Carlo Frameworks Introduction to C++ for Financial Engineers Finite Difference Methods in Financial Engineering Financial Instrument Pricing Using C++ Managing Liquidity in Banks Energy and Power Risk Management, 2nd Edition Bayesian Methods in Finance Handbook of Finance 3 Volume Set Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization Swaps and Other Derivatives, 2nd Edition Financial Modelling in Python Enterprise Risk Management The Bank Analyst’s Handbook The Art of Credit Derivatives Foundations of Banking Risk Foundations of Energy Risk Management The LIBOR Market Model in Practice The Volatility Surface Commodities and Commodity Derivatives Risk Management in Commodity Markets The Bank Credit Analysis Handbook, 2nd Edition Macrofinancial Risk Analysis Counterparty Credit Risk

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Derivatives Models on Models Stochastic Simulation and Applications in Finance with MATLAB Programs Monte Carlo Methods in Finance Advanced Modelling in Finance using Excel and VBA Enterprise Analytics Financial Risk Manager Handbook, 5th Edition Extreme Events Market Consistency Financial Derivatives Exotic Option Pricing and Advanced Lévy Models Professional Financial Computing Using Excel & VBA The Rating Agencies and Their Credit Ratings How I Became a Quant Implementing Payoff Description Languages Liquidity Risk Measurement and Management Corporate Risk Management, 2nd Edition Risk Management Risk Arbitrage, 2nd Edition Modeling Risk Advanced Analytical Models Modelling Single-name and Multi-name Credit Derivatives Equity Hybrid Derivatives Building Financial Models with Microsoft Excel Accounting for Derivatives The SABR/LIBOR Market Model Volatility and Correlation 2nd Edition Financial Modelling in Practice Handbook of Multi-Commodity Markets and Products Interest Rate Swaps and Their Derivatives Credit Risk Management In and Out of the Financial Crisis Credit Derivatives Pricing Models The New Science of Asset Allocation Advanced Modeling for Complex Interest Rate Products Commodity Derivatives L√©vy Processes in Credit Risk Financial Modeling Using C++ Financial Analysis and Modeling Using Excel and VBA, 2nd Edition Risk Management and Shareholders’ Value in Banking Wall Street Revalued Measuring Operational and Reputational Risk Handbook of Mortality and Longevity Property Derivatives The Practical Guide to Wall Street Risk Management in Finance Principles of Quantitative Development Energy Markets Lecturing Birds on Flying Implementing Monte Carlo and Lattice Methods in VBA Modeling and Forecasting Electricity Loads and Prices Brownian Motion Calculus Frequently Asked Questions in Quantitative Finance, 2nd Edition Paul Wilmott Introduces Quantitative Finance, 2nd Edition Paul Wilmott on Quantitative Finance, 3-Volume Set, 2nd Edition Risk Arbitrage Modeling Foreign Exchange Options FX Options and Structured Products Operational Risk Assessment Practical Financial Optimization Practical Financial Optimization Scenarios for Risk Management and Global Investment Strategies

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