This is the "Books" page of the "Financial Engineering" guide.
Alternate Page for Screenreader Users
Skip to Page Navigation
Skip to Page Content

Financial Engineering  

Last Updated: Oct 6, 2017 URL: Print Guide RSS UpdatesEmail Alerts

Books Print Page

Seminal works

Cover Art
Beat the Dealer: A Winning Strategy for the Game of Twney-one - Thorp, Edward O.
Call Number: GV 1295 .B55 T5 1973
ISBN: 9780394703107
Publication Date: 1966
New York Times Bestseller nbsp; Edward O. Thorp is the father of card counting, and in Beat the Dealer he reveals the revolutionary point system that has been successfully used by professional and amateur card players for two generations. From Las Vegas to Monte Carlo, the tables have been turned and the house no longer has the advantage at blackjack. nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp;nbsp; Containing the basic rules of the game, proven winning strategies, how to overcome casino counter measures and spot cheating. Beat the Dealer is the bible for players of this game of chance. Perforated cards included in the book are a convenient way to bring the strategies into the casino.nbsp; A winning strategy for the game of 21. The essentials, consolidated in simple charts, can be understood and memorized by the average player.

Beat the Market: A Scientific Stock Market System - Thorpe, Edward O.; Kassouf, Sheen T.;
Call Number: HG 4521 .T47
Publication Date: 1967

Cover Art
The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It - Patterson, Scott
Call Number: HG 4928.5 .P38 2010
ISBN: 9780307453372
Publication Date: 2010
"Beware of geeks bearing formulas." --Warren Buffett nbsp; In March of 2006, the world's richest men sipped champagne in an opulent New York hotel. nbsp;They were preparing to compete in a poker tournament with million-dollar stakes, but those numbers meant nothing to them. nbsp;They were accustomed to risking billions. nbsp; nbsp; At the card table that night was Peter Muller, an eccentric, whip-smart whiz kid who'd studied theoretical mathematics at Princeton and now managed a fabulously successful hedge fund called PDT...when he wasn't playing his keyboard for morning commuters on the New York subway. nbsp;With him was Ken Griffin, who as an undergraduate trading convertible bonds out of his Harvard dorm room had outsmarted the Wall Street pros and made money in one of the worst bear markets of all time. nbsp;Now he was the tough-as-nails head of Citadel Investment Group, one of the most powerful money machines on earth. There too were Cliff Asness, the sharp-tongued, mercurial founder of the hedge fund AQR, a man as famous for his computer-smashing rages as for his brilliance, and Boaz Weinstein, chess life-master and king of the credit default swap, who while juggling $30 billion worth of positions for Deutsche Bank found time for frequent visits to Las Vegas with the famed MIT card-counting team. nbsp; nbsp; On that night in 2006, these four men and their cohorts were the new kings of Wall Street. nbsp;Muller, Griffin, Asness, and Weinstein were among the best and brightest of a nbsp;new breed, the quants. nbsp;Over the prior twenty years, this species of math whiz --technocrats who make billions not with gut calls or fundamental analysis but with formulas and high-speed computers-- had usurped the testosterone-fueled, kill-or-be-killed risk-takers who'd long been the alpha males the world's largest casino. nbsp;The quants believed that a dizzying, indecipherable-to-mere-mortals cocktail of differential calculus, quantum physics, and advanced geometry held the key to reaping riches from the financial markets. nbsp;And they helped create a digitized money-trading machine that could shift billions around the globe with the click of a mouse. nbsp; nbsp; Few realized that night, though, that in creating this unprecedented machine, men like Muller, Griffin, Asness and Weinstein had sowed the seeds for history's greatest financial disaster. nbsp; nbsp; Drawing on unprecedented access to these four number-crunching titans, The Quants tells the inside story of what they thought and felt in the days and weeks when they helplessly watched much of their net worth vaporize - and wondered just how their mind-bending formulas and genius-level IQ's had led them so wrong, so fast. nbsp;Had their years of success been dumb luck, fool's gold, a good run that could come to an end on any given day? nbsp;What if The Truth they sought -- the secret of the markets -- wasn't knowable? Worse, what if there wasn't any Truth? nbsp; In The Quants, Scott Patterson tells the story not just of these men, but of Jim Simons, the reclusive founder of the most successful hedge fund in history; Aaron Brown, the quant who used his math skills to humiliate Wall Street's old guard at their trademark game of Liar's Poker, and years later found himself with a front-row seat to the rapid emergence of mortgage-backed securities; and gadflies and dissenters such as Paul Wilmott, Nassim Taleb, and Benoit Mandelbrot. nbsp; nbsp; With the immediacy of today's NASDAQ close and the timeless power of a Greek tragedy, The Quants is at once a masterpiece of explanatory journalism, a gripping tale of ambition and hubris...and an ominous warning about Wall Street's future. nbsp;nbsp;


General Works

Cover Art
Advanced Financial Modelling - Heinz W. Engl; Hansjorg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer; et. al. (Eds.)
ISBN: 9783110213140
Publication Date: 2009
This book is a collection of state-of-the-art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a 'Special Semester on Stochastics with Emphasis on Finance' that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria.

Cover Art
Agent-based Modeling: The Santa Fe Institute Artificial Stock Market Model Revisited - Ehrentreich, Norman
ISBN: 9783540738794
Publication Date: 2008
This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive.Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community. This has led to various misinterpretations of previous simulation results. The book is able to finally establish the emergence of technical trading for faster learning speeds in the SFI-ASM beyond a doubt. In emphasizing the importance of genetic drift as an important evolutionary factor and analyzing its effects on various mutation operators, this book provides agent-based modelers with several tools to design better evolutionary algorithms.

Cover Art
The Black Swan: The Impact of the Highly Improbable - Taleb, Nassim Nicholas
Call Number: Q 375 .T35 2010
ISBN: 081297381X
Publication Date: 2010
nbsp; A black swan is an event, positive or negative, that is deemed improbable yet causes massive consequences. In this groundbreaking and prophetic book, Taleb shows in a playful way that Black Swan events explain almost everything about our world, and yet we--especially the experts--are blind to them. In this second edition, Taleb has added a new essay, On Robustness and Fragility, which offers tools to navigate and exploit a Black Swan world. *2nd Edition, With a new essay: "On Robustness and Fragility"

Cover Art
The Blank Swan: The End of Probibility - Ayache, Elie
Call Number: HG 6024 .A3 A95 2010
ISBN: 9780470725221
Publication Date: 2010
October 19th 1987 was a day of huge change for the global finance industry. On this day the stock market crashed, the Nobel Prize winning Black-Scholes formula failed and volatility smiles were born, and on this day Elie Ayache began his career, on the trading floor of the French Futures and Options Exchange. Experts everywhere sought to find a model for this event, and ways to simulate it in order to avoid a recurrence in the future, but the one thing that struck Elie that day was the belief that what actually happened on 19th October 1987 is simply non reproducible outside 19th October 1987 - you cannot reduce it to a chain of causes and effects, or even to a random generator, that can then be reproduced or represented in a theoretical framework. 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 alike - , i.e. the very category of prediction. In this revolutionary book, Elie redefines the components of the technology needed to price and trade derivatives. Most importantly, and drawing on a long tradition of philosophy of the event from Henri Bergson to Gilles Deleuze, to Alain Badiou, and on a recent brand of philosophy of contingency, embodied by the speculative materialism of Quentin Meillassoux, Elie redefines the market itself against the common perceptions of orthodox financial theory, general equilibrium theory and the sociology of finance. This book will change the way that we think about derivatives and approach the market. If anything derivatives should be renamed contingent claims, where contingency is now absolute and no longer derivative, and the market is just its medium. The book also establishes the missing link between quantitative modelling (no longer dependent on probability theory but on a novel brand of mathematics which Elie calls the mathematics of price) and the reality of the market.

Business Cycles and Equilibrium - Black, Fischer
Call Number: HB 3711 .B497 1987
ISBN: 0631157549
Publication Date: 1987
Throughout his career Fisher Black has described a view of business fluctuations based on the idea that a well-developed economy will be continually in equilibrium. In the essays that constitute this book he explores this idea thoroughly and reaches some surprising conclusions. Provocative and clearly written, Business Cycles and Equilibrium will be of value to students of macroeconomics as well as those of finance and the international economy.

Continuous-Time Finance - Merton, Robert C.
Call Number: HG 173 .M44 1997
ISBN: 9780631158479
Publication Date: 1997

Cover Art
A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation - Bookstaber, Richard
Call Number: HG 4530 .B66 2007
ISBN: 9780471227274
Publication Date: 2007
Inside markets, innovation, and risk

Cover Art
Dictionary of Financial Engineering - Marshall, John F.
ISBN: 9780471436492
Publication Date: 2001
A practical guide to the inside language of the world of derivative instruments and risk management Financial engineering is where technology and quantitative analysis meet on Wall Street to solve risk problems and find investment opportunities. It evolved out of options pricing, and, at this time, is primarily focused on derivatives since they are the most difficult instruments to price and are also the riskiest. Not only is financial engineering a relatively new field, but by its nature, it continues to grow and develop. This unique dictionary explains and clarifies for financial professionals the important terms, concepts, and sometimes arcane language of this increasingly influential world of high finance and potentially high profits. John F. Marshall (New York, NY) is a Managing Partner of Marshall, Tucker & Associates, a New York-based financial engineering and consulting firm. Former Executive Director of then International Association of Financial Engineers, Marshall is the author of several books, including Understanding Swaps.

Cover Art
An Elementary Introduction to Mathematical Finance: Options and Other Topics - Ross, Sheldon M.
Call Number: HG 4515.3 .R67 2003
ISBN: 0521814294
Publication Date: 2002
This unique book on the basics of option pricing is mathematically accurate and yet accessible to readers with limited mathematical training. It will appeal to professional traders as well as undergraduates studying the basics of finance. The author assumes no prior knowledge of probability, and offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portfolio selections, and the capital assets pricing model. Among the many new features of this second edition are: a new chapter on optimization methods in finance; a new section on Value at Risk and Conditional Value at Risk; a new and simplified derivation of the Black-Scholes equation, together with derivations of the partial derivatives of the Black-Scholes option cost function and of the computational Black-Scholes formula; three different models of European call options with dividends; a new, easily implemented method for estimating the volatility parameter.

Cover Art
Exploring General Equilibrium - Black, Fischer
Call Number: HB 145 .B54 2010
ISBN: 9780262514095
Publication Date: 2010
Fischer Black is known for his brilliance as well as his sometimes controversialopinions. Highly respected for his scholarly writings in finance, he now moves into differentterritory with this incisive, unconventional assessment of general equilibrium theory and what thattheory reveals about business cycles, growth, and labor economics.The general equilibrium approach,Black asserts, can be used to explain most of the economy's behavior. It can explain business cyclesand growth without using sticky prices, irrationality, economies of scale, or imperfect competition.It can explain the volatility of consumption, output, sales, investment, and inventories withaxiomatic utility and constant-returns-to-scale production. It can explain temporary layoffs, jobchanges with and without intervening unemployment, and the behavior of vacancies. It can explainlower wages in part-time jobs, wages that increase rapidly with time on the job, and the forces thatcause migration from poor to rich countries.Although the general equilibrium approach can't betested in conventional ways, it can be used to generate examples that explain stylized facts --generalized observations from the real world -- that have preoccupied macroeconomists for the lastdecade. Black contrasts his interpretation of these facts with conventional interpretations.Finally, he reviews a substantial body of literature on these topics.

Cover Art
Financial Derivatives: Pricing and Risk Management - Kolb, Robert; & Overdahl, James A.; (Eds.)
Call Number: HG 6024 .A3 K648 2010
ISBN: 9780470499108
Publication Date: 2009
Essential insights on the various aspects of financial derivatives If you want to understand derivatives without getting bogged down by the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from years of financial experience, Robert Kolb and James Overdahl clearly explain what derivatives are and how you can prudently use them within the context of your underlying business activities. Financial Derivatives introduces you to the wide range of markets for financial derivatives. This invaluable guide offers a broad overview of the different types of derivatives-futures, options, swaps, and structured products-while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with helpful tables and charts, Financial Derivatives offers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products. Discusses what derivatives are and how you can prudently implement them within the context of your underlying business activities Provides thorough coverage of financial derivatives and their role in risk management Explores financial derivatives without getting bogged down by the mathematics surrounding their pricing and valuation This informative guide will help you unlock the incredible potential of financial derivatives.

Cover Art
Financial Engineering: A Complete Guide to Financial Innovation - Marshall, John F.
Call Number: HG 176.7 .M37 1992
ISBN: 0133125882
Publication Date: 1992
Exploring the growing field of financial engineering, this book examines its explosive growth, its conceptual tools, products, instruments, processes, strategies and future directions. Working from the basic building blocks of financial engineering to the complex processes of creating new financial instruments to meet specific needs, the book aims to provide both conceptual and practical frameworks for understanding the field.

Cover Art
Financial Engineering: The Evolution of a Profession - Beder, Tanya S.; Marshall, Cara M.; (Eds.)
ISBN: 9780470889817
Publication Date: 2011
FINANCIAL ENGINEERING The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Financial Engineering aims to provide a comprehensive understanding of this important discipline by examining its fundamentals, the newest financial products, and disseminating cutting-edge research. A contributed volume of distinguished practitioners and academics, Financial Engineering details the different participants, developments, and products of various markets-from fixed income, equity, and derivatives to foreign exchange. Also included within these pages are comprehensive case studies that reveal the various issues associated with financial engineering. Through them, you'll gain instant insights from the stories of Countrywide (mortgages), Société Générale and Barings (derivatives), the Allstate Corporation (fixed income), AIG, and many others. There is also a companion website with details from the editors' survey of financial engineering programs around the globe, as well as a glossary of key terms from the book. Financial engineering is an evolving field in constant revision. Success, innovation, and profitability in such a dynamic area require being at the forefront of research as new products and models are introduced and implemented. If you want to enhance your understanding of this discipline, take the time to learn from the experts gathered here.

Cover Art
Financial Innovation - Michael Haliassos (Ed.)
ISBN: 0262018292
Publication Date: 2012
In assigning blame for the recent economic crisis, many have pointed to theproliferation of new, complex financial products--mortgage securitization in particular--as being atthe heart of the meltdown. The prominent economists from academia, policy institutions, andfinancial practice who contribute to this book, however, take a more nuanced view of financialinnovation. They argue that it was not too much innovation but too little innovation--and the lackof balance between debt-related products and asset-related products--that lies behind the crisis.Prevention of future financial crises, then, will be aided by a regulatory and legal framework thatfosters the informed use of financial innovation and its positive effects on the economy rather thanquashing innovation entirely. The book, which includes two contributions from 2013Nobe Laureate Robert Shiller as well as a discussion of Shiller's "MacroMarkets" tool,considers the key ingredients of financial innovation from both academia and industry; and howfuture innovation-lined crises might be avoided. ContributorsJosef Ackermann, Nicholas C. Barberis, John Y.Campbell, Karl E. Case, Robin Greenwood, Michael Haliassos, Otmar Issing, Alexander Popov, Robert J.Shiller, Andrei Shleifer, Frank R. Smets, Susan J. Smith, Maria Vassalou, Luis M. Viceira

Cover Art
Fooled by Randomness: The Role of Chance in the Markets and Life - Taleb, Nassim Nicholas
Call Number: HG 4521 .T33 2001
ISBN: 1587990717
Publication Date: 2001
This is a book about luck. More specifically, it is a book about how we perceive luck, twist it around and regard it as intention or purpose. What better setting than the world of trading to invesdtigate the subject? How often has the brilliant trader, who seems to the outside world to have been granted the gift of second sight in the implementation of his strategies, been suddenly wiped out by an unexpected shift in the markets?

Cover Art
Fortune's Formula: The Untold Story of the Scientific Betting System that Beat the Casinos and Wall Street - Poundstone, William
Call Number: HV 6710 .P68 2006
ISBN: 0809045990
Publication Date: 2006
In 1956 two Bell Labs scientists discovered the scientific formula for getting rich. One was mathematician Claude Shannon, neurotic father of our digital age, whose genius is ranked with Einstein's. The other was John L. Kelly Jr., a Texas-born, gun-toting physicist. Together they applied the science of information theory - the basis of computers and the Internet - to the problem of making as much money as possible, as fast as possible. Shannon and MIT mathematician Edward O. Thorp took the "Kelly formula" to Las Vegas. It worked. They realized that there was even more money to be made in the stock market. Thorp used the Kelly system with his phenomenonally successful hedge fund, Princeton-Newport Partners. Shannon became a successful investor, too, topping even Warren Buffett's rate of return. Fortune's Formula traces how the Kelly formula sparked controversy even as it made fortunes at racetracks, casinos, and trading desks. It reveals the dark side of this alluring scheme, which is founded on exploiting an insider's edge. Shannon believed it was possible for a smart investor to beat the market - and Fortune's Formula will convince you that he was right.

Cover Art
The Global Financial System: A Functional Perspective - Dwight B. Crane (Ed.)
Call Number: HG 3881 .G5753 1995
ISBN: 087584622X
Publication Date: 1995
Leading financial scholars present essays examining the performance of the basic financial functions underlying global financial systems: payments, lending and investing, pooling funds, allocating risk, providing information, and dealing with incentive issues--with particular emphasis on how their performance is changing and implications for the future.

Cover Art
High Frequency Trading Models + Website - Ye, Gewei
ISBN: 9780470925829
Publication Date: 2010
A hands-on guide to high frequency trading strategies and models Accounting for over sixty percent of stock market trading volume and generating huge profits for a small number of firms, high frequency trading is one of the most talked about topics in the world of finance. Given the success of this approach, many firms are quickly beginning to implement their own high frequency strategies. In High Frequency Trading Models, Dr. Gewei Ye describes the technology, architecture, and algorithms underlying current high frequency trading models, which exploit order flow imbalances and temporary pricing inefficiencies. Along the way, he explains how to develop a HFT trading system and introduces you to his own system for building high frequency strategies based on behavioral algorithms. Discusses how to improve current institutional HFT strategies and suggests directions for new strategies Companion Website includes algorithms and models discussed throughout the book Covers essential topics in this field, including rebate trading, arbitrage, flash trading, and other types of trading Engaging and informative, High Frequency Trading Models is a must-read for anyone who wants to stay ahead of the curve in this hot new area.

Cover Art
Inventing Money: The Story of Long-term Capital Management and the Legends Behind It. - Dunbar, Nicholas
Call Number: HG 4930 .D86 2000
ISBN: 0471899992
Publication Date: 1999
LTCM was the fund that was too big to fail, the brightest star in the financial world. Built on genius, by legends of Wall Street and two Nobel laureates, it spiralled to ever greater heights, commanding unimaginable wealth. When it fell to earth in September 1998 it shook the world. This is the story of the rise and fall of LTCM and the legends behind it. A brave and ambitious work, Inventing Money was written by leading financial journalist Nicholas Dunbar.

Cover Art
Keeping up with the Quants: Your Guide to Understanding and Using Analytics - Davenport, Thomas H.; Kim, Jinho;
Call Number: HD 30.25 .D366 2013
ISBN: 142218725X
Publication Date: 2013
Why Everyone Needs Analytical Skills Welcome to the age of data. No matter your interests (sports, movies, politics), your industry (finance, marketing, technology, manufacturing), or the type of organization you work for (big company, nonprofit, small start-up)-your world is awash with data.As a successful manager today, you must be able to make sense of all this information. You need to be conversant with analytical terminology and methods and able to work with quantitative information. This book promises to become your "quantitative literacy" guide-helping you develop the analytical skills you need right now in order to summarize data, find the meaning in it, and extract its value.In Keeping Up with the Quants, authors, professors, and analytics experts Thomas Davenport and Jinho Kim offer practical tools to improve your understanding of data analytics and enhance your thinking and decision making. You'll gain crucial skills, including: - How to formulate a hypothesis - How to gather and analyze relevant data - How to interpret and communicate analytical results - How to develop habits of quantitative thinking - How to deal effectively with the "quants" in your organizationBig data and the analytics based on it promise to change virtually every industry and business function over the next decade. If you don't have a business degree or if you aren't comfortable with statistics and quantitative methods, this book is for you. Keeping Up with the Quants will give you the skills you need to master this new challenge-and gain a significant competitive edge.

Cover Art
The Mathematics of Financial Modeling and Investment Management - Focardi, Sergio M.; Fabozzi, Frank J.;
Call Number: HG 106 .F63 2004
ISBN: 0471465992
Publication Date: 2004
the mathematics of financial modeling & investment management

Cover Art
The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin, and Reward - Mandelbrot, Benoit B.; Hudson, Richard L.;
Call Number: HG 4523 .M257 2004
ISBN: 0465043550
Publication Date: 2004
Benoit B. Mandelbrot, one of the century's most influential mathematicians, is world-famous for making mathematical sense of a fact everybody knows but that geometers from Euclid on down had never assimilated: Clouds are not round, mountains are not cones, coastlines are not smooth. To these classic lines we can now add another example: Markets are not the safe bet your broker may claim. In his first book for a general audience, Mandelbrot, with co-author Richard L. Hudson, shows how the dominant way of thinking about the behavior of markets-a set of mathematical assumptions a century old and still learned by every MBA and financier in the world-simply does not work. As he did for the physical world in his classicThe Fractal Geometry of Nature, Mandelbrot here uses fractal geometry to propose a new, more accurate way of describing market behavior. The complex gyrations of IBM's stock price and the dollar-euro exchange rate can now be reduced to straightforward formulae that yield a far better model of how risky they are. With his fractal tools, Mandelbrot has gotten to the bottom of how financial markets really work, and in doing so, he describes the volatile, dangerous (and strangely beautiful) properties that financial experts have never before accounted for. The result is no less than the foundation for a new science of finance.

Cover Art
My Life As a Quant: Reflections on Physics and Finance - Derman, Emanuel
Call Number: HG 4621 .D47 2004
ISBN: 0471394203
Publication Date: 2004
In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field?analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets.

Cover Art
Numerical Methods for Finance - John A. D. Appleby; David C. Edelman; John J. H. Miller; (Eds.)
Call Number: HG 106 .M55 2007
ISBN: 9781584889250
Publication Date: 2007
Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field. Presenting state-of-the-art methods in this area, the book first discusses the coherent risk measures theory and how it applies to practical risk management. It then proposes a new method for pricing high-dimensional American options, followed by a description of the negative inter-risk diversification effects between credit and market risk. After evaluating counterparty risk for interest rate payoffs, the text considers strategies and issues concerning defined contribution pension plans and participating life insurance contracts. It also develops a computationally efficient swaption pricing technology, extracts the underlying asset price distribution implied by option prices, and proposes a hybrid GARCH model as well as a new affine point process framework. In addition, the book examines performance-dependent options, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and put-call-futures parity arbitrage opportunities. Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this concise and well-illustrated book equips practitioners with the necessary information to make important financial decisions.

Cover Art
The Poker Face of Wall Street - Brown, Aaron
Call Number: HG 4661 .B766 2006
ISBN: 0471770574
Publication Date: 2006
Wall Street is where poker and modern finance and the theory behind these "games" clash head on. In both worlds, real risk means real money is made or lost in a heart beat, and neither camp is always rational with the risk it takes. As a result, business and financial professionals who want to use poker insights to improve their job performance will find this entertaining book a "must read." So will poker players searching for an edge in applying the insights of risk-takers on Wall Street.

Cover Art
A Random Walk down Wall Street: Including the a Life-cycle Guide to Personal Investing - Malkiel, Burton Gordon
Call Number: HG4521 .M284 2003
ISBN: 0393320405
Publication Date: 2000
This gimmick-free, irreverent, and vastly informative guide shows how to navigate the turbulence on Wall Street and beat the pros at their own game.

Cover Art
Recent Advances in Financial Engineering 2010 - Yukio Muromachi; Chiaki Hara; Hidetaka Nakaoka; Masaaki Kijima (Eds.)(Editor); Katsumasa Nishide (Editor)
ISBN: 9814571636
Publication Date: 2011
This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers - all refereed - representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering.

You must login to the ebrary database to access this book from off campus.

Cover Art
Rise of the Quants: Marschak, Sharpe, Black, Scholes and Merton - Read, Colin
ISBN: 9781137026149
Publication Date: 2012
The third book in the Great Minds in Finance series examines the pricing of securities and the risk/reward trade off through the legends, contribution, and legacies of Jacob Marschak, William Sharpe, Fischer Black and Myron Scholes, and Robert Merton, influencing both theory and practice, answering the question 'how do we measure risk?'

Risk and the Evaluation of Pension Fund Portfolio Performance - Fama, Eugene
Call Number: HD7105 .F31
Publication Date: 1969

Cover Art
The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets - Greg N. Gregoriou; Christian Hoppe; Carsten S. Wehn; (Eds.)
Call Number: HG 4529 .R57 2010
ISBN: 9780071663700
Publication Date: 2010
The first in-depth analysis ofinherent deficiencies in present practices "A book like this helps reduce the chance of a future breakdown in risk management." Professor Campbell R. Harvey, the Fuqua School of Business, Duke University "A very timely and extremely useful guide to the subtle and often difficultissues involved in model risk--a subject which is only now gaining theprominence it should always have had." Professor Kevin Dowd, Nottingham University Business School, the University of Nottingham "This book collects authoritative papers on a timely and important topic . . .and should lead to many new insights." Professor Philip Hans Franses, Erasmus School of Economics, Erasmus University "Inadequate valuation and risk management models have played their part intriggering the recent economic turmoil felt around the world. This timely book,written by experts in the field of model risk, will surely help risk managers andfinancial engineers measure and manage risk effectively." Dr. Fabrice Douglas Rouah, Vice President, State Street Corporation "This invaluable handbook has been edited by experts . . . and should prove to beof great value to investment finance and credit risk modelers in a wide range ofdisciplines related to portfolio risk, risk modeling in finance, international moneyand finance, country risk, and macroeconomics." Professor Michael McAleer, Erasmus School of Economics, Erasmus University About the Book: If we have learned anything from the globalfinancial collapse of 2008, it is this: themathematical risk models currently used byfinancial institutions are no longer adequatequantitative measures of risk exposure. In The Risk Modeling Evaluation Handbook,an international team of 48 experts evaluatesthe problematic risk-modeling methodsused by large financial institutions and breaksdown how these models contributed to thedecline of the global capital markets. Theirconclusions enable you to identify the shortcomingsof the most widely used risk modelsand create sophisticated strategies for properlyimplementing these models into your investingportfolio. Chapters include: Model Risk: Lessons from Past Catastrophes(Scott Mixon) Effect of Benchmark Misspecification on RiskadjustedPerformance Measures (Laurent Bodsonand George Hübner) Carry Trade Strategies and the Information Content ofCredit Default Swaps (Raphael W. Lam andMarco Rossi) Concepts to Validate Valuation Models(Peter Whitehead) Beyond VaR: Expected Shortfall and Other CoherentRisk Measures (Andreas Krause) Model Risk in Credit Portfolio Modeling(Matthias Gehrke and Jeffrey Heidemann) Asset Allocation under Model Risk (Pauline M. Barrieuand Sandrine Tobolem) This dream team of the masters of riskmodeling provides expansive explanations ofthe types of model risk that appear in riskmeasurement, risk management, and pricing,as well as market-tested techniques formitigating risk in loan, equity, and derivativeportfolios. The Risk Modeling Evaluation Handbook is thego-to guide for improving or adjusting yourapproach to modeling financial risk.

Cover Art
Option Pricing and Estimation of Financial Models with R - Iacus, Stefano M.
ISBN: 9781119990086
Publication Date: 2011
Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Cover Art
When Genius Failed: The Rise and Fall of Long-term Capital Management - Lowenstein, Roger
Call Number: HG 4930 .L69 2000
ISBN: 037550317X
Publication Date: 2000
With a new Afterword addressing today’s financial crisis ABUSINESS WEEKBEST BOOK OF THE YEAR In this business classic—now with a new Afterword in which the author draws parallels to the recent financial crisis—Roger Lowenstein captures the gripping roller-coaster ride of Long-Term Capital Management. Drawing on confidential internal memos and interviews with dozens of key players, Lowenstein explains not just how the fund made and lost its money but also how the personalities of Long-Term’s partners, the arrogance of their mathematical certainties, and the culture of Wall Street itself contributed to both their rise and their fall. When it was founded in 1993, Long-Term was hailed as the most impressive hedge fund in history. But after four years in which the firm dazzled Wall Street as a $100 billion moneymaking juggernaut, it suddenly suffered catastrophic losses that jeopardized not only the biggest banks on Wall Street but the stability of the financial system itself. The dramatic story of Long-Term’s fall is now a chilling harbinger of the crisis that would strike all of Wall Street, from Lehman Brothers to AIG, a decade later. In his new Afterword, Lowenstein shows that LTCM’s implosion should be seen not as a one-off drama but as a template for market meltdowns in an age of instability—and as a wake-up call that Wall Street and government alike tragically ignored.

Cover Art
Option Pricing and Estimation of Financial Models with R - Iacus, Stefano M.
ISBN: 9781119990086
Publication Date: 2011
Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
You must login to the ebrary library to access this book from off campus.

Subject Guide

Profile Image
George Libbey

Loading  Loading...