FINANCIAL ENGINEERINGNew & Notable Titles

New Edition of Bestselling Textbook

An Introduction to Derivative Securities, Financial Markets, and Risk Management (2nd Edition)by Robert Jarrow (Cornell University, USA) & Arkadev Chatterjea (Indiana University, USA)

Robert Jarrow Arkadev Chatterjea

Financial EngineeringSelected Works of Alexander Liptonby Alexander Lipton (MIT Connection Science, USA)

Textbook: Request Inspection Copy at sales@wspc.com

“I have read the whole book and I find it an excellent book. It’s a great blend of theory and the ‘institutional’ aspects of derivatives trading.”

Rafael de SantiagoIESE Business School, Spain

“This book is a great resource for a rigorous introduction to derivatives, both pricing and markets. There is sufficient and current institutional detail where required, and pricing and market behaviour is regularly tied back to regulations and institutional features for a better understanding of the interplay between those factors. The natural progression from equities to interest rate models is unique to this book. Thanks to an elaborate set of detailed examples, references to relevant case studies, a full set of worked solutions to problem sets and slides, using this book means reduced prep time without sacrificing the students’ learning experience.”

Thijs van der HeijdenUniversity of Melbourne

This introductory textbook on derivatives and risk management is accessible in terms of the concepts as well as the mathematics. With its economics perspective, the book is closely connected to real markets, showing how macroeconomic forces have shaped the markets, explaining the major derivative pricing models using algebra and introductory calculus, showing students how to implement these models using basic statistics and elementary Excel spreadsheet skills, and discussing the uses of derivatives while warning against their abuses.

724pp Mar 2019 978-1-944659-55-4 US$138 £120

“Alex Lipton revolutionized financial engineering over a phenomenal career lasting multiple decades. While he is by no means done, this book takes stock of this magnificent achievement.”

Peter CarrNew York University

“Alex Lipton, a great scholar and a very experienced practitioner, has put together an impressive book that commands respect by both its technical mastery and the breadth of topics it covers.”

Bruno DupireHead of Quantitative Research, Bloomberg LP

Edited by Alexander Lipton (Quant of the Year, 2000), this volume is a collection of Lipton’s important and original papers on financial engineering written over his 20-year career as a preeminent quant working for leading financial institutions in New York, Chicago, and London. The papers cover topics ranging from the volatility smile problem, credit risk, macroeconomics and monetary circuit, and exotic options, summarizing Lipton’s fundamental contributions to these areas.

632pp Jul 2018 978-981-3209-15-2 US$188 £165

Subscribe / Recommend to your Librarian!

Free access to featured articles.*Please log in to your existing account or register for a FREE account to enjoy this.

Detai ls on page 8

Prefer Digital? Browse this flyer online http://bit.ly/FinEng19

FINANCIAL ENGINEERING: New & Notable Titles

WORLD SCIENTIFIC 2

New Edition of Bestselling Textbook

Metals and Energy Finance(2nd Edition)Application of Quantitative Finance Techniques to the Evaluation of Minerals, Coal and Petroleum Projectsby Dennis L Buchanan & Mark H A Davis (Imperial College London, UK)

This new edition has been comprehensively revised with a new chapter on Quantitative Finance and three additional case studies. Contemporary themes in the revised edition include the current focus on the transition from open pit to underground mining as well as the role of real option valuations applied to marginal projects that may have value in the future.This innovative textbook is clear and concise in its approach. Both authors have extensive experience within the academic environment at a senior level as well as track records of hands-on participation in projects within the natural resources and financial services sectors.

328pp Jan 2019978-1-78634-587-5 US$108 £95978-1-78634-627-8(pbk) US$58 £50

Textbook

Optimization TheoryA Concise Introductionby Jiongmin Yong (University of Central Florida, USA)

Mathematically, most of the interesting optimization problems can be formulated to optimize some objective function, subject to some equality and/or inequality constraints. This book introduces some classical and basic results of optimization theory, including nonlinear programming with Lagrange multiplier method, the Karush – Kuhn – Tucker method, Fritz John’s method, problems with convex or quasi-convex constraints, and linear programming with geometric method and simplex method.

236pp Jul 2018978-981-3237-64-3 US$78 £69

Modern Trends in Financial Engineering - Vol 2

Stochastic Drawdownsby Hongzhong Zhang (Columbia University, USA)

Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang’s own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the frequency of drawdowns, the occupation time (time in distress), and the duration of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy processes and optimal stopping, these topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics.

256pp Jul 2018978-981-3141-63-6 US$98 £85

Textbook: Request Inspection Copy at sales@wspc.com

Advanced Finance Theoriesby Ser-Huang Poon (Manchester University, UK)

For PhD finance courses in business schools, there is equal emphasis placed on mathematical rigour as well as economic reasoning. Advanced Finance Theories provides modern treatments to five key areas of finance theories in Merton’s collection of continuous time work, viz. portfolio selection and capital market theory, optimum consumption and intertemporal portfolio selection, option pricing theory, contingent claim analysis of corporate finance, intertemporal CAPM, and complete market general equilibrium. Where appropriate, lectures notes are supplemented by other classical text such as Ingersoll (1987) and materials on stochastic calculus.

228pp May 2018978-981-4460-37-8 US$78 £69

A Dynamic Use of Survey Data and High Frequency Model Forecastingedited by Yoshihisa Inada (Konan University,Japan & Asia Pacific Institute of Research, Japan)

This volume investigates the accuracy and dynamic performance of a high-frequency forecast model for the Japanese and United States economies based on the Current Quarter Model (CQM) or High Frequency Model (HFM) developed by the late Professor Emeritus Lawrence R. Klein. It also presents a survey of recent developments in high-frequency forecasts and gives an example application of the CQM model in forecasting Gross Regional Products (GRPs).

128pp May 2018978-981-3232-36-5 US$68 £60

Market Microstructure in Practice(2nd Edition)edited by Charles-Albert Lehalle (Capital Fund Management, France & Imperial College London, UK) & Sophie Laruelle (Université Paris-Est Créteil, France)

“Lehalle and Laruelle bring [their] experience to bear on every aspect of the discussion, as well as deep quantitative understanding. The resulting book is a unique mixture of real market knowledge and theoretical explanation. There is nothing else out there like it, and this book will be a central resource for many different market participants.”

Robert AlmgrenPresident and Cofounder of Quantitative Brokers, New York

In this second edition, the authors have added a large section on orderbook dynamics, showing how liquidity can predict future price moves, and how High Frequency Traders can profit from it. The section on market impact has also been updated to show how buying or selling pressure moves prices not only for a few hours, but even for days, and how prices relax (or not) after a period of intense pressure.

368pp Mar 2018978-981-3231-12-2 US$78 £69

Prefer Digital? Browse this flyer online http://bit.ly/FinEng19

FINANCIAL ENGINEERING: New & Notable Titles

3 WORLD SCIENTIFIC

Textbook

Probability and Statistics for Economistsby Yongmiao Hong (Cornell)

This textbook covers probability theory and statistical theory in a coherent framework that will be useful in graduate studies in economics, statistics and related fields. As a most important feature, this textbook emphasizes intuition, explanations and applications of probability and statistics from an economic perspective.

592pp Jan 2018978-981-3228-81-8 US$118 £104

BrazenBig Banks, Swap Mania and the Falloutby A Rashad Abdel-khalik (University of Illinois at Urbana-Champaign, USA)

Many non-profits engaged in costly, disastrous undertakings with Interest Rate Swaps (IRS), unaware that these contracts have only one winner, and that big banks had no intention of being the losers. The book examines how there is no evidence that these officials fully understood the complexities of IRS contracts, i.e., the contracting parties did not have equal bargaining power, implying an unconscionable contract. Also, the huge sums of money big banks had collected for termination, were taken for services that had not been, and will never be, rendered. Could one then consider these termination payments tantamount to unjust enrichment?

500pp Mar 2019978-981-3275-56-0 US$98 £85

Risk and StochasticsRagnar Norbergedited by Pauline Barrieu (London School of Economics and Political Science, UK)

This collection of articles is written by respected academics who have influenced and been influenced by the life and work of Professor Norberg. Celebrated in this book are his professional and academic achievements, most significantly the instrumental work he put into setting up the world-renowned Risk and Stochastics Group at the London School of Economics (LSE). Subjects covered include discussion of risk measurements, ruin constraint, supporting stable pensions, filtration in discrete time, Riesz means and Beurling moving averages and orthonormal polynomial expansions.

250pp Apr 2019978-1-78634-194-5 US$85 £71

HandbookWorld Scientific Handbook in Financial Economics Series

Handbook of Heavy-Tailed Distributions in Asset Management and Risk Managementby Michele Leonardo Bianchi (Banca d’Italia, Italy), Stoyan V Stoyanov (Stony Brook University, USA), Gian Luca Tassinari (University of Bologna, Italy), Frank J Fabozzi (EDHEC Business School, France) & Sergio M Focardi (Léonard De Vinci University, France)

In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

433pp May 2019978-981-3274-91-4 US$148 £130

A Practical Approach to XVAThe Evolution of Derivatives Valuation after the Financial Crisisby Osamu Tsuchiya (Simplex Inc., Japan)

This book presents a c lear and concise framework and provides key considerations for the computation of myriad adjustments to the price of financial derivatives, to fully reflect costs. XVA has been of great interest recently due to heavy funding costs (FVA), initial margin (MVA) and capital requirements (KVA) required to sustain a derivatives business since 2008, in addition to the traditional concepts of cost from counterparty default or credit deterioration (CVA), and its mirror image — the cost of one own’s default (DVA). The book takes a practitioner’s perspective on the above concepts, and then provides a framework to implement such adjustments in practice. Models are presented too, taking note of what is computationally feasible in light of portfolios typical of investment banks, and the different instruments associated with these portfolios.

250pp Aug 2019978-981-3272-73-6 US$98 £85

Handbook

Handbook of Energy FinanceTheories, Practices and Simulationsedited by Duc Khuong Nguyen (IPAG Business School, France& Indiana University, USA) & Stéphane Goutte (University Paris 8, France)

Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance. This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements.

800pp Sep 2019978-981-3278-37-0 US$228 £200

Textbook

Investment AnalyticsRevolutionizing Professional Investment with Artificial Intelligence, Big Data, and Cloud Computingby Bernard Lee (HedgeSPA, USA)

Investment Analysis is consists of illustrations that are “real-world”, practical investment problems and is a textbook designed for:• Advanced undergraduates hoping to acquire a solid introduction

to investment analytics used by the asset management industry• Graduate students with backgrounds in engineering

mathematics, seeking to move into investment-related roles• Investment professionals taking a deep professional education

module to get up to date on the advanced investment analytics used by leading global asset managers.

250pp Sep 2019978-981-4725-35-4 US$98 £81978-981-4730-45-7(pbk) US$48 £40

Prefer Digital? Browse this flyer online http://bit.ly/FinEng19WORLD SCIENTIFIC 4

FINANCIAL ENGINEERING: New & Notable Titles

Modern Trends in Financial Engineering

Employee Stock OptionsExercise Timing, Hedging, and Valuationby Tim Leung (University of Washington, USA)

In this exciting book, the author discusses the practical and challenging problems surrounding Employee stock options (ESOs) from a financial mathematician’s perspective. This book provides a systematic overview of the contractual features of ESOs and thoughtful discussions of different valuation approaches, with emphasis on three major aspects: (i) hedging strategies; (ii) exercise timing; and (iii) valuation methodologies. In addition to addressing each of these categories, this book also highlights their connections and combined effects of the cost of ESOs to firms, as well as examines the implications to modeling and valuation approaches. The book features a unique approach that combines stochastic modeling and control techniques with option pricing theory, and provides formulas and numerical schemes for fast implementation and clear illustration.

180pp Sep 2019978-981-3209-63-3 US$88 £73

Textbook

Financial Mathematics for Actuaries (2nd Edition)by Wai-Sum Chan (The Chinese University of Hong Kong, Hong Kong) & Yiu-Kuen Tse (Singapore Management University, Singapore)

Financial Mathematics for Actuaries is a textbook for students in actuarial science, quantitative finance, financial engineering and quantitative risk management and is designed for a one-semester undergraduate course. Covering the theories of interest rates, with applications to the evaluation of cash flows, the pricing of fixed income securities and the management of bonds, this textbook also contains numerous examples and exercises and extensive coverage of various Excel functions for financial calculation. Discussions are linked to real financial market data, such as historical term structure, and traded financial securities.

372pp Oct 2017978-981-3224-66-7 US$138 £121978-981-3224-67-4(pbk) US$45 £40

Textbook

Quantitative Financial AnalyticsThe Path to Investment Profitsby Edward E Williams & John A Dobelman (Rice University, USA)

This book provides a comprehensive treatment of the important aspects of investment theory, security analysis, and portfolio selection, with a quantitative emphasis not to be found in most other investment texts. The statistical analysis framework of markets and institutions in the book meets the need for advanced undergraduates and graduate students in quantitative disciplines, who wish to apply their craft to the world of investments. In addition, entrepreneurs will find the volume to be especially useful. It also contains a clearly detailed explanation of many recent developments in portfolio and capital market theory as well as a thorough procedural discussion of security analysis. Professionals preparing for the CPA, CFA, and or CFP examinations will also benefit from a close scrutiny of the many problems following each chapter.

620pp Sep 2017978-981-3224-24-7 US$158 £139978-981-3224-25-4(pbk) US$78 £69

Quantum Methods in Social ScienceA First Courseby Emmanuel Haven (University of Leicester, UK),Andrei Khrennikov (Linnaeus University, Sweden)& Terry Robinson (University of Leicester, UK)

Shown here is how basic concepts of physics can be used to improve models in finance, economics, psychology and biology. Readers are introduced to how physical theory can inform non-physical phenomena in the social sciences, thereby improving decision making and modeling capabilities in research-based and professional settings.Quantum Methods in Social Science is a high level textbook for advanced undergraduate or graduate students of economics, finance and business, while also being of interest to those with a background in physics.

276pp Aug 2017978-1-78634-276-8 US$88 £73978-1-78634-277-5(pbk) US$58 £35

Textbook

Theoretical Foundations for Quantitative Financeby Luca Spadafora (Università Cattolica del SacroCuore, Italy) & Gennady P Berman (Los AlamosNational Laboratory, USA & New Mexico Consortium, USA)

“Spadafora and Berman present the fundamentals of quantitative finance focusing on pricing and risk management problems from a practical and a methodological point of view. This book can be recommended both to graduate students approaching finance for the gentle introduction to the main subjects aided by the necessary mathematical tools, and to practitioners, which may value the convincing presentation of recent developments in the field.”

Andrea PallaviciniHead of Equity, FX and Commodity Models, Banca IMI, Italy

224pp Jun 2017978-981-3202-47-4 US$78 £65

Bestselling Textbook

R in Finance and EconomicsA Beginner’s Guideby Abhay Kumar Singh (Edith Cowan University, Australia & David Edmund Allen (University of Sydney, Australia)

“One of the best R guides on the market! Although written for beginners, advanced users also will learn a lot.”

Ostap OkhrinDresden University of Technology, Germany

This book provides an introduction to the statistical software R and its application with an empirical approach in finance and economics. It is specifically targeted towards undergraduate and graduate students. It provides beginner-level introduction to R using RStudio and reproducible research examples.

264pp Feb 2017978-981-3144-46-0 US$68 £56

Textbook: Request Inspection Copy at sales@wspc.com

Prefer Digital? Browse this flyer online http://bit.ly/FinEng19 5 WORLD SCIENTIFIC

FINANCIAL ENGINEERING: BESTSELLING TITLES

Textbook

Deep Dive into Financial ModelsModeling Risk and Uncertaintyby Mathieu Le Bellac (BRED Bank, France) & Arnaud Viricel (Natixis, France)

Since 2007, the repeated financial crises around the world have brought to the headlines financial practices and models considered to fuel the economic instabilities. Deep Dive into Financial Models: Modeling Risk and Uncertainty comes handy in demystifying the underlying quantitative finance concepts. With a limited use of mathematical formalism, the book explains thoroughly the models, their hypotheses, principles and other building blocks. A particular care is given to model limitations and their misuse for investment strategies, asset pricing, or risk management. Its reader-friendly nature provides readers with a head start in quantitative finance.

232pp Jan 2017978-981-3143-71-5 US$98 £81978-981-3142-10-7(pbk) US$48 £40

The Economic Foundations of Risk ManagementTheory, Practice, and Applicationsby Robert Jarrow (Cornell)

“The book is an ideal complement to existing monographs on financial risk management ... a tour of risk types and risk management principles is presented in a terse, no-fuss manner. Plenty of pointers to additional literature are given, allowing the interested reader to go deeper into any of the topics presented.”

Newsletter of the Bachelier Finance Society

208pp Jan 2017978-981-3147-51-5 US$75 £62978-981-3149-96-0(pbk) US$38 £32

Quantitative Finance and Risk Management (2nd Edition)A Physicist’s Approachby Jan W Dash (Bloomberg LP, USA)

Review of the First Edition: “... this document brings a wealth of practical information on how work is done in real world financial markets, and covers an impressive number of topics, ranging from management and computer system issues to research themes whose potential applications are yet to be explored. It can prove a useful tool to anyone already well acquainted with the basics of mathematical finance, including financial mathematicians, but also quantitative analysts wishing to learn more of the fundamentals without paying too high a price in mathematical prerequisites.”

Mathematical Reviews1000pp Jul 2016978-981-4571-23-4 US$138 £115

Derivatives Algorithms (2nd Edition)Volume 1: Bonesby Tom Hyer

Reviews of the First Edition: “Aristotle once said ‘ Those who know, do. Those who understand, teach’ . The quantitative finance community is very lucky that Tom Hyer, who both knows and understands, has written this short book. It covers a lot of ground and shows the why and the how of industrial-scale derivatives pricing and risk management. This book is a must for practitioners, and useful for academics as well.”

Alexander LiptonCo-Head of the Global Quantitative Group, Bank of America Merrill Lynch

and Visiting Professor of Mathematics, Imperial College London

348pp Nov 2015978-981-4699-51-8 US$82 £68

Textbook

An Introduction to Quantitative FinanceA Three-Principle Approachby Christopher Hian Ann Ting(Singapore Management University, Singapore)

“Christopher Ting belongs to the select group of finance academics who are able to wade into the messiness of the real world and distil truth from theory. The book reflects his ability to straddle both worlds and would be highly recommended for this reason alone. As a bonus, he is also an entertaining writer and able to make complex topics accessible to a wider audience.”

Philip FERNANDEZManaging Director, DBS Bank

272pp Nov 2015978-981-4704-30-4 US$65 £54

Model Risk in Financial MarketsFrom Financial Engineering to Risk Managementby Radu Tunaru (University of Kent, UK)

Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed.

384pp Aug 2015978-981-4663-40-3 US$142 £118

Global Derivative Debacles (2nd Edition)From Theory to Malpracticeby Laurent L Jacque (Tufts University, USA & HEC School of Management, France)

Reviews of the First Edition: “This timely and well-written book is a ‘ must read’ for anyone directly or indirectly involved in financial markets and instruments as well as risk management. By telling actual stories of how rogue traders and incompetent managers put their firms at risk, the author demystifies the complex world of financial derivatives. His incisive and in-depth analysis of all major derivatives debacles should help the reader understand what happened and avoid future disasters.”

Gabriel HawawiniThe Henry Grunfeld Professor of Investment Banking

INSEAD368pp Jul 2015

978-981-4663-24-3 US$99 £87978-981-4699-89-1(pbk) US$60 £52

6 WORLD SCIENTIFIC Prefer Digital? Browse this flyer online http://bit.ly/FinEng19

FINANCIAL ENGINEERING: BESTSELLING TITLES

World Scientific Lecture Notes in Economics and Policy - Vol 1Financial DerivativesFutures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swapsby George M Constantinides (University of Chicago Booth School of Business, USA)

Derivatives markets are an important and growing segment of financial markets and play an important role in the management of risk. This invaluable set of lecture notes is meant to be used in conjunction with a standard textbook on derivatives in an advanced undergraduate or MBA elective course on futures, forwards, swaps, options, corporate securities, and credit default swaps. It covers the foundations of derivatives pricing in arbitrage-free markets, develops the methodology of risk-neutral valuation, and discusses hedging and the management of risk.

232pp Feb 2015978-981-4618-41-0 US$88 £73978-981-4618-42-7(pbk) US$45 £37

East China Normal University Scientific Reports - Vol 1High-Frequency Trading and Probability Theoryby Zhaodong Wang & Weian Zheng (East China Normal University, China)

This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors’ arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic. Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.

192pp Nov 2014978-981-4616-50-8 US$85 £71978-981-4616-51-5(pbk) US$46 £38

HandbookWorld Scientific Handbook in Financial Economics Series - Vol 4Handbook of the Fundamentals of Financial Decision Making (In 2 Parts)edited by Leonard C MacLean (Dalhousie University, Canada) & William T Ziemba (University of British Columbia, Canada)

“These two parts contain a superb collection of papers covering the fundamental topics of asset pricing theory. Organized from the basic theories to complex optimal dynamic trading strategies, these readings are a complete one-stop and essential set of references for any serious scholar or user of these models.”

Robert JarrowCornell University

940pp Jul 2013978-981-4417-34-1(Set) US$98 £81

TextbookFinancial HackingEvaluate Risks, Price Derivatives, Structure Trades, and Build Your Intuition Quickly and Easilyby Philip Maymin (New York University, USA)

“This book distinguishes itself from many other books in financial engineering by tackling various problems from the real financial world in an intuitive and practical way. It serves to help readers gain more understanding, knowledge, and insights on arbitrage, risk management, options pricing and hedging, exotic derivatives, and many other interesting topics. This book is ideal for those who are curious about the fascinating financial world. It is also a good supplement to the standard textbooks in finance, and shall benefit students majoring in related programs, such as mathematical finance and MBA.”

Dr Bin ZhouTUM, Chair of Mathematical Finance

200pp Dec 2012978-981-4322-55-3 US$54 £45

TextbookAn Undergraduate Introduction to Financial Mathematics (3rd Edition)by J Robert Buchanan (Millersville University, USA)

“This book provides an ideal introduction to basic topics in financial mathematics not only for undergraduates studying mathematical related subjects, but also graduates in finance. It strikes an excellent balance between exposition and mathematical technicality. The author has produced a first-rate textbook that will become a classic read.” John G O’Hara

University of Essex, UK

484pp Sep 2012978-981-4407-44-1 US$74 £61

NOTABLE TITLESThe Adventures of a Modern Renaissance Academic in Investing and GamblingWilliam T Ziemba (UBC)Elements of Stochastic Modelling (2nd Ed.)Konstantin Borovkov (The University of Melbourne, Australia)

Extreme Financial Risks and Asset AllocationOlivier Le Courtois (EM Lyon Business School, France), et al.

Great Investment IdeasWilliam T Ziemba (UBC & London School of Economics, UK)

Heavy Tails and CopulasRustam Ibragimov (Imperial College London, UK),et al.

Innovations in Insurance, Risk- and Asset ManagementKathrin Glau (Queen Mary University of London, UK), et al.

Market Practice in Financial ModellingChia Chiang Tan (Deutsche Bank)Risk-Sensitive Investment ManagementMark H A Davis (Imperial College London, UK), et al.

Stochastic ProgrammingHorand I Gassmann (Dalhousie University, Canada), et al.

Stock Markets, Investments and Corporate BehaviorMichael Dempsey (RMIT University, Australia)

Prefer Digital?View this flyer online athttp://bit.ly/FinEnb19 or scan the QR code

FINANCIAL ENGINEERING: New & Notable Titles

Prefer Digital? Browse this flyer online http://bit.ly/FinEng19 7 WORLD SCIENTIFIC

FINANCIAL ENGINEERING: OUTSTANDING BESTSELLERS TITLES

TextbookIntroductory Course on Financial Mathematicsby M V Tretyakov (University of Nottingham, UK)276pp Sep 2013978-1-908977-38-0 US$58 £48

An Introduction to Wavelet Theory in FinanceA Wavelet Multiscale Approachby Francis In (Monash University, Australia) & Sangbae Kim (Kyungpook National University, Korea)

212pp Nov 2012978-981-4397-83-4 US$98 £81

An Elementary Introduction to Stochastic Interest Rate Modeling (2nd Edition)by Nicolas Privault (NTU, Singapore)244pp Jul 2012978-981-4390-85-9 US$88 £73

TextbookIntroduction to Stochastic Calculus with Applications (3rd Edition)by Fima C Klebaner (Monash University, Australia)

452pp Mar 2012978-1-84816-831-2 US$98 £81978-1-84816-832-9(pbk) US$58 £48

TextbookFinancial Economics, Risk and Information (2nd Edition)by Marcelo Bianconi (Tufts University, USA)496pp Dec 2011978-981-4355-13-1 US$118 £98

TextbookFinancial Derivative InvestmentsAn Introduction to Structured Productsby Richard D Bateson (University College London, UK)

376pp Jun 2011978-1-84816-711-7 US$75 £62

Hedging Derivativesby Thorsten Rheinländer (London School of Economics and Political Science, UK) & Jenny Sexton (University of Manchester, UK)244pp Jun 2011978-981-4338-79-0 US$94 £78

The Kelly Capital Growth Investment CriterionTheory and Practiceedited by Leonard C MacLean (Dalhousie University, Canada), Edward O Thorp (University of California, Irvine, USA) & William T Ziemba (Oxford University, UK & University of British Columbia, Canada)

884pp Apr 2011978-981-4293-49-5 US$98 £81978-981-4383-13-4(pbk) US$65 £54

Harry MarkowitzSelected Worksedited by Harry M Markowitz (University of California, San Diego, USA)

716pp Mar 2009978-981-283-363-1 US$182 £151978-981-283-364-8(pbk) US$78 £65

Efficiency of Racetrack Betting Markets(2008 Edition)edited by Donald B Hausch (University of Wisconsin-Madison, USA), Victor SY Lo (University of British Columbia, Canada) & William T Ziemba (University of British Columbia, Canada)

676pp Aug 2008978-981-281-918-5 US$121 £100978-981-3203-51-8(pbk) US$58 £51

Stochastic Modeling of Electricity and Related Marketsby Fred Espen Benth (University of Oslo, Norway), Jūratė Šaltytė Benth (University of Oslo, Norway) & Steen Koekebakker (University of Agder, Norway)

352pp Jun 2008978-981-281-230-8 US$148 £123

Mathematical Techniques in Financial Market Tradingby Don K Mak (formerly with Federal Government Research Laboratories, Canada)

320pp Apr 2006978-981-256-699-7 US$136 £113

Theory of Valuation (2nd Edition)edited by Sudipto Bhattacharya (London School of Economics, UK) & George M Constantinides (University of Chicago, USA)

388pp Jul 2005978-981-256-374-3 US$145 £120

TextbookMathematical Methods for Foreign ExchangeA Financial Engineer’s Approachby Alexander Lipton (Merrill Lynch International, UK)

700pp Oct 2001978-981-02-4615-0 US$137 £114978-981-02-4823-9(pbk) US$87 £72

Essentials of Stochastic FinanceFacts, Models, Theoryby Albert N Shiryaev (Steklov Mathematical Institute & Moscow State University)

852pp Jan 1999978-981-02-3605-2 US$99 £82

TextbookElementary Stochastic Calculus, with Finance in Viewby Thomas Mikosch (University of Groningen)224pp Nov 1998978-981-02-3543-7 US$58 £48

Prefer Digital?View this flyer online athttp://bit.ly/FinEnb19

FIND THESE BOOKS VALUABLE TO YOUR COMMUNITY?RECOMMEND THEM TO YOUR LIBRARIAN.

FINANCIAL ENGINEERING: New & Notable TitlesJOURNALS: Subscribe / Recommend These Journals to Your LibrarianFor a free institutional trial or subscribe to these journals, please contact us at sales@wspc.com

QUARTERLY JOURNAL OF FINANCE (QJF) www.worldscientific.com/qjf

Editors: Jean Helwege (University of California, Riverside, USA)Fernando Zapatero (University of Southern California, USA)

Featured Articles:• The Benefits and Costs of the TARP

Bailouts: A Critical Assessment Allen N. Berger

• Determinants of Corporate Bond Trading: A Comprehensive Analysis Edith Hotchkiss & Gergana Jostova

• How Ordinary Consumers Make Complex Economic Decisions: Financial Literacy and Retirement Readiness Annamaria Lusardi & Olivia S. Mitchell

• Equity Trading in the 21st Century James J. Angel, Lawrence E. Harris & Chester S. Spatt

MARKET MICROSTRUCTURE AND LIQUIDITY (MML) www.worldscientific.com/mml

Chief Editors:Frédéric Abergel (CentraleSupélec, France)Jean-Philippe Bouchaud (Capital Fund Management, France)Charles-Albert Lehalle (Capital Fund Management, France)Mathieu Rosenbaum (University Pierre and Marie Curie (Paris 6), France)

Most Read Articles:• Limit Order Strategic Placement with Adverse Selection Risk

and the Role of Latency Charles-Albert Lehalle & Othmane Mounjid

• The Benefits of Resiliency to Standard Market Impact Models Paul Besson & Matthieu Lasnier

• Slow Decay of Impact in Equity Markets X. Brokmann, E. Sérié, J. Kockelkoren & J.-P. Bouchaud

• The Amazing Power of Dimensional Analysis: Quantifying Market Impact Mathias Pohl, Alexander Ristig, Walter Schachermayer & Ludovic Tangpi

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (IJTAF) www.worldscientific.com/ijtaf

Advisor: R C Merton (MIT Sloan School of Management, USA)

Editor-in-Chief: Lane P Hughston (Goldsmiths College, University of London, UK)

Featured Articles:• Irreversible Investments and Ambiguity Aversion

Álvaro Cartea & Sebastian Jaimungal• Conic Trading in a Markovian Steady State

Dilip B. Madan, Martijn Pistorius & Wim Schoutens• Robust Trading of Implied Skew

Sergey Nadtochiy & Jan Obłój• Affine Models with Stochastic Market Price of Risk

Riccardo Rebonato

ANNALS OF FINANCIAL ECONOMICS (AFE) www.worldscientific.com/afe

Editor-in-Chief: Michael McAleer (Asia University, Taiwan)

Most Read Articles:• A Statistical Risk Assessment of

Bitcoin and Its Extreme Tail Behavior Joerg Osterrieder & Julian Lorenz

• The Impact of Internal Control on Firm’s Risk and Performance Yu-En Lin, Hsiang-Hsuan Chih, Chia-Hsien Tang & Tai-Hsun Huang

• Volatility in Copper Prices in India Nidhi Choudhary, Girish K. Nair & Harsh Purohit

• Statistical Arbitrage in the Multi-Asset Black–Scholes Economy Ahmet Göncü & Erdinc Akyildirim

INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING (IJFE) www.worldscientific.com/ijfe

Editor-in-Chief: George X. Yuan (Sun Yat-Sen University, Guangzhou, China)

Featured Articles:• Stochastic Volatility for Utility Maximizers

- A Martingale Approach Simon Ellersgaard & Martin Tegnér

• Optimal Portfolio in the Presence of Transaction Costs and Convex Risk Measure O Doctor, E. R. Offen & E. M. Lungu

• Asymmetries in Financial Returns Dilip B. Madan & King Wang

• The Impact of Skew on the Pricing of CoCo Bonds Jan De Spiegeleer, Monika B. Forys, Ine Marquet & Wim Schoutens

ENRICH YOUR LIBRARY’S COLLECTION

RECOMMEND THESE JOURNALS TO YOUR LIBRARIAN.

• NORTH & SOUTH World Scientific Publishing Co. Inc. AMERICA 27 Warren Street, Suite 401-402, Hackensack, NJ 07601, USA Fax: 1-201-487-9656 Tel: 1-201-487-9655 Email: sales_us@wspc.com

• EUROPE & THE World Scientific Publishing (UK) Ltd. MIDDLE EAST (Journals) 57 Shelton Street, London WC2H 9HE, UK Fax: +44 020 7836 2020 Tel: +44 020 7836 0888 Email: sales@wspc.co.uk (Books) c/o Marston Book Services, P O Box 269, Abingdon, Oxon OX14 4YN, UK Fax: 44 (0) 123 546 5555 Tel: 44 (0) 123 546 5500 Email: direct.orders@marston.co.uk

• ASIA & THE REST World Scientific Publishing Co. Pte. Ltd. OF THE WORLD 5 Toh Tuck Link Singapore 596224 Fax: 65 6467 7667 Tel: 65 6466 5775 Email: sales@wspc.com.sg

* Prices subject to change without prior notice

For orders or enquiries, please contact any of our offices below or visit us at: www.worldscientific.comRecommend To Your Librarian!

Printed in Jan 2019 New Jersey • London • Singapore • Beijing • Shanghai • Tianjin • Hong Kong • Taipei • Chennai • Tokyo • Munich SP HY 12 18 11 E