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Contents

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Welcome to Wiley, information providers for professionals and academics in all sectors of market risk, modelling and quantitative finance.

Whether you want to keep abreast of financial modelling, understand quantitative finance or manage your risk strategies better, you’ll find everything that you need right here.

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Derivatives Models on ModelsEspen Gaarder Haug 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 includes interviews with some of the world’s top names in finance including Nassim Taleb, Paul Wilmott and Emanuel Derman and an insight into the history behind some of the greatest discoveries in quantitative finance. An accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.

9780470013229 • Hardback • 384 pages • May 2007 • £50.00/€60.00/$80.00

The Volatility SurfaceA Practitioner’s GuideJim 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. He also discusses default risk models, capital structure arbitrage, quadratic variation-based payoffs, VIX futures contracts, and much more. Throughout the book, specific examples are considered to make theory come to life for practitioners.

9780471792512 • Hardback • 208 pages • Sep 2006 • £45.00/€52.00/$65.00

Models. Behaving. Badly.Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in LifeEmanuel Derman

“ Emanuel Derman has written my kind of book, an elegant combination of memoir, confession, essay on ethics, philosophy of science, and professional practice. He convincingly establishes the difference between model and theory and shows why attempts to model financial markets can never be genuinely scientific. It vindicates those of us who hold that financial modeling is neither practical nor scientific. Exceedingly readable.”

—Nassim N. Taleb, author of The Black Swan

“ This is a compelling, accessible, and provocative piece of work that forces us to ques tion many of our assumptions. As Derman explains so clearly, models are not bad in themselves; on the contrary, they are crucial for modern society. However, they have been used in a dangerously sloppy and careless way, with sometimes terrible results. The conclusion is unexpectedly optimistic if people choose to listen.”

—Gillian Tett, author of Fool’s Gold

Quants, physicists working on Wall Street as quantitative analysts, have been widely blamed for triggering the recent financial crisis with their complex mathematical models. What made these models, employed to minimize financial risk, so dangerous?

In this penetrating, insider’s look at the recent economic collapse, Emanuel Derman,former head quant at Goldman Sachs and a former physicist explains the collision between mathematical modeling and economics that has touched every one of us. Though financial models imitate the style of physics and employ the language of mathematics, there is a fundamental difference between the aims and potential achievements of physics and those of finance. In physics, theories aim for a description of reality; in finance, at best, models can shoot only for a simplistic and very limited approximation of reality.

Models.Behaving.Badly includes a personal account of Derman’s childhood encounters with failed models--the oppressions of apartheid and the utopia of the kibbutz. He describes his experience as a physicist on Wall Street. Derman ranges widely over his first-hand experiences in practice and theory, to explain the financial tangles that have paralyzed the economy. With sharp metaphors and tremendous explanatory power, he conveys the essence of these daunting financial models —The Black Scholes Model, The Efficient Market Model, the Capital Asset Pricing Model, etc —in very human terms.

Derman clearly shows us the intrinsic deficiencies of all models and explains why Wall Street, in its love affair with them, has a blindspot that prevents it from recognizing that finance will never be physics and that it will never be possible to write down a model that encapsulates human behavior. This is a fascinating, lyrical, and very human look behind the curtain at the intersection between mathematics and human nature.

9781119967163 • Hardback • 240 pages • Nov 2011 • £16.99/€20.40/$26.00

Ben Graham Was a QuantRaising the IQ of the Intelligent InvestorSteven P. Greiner The pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today’s most successful investors, such as Warren Buffett. If you want to become a better investor, you need solid insights and the proper guidance. With Ben Graham Was a Quant, you’ll receive this and much more, as you learn how to create quantitative models that follow in the footsteps of Graham’s value philosophy. The book opens with a brief history of quantitative investing and moves on to focus on the fundamental and financial factors used in selecting “Graham” stocks, demonstrate how to test these factors, and discuss how to combine them into a quantitative model.

9780470642078 • Hardback • 338 pages • Apr 2011 •£33.99/€40.00/$49.95

Monte Carlo Methods in FinancePeter Jackel 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.

9780471497417 • Hardback • 238 pages • Feb 2002 • £85.00/€102.00/$140.00






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Understanding and Managing Model RiskA Practical Guide for Quants, Traders and ValidatorsMassimo Morini

Understanding and Managing Model Risk offers an in-depth understanding of the financial implications of mathematical assumptions. It provides the right tools to identify, quantify and manage the risks inherent in the use of quantitative models. The book brings together a wide range of detailed real world examples, quantitative analysis and regulatory issues. It investigates the interaction between mathematics and the reality of markets, including the explanation of model errors and misunderstandings, providing readers with the operative indications and practical insight to help mitigate the likelihood of model losses. It examines the risks arising from the use of models in calibration, pricing, hedging, correlation modelling, extrapolation and statistical arbitrage.

“The most thoughtful and yet practical book I’ve seen on dealing with model risk.”

— Emanuel Derman, Professor at Columbia University, former Head of Quantitative Risk Management at Goldman Sachs, and author Models.Behaving.Badly

9780470977613 • Hardback • 448 pages • Oct 2011 • £60.00/€72.00/$100.00

Monte Carlo FrameworksBuilding Customisable High-performance C++ ApplicationsDaniel 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 state of-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. It assumes that you have a working knowledge of C ++ and includes a CD-ROM containing the source code for all examples.


Financial Modelling Theory, Implementation and PracticeJoerg Kienitz, Daniel J. Duffy, Daniel Wetterau Financial Modelling enables readers to model, design and implement a range of financial models for derivatives pricing and asset allocation. It provides complete financial modeling workflow, from model choice, deriving analytic choice and/or approximate prices for simple options and calibration, to market data and exotic options pricing. It shows how to price simple options and how to calibrate the models to real life market data and discusses the pricing of exotic options. This book enables readers to use the techniques discussed for equity derivatives and interest rate models in other areas of finance such as foreign exchange and inflation.

9780470744895 • Hardback • 416 pages • Jul 2012 • £70.00/€84.00/$115.00C# for Financial Markets with CD ROMDaniel J. Duffy, Andrea Germani

This practice-oriented book shows how to design and program pricing and trading models using the C# programming language. It is a step-by-step account of how to develop software programs that can be used by traders in real life situations. It shows readers how to develop robust and accurate pricing models and use them in work environments. The authors bring C# to the quantitative finance community by applying it to the design and implementation of complete applications in quantitative finance. They have created a number of models using several numerical techniques and use the full programming power of the Microsoft .NET framework to develop flexible applications and code. The book includes a CD containing the source code that has been tested and that can be used directly.

9780470030080 • Hardback • 288 pages • Jun 2012 • £60.00/€72.00/$100.00

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5

WILMOTT – Books, Magazine and Journal

Paul Wilmott Introduces Quantitative Finance2nd EditionPaul Wilmott Paul Wilmott Introduces Quantitative Finance, Second Edition as 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.

9780470319581 • Paperback • 722 pages • Jun 2007 • £42.50/€51.00/$70.00

Paul Wilmott on Quantitative Finance 3-Volume Set, 2nd EditionPaul Wilmott Paul Wilmott on Quantitative Finance, Second 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.

Volume One: Mathematical and Financial Foundations; Basic Theory Of Derivatives; Risk And Return Volume Two: Exotic Contracts and Path Dependency; Fixed Income Modeling And Derivatives; Credit Risk Volume Three: Advanced Topics; Numerical Methods and Programs

9780470018705 • Hardback • 1500 pages • Jan 2006 • £170.00/€204.00/$275.00

Frequently Asked Questions in Quantitative Finance 2nd EditionPaul 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-to date with the events of the financial crisis, this is a valuable reference for anyone involved or looking to be involved in quantitative finance.

9780470748756 • Paperback • 624 pages • Sep 2009 • £29.99/€36.00/$50.00

“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.”

WILMOTT MagazineWILMOTT Magazine contains in-depth analysis, new products, book and software reviews, and solutions. Six information-packed issues every year. It’s the easiest way for you to keep up to date with quantitative analysis, the institutions, and the people who make it happen. WILMOTT Magazine has an unrivalled stable of regular contributors. Ed Thorp, Espen Haug, Alan Lewis, Aaron Brown, Bill Ziemba, Henriette Prast and others are not only the most experienced finance gurus, but they also have in common that they each have a column in WILMOTT Magazine. No other publication has such an excellent reputation for putting theory into practice and for its journalistic integrity. WILMOTT Magazine publishes research articles for and by the international quantitative finance community. The emphasis of the magazine is on practicality of the research, new approaches and new methods. Topics covered include derivatives pricing, hedging and risk management, trading strategies, asset allocation, fundamental analysis, forecasting and econometrics.

Subscribers to the magazine become members of the WILMOTT Book Club and get 40% off many quantitative finance and popular science books published by John Wiley & Sons.

WILMOTT Magazine ISSN: 1540-6962 6 magazine issues per year

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6

Dynamic Copula Methods in FinanceUmberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, Silvia Romagnoli

This book sets out the latest research into the application of copula functions to the solution of financial problems. It reviews the issues surrounding dependence and correlation in finance and the basic concepts of copulas. It introduces the theory of convolution-based copulas, and the concept of C-convolution within the mainstream of the Darsow, Nguyen and Olsen (DNO) application of copulas to Markov processes. The authors explain how the c-convolution approach can be exploited to address both spatial and temporal dependence, a twofold perspective which is entirely new to these applications and demonstrate how it can be applied to the problems of evaluating multivariate equity derivatives, analyzing the credit risk exposure of a portfolio, and aggregating Value-at-Risk measures across risk-factors and business units.


Handbook of Multi-Commodity Markets and ProductsStructuring, Trading and Risk ManagementAndrea Roncoroni, Gianluca Fusai

The Handbook of Multi-Commodity Markets is a practical manual which covers the structure, functioning, rules and practices across a wide spectrum of commodity markets. In particular, the book focuses on the convergence of topics such as arbitrage valuation, econometric modelling, market structure analysis, contract engineering, risk assessment and management. Using real-world examples, it combines a detailed overview of each market with a set of tools for analyzing, pricing, and managing risk.

9780470745243 • Hardback • 992 pages • Jul 2012 • £100.00/€120.00/$160.00

Encyclopedia of Quantitative FinanceIV Volume SetEditor-in-chief Rama Cont

The definitive reference to quantitative financeEncyclopedia of Quantitative Finance is a landmark, multi-volume major reference work, presenting a timely 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, it 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.

The Encyclopedia draws together the computational methods and practical aspects of mathematical modelling for the financial sector. It 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 cross referenced to other relevant articles 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. This is an ideal background text for a Masters course in finance.


Fourier Transform Methods in FinanceUmberto Cherubini, Giovanni Della Lunga, Sabrina Mulinacci, Pietro Rossi 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 • Hardback • 256 pages • Dec 2009 • £70.00/€84.00/$115.00






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Financial EngineeringTanya S. Beder, Cara M. Marshall, As part of the Robert W. Kolb Series in Finance, Financial Engineering provides a comprehensive understanding of this important discipline by examining its fundamentals, the newest financial products, and disseminating cutting-edge research. It includes comprehensive case studies that reveal the various issues associated with financial engineering, you’ll gain 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.

9780470455814 • Hardback • 616 pages • Jun 2011 £65.00/€76.00/$95.00

Lévy Processes in Credit RiskWim Schoutens, Jessica Cariboni 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.

9780470743065 • Hardback • 200 pages • Jul 2009 £75.00/€90.00/$120.00

The Handbook of Insurance-Linked SecuritiesPauline Barrieu, Luca Albertini The book explores the various roles for the different parties involved in ILS, the motivation for the transaction sponsors & structures, potential pitfalls, latest developments and the key challenges faced by the market. The concepts are first looked at in a general way, before the analysis of relevant case studies where the ILS technology is applied. A distinction is made between non-life and life securitization, due to the specificities of each sector. The book is accompanied by a website www.wiley.com/go/albertini_barrieu_ILS featuring updates and additions to follow market developments.


Principles of Quantitative DevelopmentManoj Thulasidas This book is a practical guide to designing, building and deploying a trading platform. It looks at in-house trading platforms, reviews the trade life cycle, its participants and the functions within the front, middle and back office. The book looks at platform design, system architecture, programming languages and choices. It focuses on some of the more technical aspects of platform design, traditional and new languages and approaches used in modern quantitative development. The book is accompanied by a CD-ROM, featuring a fully working option pricing tool with source code and project building instructions and enables readers to develop a mini-trading platform. The book is also accompanied by a website http://pqd.thulasidas.com that contains updates and companion materials.


Building Financial Models with Microsoft ExcelA Guide for Business Professionals + CD ROM2nd EditionK. Scott Proctor Building Financial Models with Microsoft Excel provides step-by-step 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).

9780470481745 • Hardback • 384 pages • Jan 2010 £47.50/€56.00/$70.00

Advanced Modelling in Finance using Excel and VBAMary Jackson, Mike Staunton This book will appeal to both graduate students and practitioners. Students will value the Excel spreadsheets using a step-by- 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 • Hardback • 276 pages • Apr 2001 £67.50/€81.00/$110.00

The Blank SwanThe End of ProbabilityElie 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.


Modeling Mortgage-Backed SecuritiesDesign, Structure, and Risk Analysis with Microsoft ExcelJohn Banko As part of the Robert W. Kolb Series in Finance, Modeling Mortgage-Backed Securities 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. A complete resource and authoritative guide, Modeling Mortgage-Backed Securities will enhance your understanding of this dynamic discipline.


Financial Models with Lévy Processes and Volatility ClusteringSvetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi CFA Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling. It provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing practical applications to option pricing and portfolio management. The authors explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book’s framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution.

9780470482353 • Hardback • 394 pages • Mar 2011 £75.00/€88.00/$110.00










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Financial Risk ForecastingThe Theory and Practice of Forecasting Market Risk with Implementation in R and MatlabJón Daníelsson

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. It begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It presents volatility forecasting and discusses the various methods with a special focus on the GARCH family of models. It looks at the main concepts in risk and models to forecast risk and the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book.

The book is accompanied by a website - www.financialriskforecasting.com — which features downloadable code as used in the book.

9780470669433 • Hardback • 296 pages • Mar 2011 • £45.00/€54.00/$75.00

The Number That Killed UsA Story of Modern Banking, Flawed Mathematics, and a Big Financial CrisisPablo Triana

An unflinching look at the risk measurement tool that brought about the Great Recession. It’s time to learn the truth about the financial crisis.

In The Number That Killed Us, risk management and derivatives guru Pablo Triana presents a shocking look at Value at Risk (VaR), the mathematical model that encouraged banks to take on toxic assets they should never have touched and that ultimately brought the international financial system to its knees. The devastating financial crisis that began in the summer of 2007 and led to staggering losses for the banking industry, a global economic recession, and an implosion in government finances was caused by two main factors: toxic assets and leverage. But why did banks and other financial institutions take on this “toxic leverage” in the first place? Because an immensely powerful, but little talked about, mathematical model told them to. Known as Value at Risk (VaR), this model inaccurately projected no risk for these clearly worthless assets, insisting that they could be accumulated worry-free. Now, for the first time, The Number That Killed Us reveals the “greatest story never told” about the Great Recession, explaining the key reasons behind this and past market disasters. It provides a comprehensive overview of the development of VaR, a story fraught with mathematical wizardry, intriguing characters, and financial drama. The book reveals how all our lives have been influenced by this mysterious analytical tool and how for the past two decades, VaR has been one of the most influential forces in finance. Financial instabilities are revealed, and VaR, the mathematical ruler of the past twenty years, is finally seen for what it really is—flawed and impractical. As in his previous book, Lecturing Birds on Flying, author Pablo Triana takes important financial issues off the backburner and brings them to the forefront of controversial contemporary debate.

Essential reading for individual and professional investors, market professionals, regulators, policymakers, and anyone who wants to really understand where all the money went, The Number That Killed Us drags the risk measurement tool that has repeatedly and severely hurt the financial world into the spotlight.


Coherent Stress TestingA Bayesian Approach to the Analysis of Financial StressRiccardo Rebonato “This book shows how to build subjective, yet consistent probabilities for scenarios. Highly recommended. “

—Philippe Jorion, Professor, University of California at Irvine

Rebonato looks at stress testing and its role in modern risk management. The book fills a gap in quantitative risk management by introducing a new and very intuitively appealing approach to stress testing based on expert judgment and Bayesian networks. Rebonato discusses the distinctions between risk and uncertainty, the different types of probability and for which tasks they are best used. It takes readers through the applications of the tools discussed and introduces two different systematic approaches to obtaining a coherent stress testing output that can satisfy the ends of industry users and regulators.


The SABR/LIBOR Market ModelPricing, Calibration and Hedging for Complex Interest-Rate DerivativesRiccardo 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. 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. 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.






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Cash CDO Modelling in ExcelA Step by Step ApproachDarren Smith, Pamela Winchie Written by leading experts Darren Smith and Pamela Winchie, this book introduces the modeling of cash flow collateralised debt obligations (CDOs). It includes the construction of cash flows for both the underlying collateral and the issued notes, the evaluation of default probabilities and expected losses for rating agencies. It takes a step by step approach to building a rudimentary model so that readers will have a useful tool to evaluate cash flow CDOs and a template that can be built upon to suit personal taste and requirements.


Financial Modelling in PythonShayne Fletcher, Christopher Gardner 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.


Practical Financial OptimizationA Library of GAMS ModelsStavros A. Zenios, Soren S Nielson, Andrea Consiglio In this book, 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 book is a valuable guide for quantitative developers and analysts, portfolio and asset managers, investment strategists and advanced students of finance.


Financial Risk ManagementModels, History, and InstitutionsAllan M. Malz This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk, as well as the techniques used to measure and manage them. Combining the model-oriented approach of risk management as it has evolved over the past two decades with an economist’s approach to the same issues, Financial Risk Management is the essential guide to the subject for today’s complex world.


The Wrong Answer FasterThe Inside Story of Making the Machine that Trades TrillionsMichael Goodkin

The Wrong Answer Faster is the story of unintended consequences: how a technique originally created to minimize market risk spiraled into a multi-trillion dollar game with unparalleled risks. The epic tale of the untold story how one man with a great idea decided not to play the market but to revolutionize the financial world for generations to come by creating the most ground breaking tool for market players since the ticker tape. This book tells the story behind computerized trading on Wall Street by the man, operating behind a curtain of Nobel winning academics, who organized the whole thing. In the process, he revolutionized how money is managed and traded. Like other shining stars on the Street, Goodkin’s real passions lay in not working on Wall Street or trading the market but in playing games. Having founded and sold the firm that changed the world, he then left New York to travel and play backgammon —only to return to found another groundbreaking firm, Numerix. Goodkin’s unique insight to the markets is that everyone has the wrong answers, and it’s virtually impossible to “beat the dealer” that is the Street. His solution was not to try to beat the market but to come up with the wrong answers before anyone else. This is not only Michael Goodkin’s fascinating story but the story of the computerization of Wall Street by the man at the helm - along with his keen insights, based almost entirely on poker and game theory, that literally changed the way the money game is played.


Modelling and Hedging Basket Options in Commodity and Equity MarketsPeter Laurence, Alexander Eydeland, Professor Akihiko Takahashi, Vladimir Lucic

This book provides complete coverage of all of the leading methods for modelling basket products and addresses the multivariate structures involved. It covers the statistical approach to modelling commodities and equities, including correlation, copulas and weighted Monte Carlo. It looks at the Asymptotic and PDE approach to modelling leading commodity and equity basket products, including Black-Scholes, diffusion models and volatility models. The authors provide all of the necessary machinery for pricing and hedging these products with coverage of the most common mistakes and problems encountered.








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Interest-Rate DerivativesVolume I: SwapsRichard Fedrick

A comprehensive, technically rigorous guide to interest-rate derivatives from a trading floor perspective. This book provides extensive coverage of bonds and money markets; yield curves; interest-rate and cross-currency swaps; swaps risk-management; breakdowns of classical swaps pricing in the credit crunch; and modern multi-curve calibration methodologies. It closes with a section on counterparty credit risk for swaps, an issue that has come to the forefront of market practice in the aftermath of the financial crisis.

The book will include a number of war stories from the trading floor, illustrating everyday scenarios and bringing the text to life.

Written by a practitioner for practitioners, Interest Rate Derivatives Volume I and Volume II—(Volume II forthcoming November 2012) are set to become the references for derivatives practitioners everywhere.


Modeling Risk +DVDApplying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization2nd EditionJohnathan Mun The Second Edition of Modeling Risk offers a qualitative and quantitative description of risk, as well as introduces the methods used in identifying, quantifying, applying, predicting, valuing, hedging, diversifying, and managing risk. It includes many updated and new discussions, examples, exercises, and contains case studies that reflect today’s evolving environment on market and credit risk as it applies to Basel II requirements, a billion-dollar negotiation case study applying risk analytics for the state of California, U.S. military applications, IT security risk analysis, and project management risk analysis. The book is supported by a companion DVD that contains innovative trial versions of the author’s Risk Simulator and Real Options Super Lattice Solver software and associated Excel spreadsheet models.

9780470592212 • Hardback • 1,024 pages • Jul 2010 • £85.00/€100.00/$125.00

Quantitative Risk Management + WebsiteA Practical Guide to Financial RiskThomas S. Coleman The book updates the theories and tools used to assess, measure, and monitor risk with their applications for financial firms post crisis. It presents a guide map for tactical and strategic decision-making to control risk and capitalize on opportunities.

Coleman provides the models, tools, and techniques firms need to fully integrate the best in risk management practices. The book includes interactive graphs, and portfolio risk and analytics computer code, documentation, and risk-reporting.


Financial Simulation Modeling in ExcelA Step-by-Step Guide, + WebsiteKeith Allman, Josh Laurito, Michael Loh Financial Simulation Modeling in Excel contains a practical, hands-on approach to learning complex financial simulation methodologies using Excel and VBA. Filled with in-depth insights and expert advice, it takes you through the theory behind a simulation topic and the implementation of that same topic in Excel/VBA. This guide effectively walks you through the process of creating and implementing risk models in Excel. A companion website contains all the Excel models risk experts and quantitative analysts need to practice and confirm their results as they progress.

9780470931226 • Paperback • 193 pages • Nov 20t11 • £75.00/€88.00/$110.00

Hedge Fund Modeling and Analysis Using Excel and VBAPaul Darbyshire, David Hampton

Hedge Fund Analysis and Modeling Using Excel and VBA is a practical and implementation driven book that guides you through real modeling and analysis exercises for hedge funds. It provides an overview of hedge funds and covers the key styles and strategies adopted by hedge fund managers. It looks at hedge fund data sources and discusses performance measures, both basic and risk-adjusted, and how to model hedge fund returns. It also looks at more sophisticated hedge fund analysis, and risk management techniques. The book features a DVD, which includes Excel and VBA spreadsheets with step-by-step audio and visual tutorials, and classroom style video tutorials on key modeling aspects.


Market MicrostructureConfronting Many Viewpoints Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault, Charles Lehalle, Mathieu Rosenbaum

This book provides the latest, most cutting edge research into market microstructure. It provides insights in to the origin of the well-known anomalous stylized facts in financial price series, namely heavy tails, volatility and clustering and illustrate their impact on the organization of markets, execution costs, price impact, the organization of liquidity in electronic markets and the issues raised by high frequency trading. It brings together the best minds and strategies in the area and is a valuable reference for both practitioners and academics in quantitative finance and economics.

9781119952411 • Hardback • 416 pages • Apr 2012 • £70.00/€84.00/$115.00

Credit Risk FrontiersSubprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and LiquidityTomasz Bielecki, Damiano Brigo, Frederic Patras This book offers expert insights on the role of quantitative modeling during the recent credit crisis and the modeling lessons learned from this period. It discusses general methods in multi name credit derivatives. It explores asset-backed securities (ABS), in which the analysis of cash flows represents specific difficulties that aren’t present in the familiar synthetic collateralized debt obligation (CDO) framework. The book presents a renewed picture of the field, taking into account the lessons of the past to push forward with new models, ideas, and methods.









Foreign Exchange Option PricingA Practitioner’s GuideIain Clark This book is a practitioner’s guide to the mathematics of foreign exchange not just the theoretical mathematics but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and examples using real-world data, it introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models an area often neglected in the literature.

9780470683682 • Hardback • 298 pages • Nov 2010 £60.00/€72.00/$100.00

Exotic Options and HybridsA Guide to Structuring, Pricing and TradingMohamed Bouzoubaa, Adel Osseiran Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that takes readers through the recent crisis, the road to recovery, the next bull market and beyond. Adoptions of real trades are examined in detail, and all of the examples are carefully selected to highlight interesting and significant aspects of the business. It looks at the applications, the strengths and the limitations of various models, in relevance to the products and their risks, rather than the model implementations. The only book in its class to make these exotic concepts truly accessible.


Swaps and Other Derivatives2nd EditionRichard R. Flavell Fully revised and updated, 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, 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.

9780470721919 • Hardback • 392 pages • Dec 2009 £75.00/€90.00/$120.00

The Art of Credit DerivativesDemystifying the Black SwanJoao Garcia, Serge Goossens 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.


Financial Modeling with Crystal Ball and Excel + Website2nd EditionJohn Charnes This Second Edition is full of refreshing content consistent with the newest release of Oracle Crystal Ball and state-of-the-art practice in Monte Carol Simulation modelling and risk management. It provides tools and techniques to perform spreadsheet simulation. It covers how to define and refine probability distributions in financial modeling, and reviews the concepts behind the simulation modeling process. The book discusses simulation controls and analysis of simulation results. Exercises models help readers apply risk analysis to such areas as derivative pricing, cost estimation, portfolio allocation and optimization, design analysis, and cash flow analysis.

9781118175446 • Paperback • 304 pages • Jun 2012 £60.00/€72.00/$90.00

Interest Rate Swaps and Their DerivativesA Practitioner’s GuideAmir Sadr This book 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, CMS products, and Bermudan callables. It emphasizes the exotics/structured-notes area. Rather than focus on the mathematics, Sadr uses simple settings and illustrations to show real results and insights.

9780470443941 • Hardback • 247 pages • Sep 2009 £57.50/€68.00/$85.00

Options on Foreign Exchange3rd EditionDavid 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 book presents 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.

9780470239773 • Hardback • 267 pages • Aug 2011 £65.00/€76.00/$95.00

FX Options and Smile RiskAntonio Castagna FX Options and Smile Risk takes readers through the main technicalities of the FX spot and options markets, building practical trading skills that enables 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.


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The LIBOR Market Model in PracticeDariusz 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.











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The Handbook of News Analytics in FinanceGautam Mitra, Leela Mitra

The Handbook of News Analytics in Finance brings together the latest models and applications of News Analytics for asset pricing, portfolio construction, trading and risk control.

It provides an overview of News Analytics (NA) with an explanation of the technology and applications. It explains the methods and models which are used to measure and quantify news sentiment. The relationship between news events and discovery of abnormal returns is discussed in detail. It covers the use of quantified news for the purpose of monitoring, early diagnostics and risk control and contains insights of experts from leading technology (content) vendors. It also contains a discussion of technologies and finally a compact directory of content vendor and financial analytics companies in the marketplace of NA. The book draws equally upon the expertise of academics and practitioners who have developed these models and is supported by two major content vendors— RavenPack and Thomson Reuters.


Counterparty Credit Risk and Hybrid ModelsInterest Rates, Commodities, Equity and FXDamiano Brigo

This is the only book which deals specifically with counterparty credit risk, so pertinent in a time of financial crisis resulting at least in part from the failure of banks to protect themselves against this risk. It focuses 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 main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others. It aims 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.


Model Calibration for Financial DerivativesFrom Hedging to PricingFrédéric Abergel

Model Calibration for Financial Derivatives introduces the fundamentals of model calibration by taking an intuitive approach of BSM and revisiting it in an incomplete markets setting, applying it to a number of hedging strategies. It provides the groundwork for model selection using a general benchmarking approach of any model against its associated hedge performance, highlighting the way models, even before they are calibrated. It looks at the more challenging non-parametric models, introduces a mathematical toolkit to cover scenarios, and some market examples of where these models might be used in equity, FX and hybrid products. The author also looks at the limitations of such self-calibrated products, both numerical and theoretical, and addresses the question of correlation modeling.


Commodities and Commodity DerivativesModeling and Pricing for Agriculturals, Metals and EnergyHélyette Geman Commodities and Commodity Derivatives is the comprehensive guide to hard and soft commodities, analyzing the economic and geopolitical issues in commodities markets. This book 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.”

— Robert Merton, Professor, Harvard Business School


Risk Management in Commodity MarketsFrom Shipping to Agricuturals and EnergyEdited by Hélyette Geman 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. It 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.







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The Practical Guide to Wall StreetEquities and DerivativesMatthew Tagliani 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.


Credit Derivative StrategiesNew Thinking on Managing Risk and ReturnRohan Douglas Credit Derivative Strategies looks at state-of-the-art techniques for picking credit hedge funds, analyzing event risk, identifying relative value opportunities and managing CDOs. The credit crisis has many people in the financial industry rethinking how to manage their credit risk and exposure. It is now more important than ever for participants in the financial markets to understand these credit products given their increasing impact. The contributors to this book are practicing professionals who honed their craft at some of the industry’s most successful companies including: Merrill Lynch, Credit Suisse First Boston, Kenmar Global Investment Management, and Citigroup.


The Mathematics of Derivatives Securities Mario Cerrato

The book introduces probability theory, stochastic calculus and stochastic processes and how to apply them to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility. Each chapter provides a thorough discussion of the topics with practical examples in MATLAB so that readers will build up to an analysis of modern cutting edge research in finance, combining probabilistic models illustrated by MATLAB applications. This book stands apart from the rest as it covers complex analytical issues and complex financial instruments in a way that is accessible to those without a background in probability theory and finance, as well as providing detailed mathematical explanations with MATLAB code for a variety of topics and real world case examples.


Implementing Models of Financial DerivativesObject Oriented Applications with VBA, with CD-ROMNick Webber

Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, in the context of Monte Carlo simulation but also for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with Excel spreadsheets containing implementations of all the methods and models it investigates and useful utility procedures. Exercises take the reader from basic procedural level programming up to high level object oriented implementations.

“A well-rounded exposition on the design and implementation of Monte Carlo applications using VBA. What I personally like is the balance between finance, numerical methods, software design and code and these topics make the book stand out and unique”.—Daniel Duffy, Datasim Financial


The Post-Reform Guide to Derivatives and FuturesGordon F. Peery The Post-Reform Guide to Derivatives and Futures reveals how derivatives law and market practice throughout the world, began to change in historic ways beginning in 2011, and what you must do to keep up with these changes. It accurately reflects the futures and derivatives markets as they exist today and how they will be transformed by the Dodd-Frank Wall Street Reform and Consumer Protection Act. The book highlights the risks and common disputes and offers recommendations for best practices in light of the evolving law governing derivatives.


Fixed-IncomeSecurities and Derivatives Handbook2nd EditionMoorad Choudhry The Second Edition of Fixed-Income Securities and Derivatives Handbook offers a completely updated and revised look at an important area of today’s financial world. As timely as it is timeless, it includes a wealth of new material on such topics as covered bonds, credit derivatives, convertible bonds, swaps, synthetic securitization, bond portfolio management, and much more. Full of illustrative case studies and real-world examples it will enable readers to quickly gain a firm understanding of the books key concepts.








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Trading the Fixed Income, Inflation and Credit MarketsA Relative Value GuideNeil C. Schofield, Troy Bowler

Trading the Fixed Income, Inflation and Credit Markets is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets. The book looks at the main derivative products and their pricing interrelationships. It shows that within any asset class there are mathematical relationships that tie together four key building blocks: cash products, forwards/futures, swaps and options. It moves on to relative value within a fixed income context and looks at strategies that build on the pricing relationships between products as well as those that focus on how to identify the optimal way to express a view on the movement of the yield curve. It takes the main themes of relative value and shows how they can be applied within other asset classes. Written from a practitioner’s perspective, the book illustrates how the products are used by including worked examples and screenshots to ensure that the content is as practical and applied as possible.


Financial Engineering and Arbitrage in the Financial MarketsRobert Dubil

Financial Engineering and Arbitrage in the Financial Markets is an easy-to-understand guide to the complex world of today’s financial markets teaching readers what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. Filled with insights and real life examples from the trading floor, it is essential reading for anyone starting out in trading. Using a unique structural approach to teaching the mechanics of financial markets, the book dissects markets into their common building blocks: spot (cash), forward/futures, and contingent (options) transactions. After explaining how each of these is valued and settled, it exploits the structural uniformity across all markets to introduce the difficult subjects of financially engineered products and complex derivatives. The book avoids stochastic calculus in favour of numeric cash flow calculations, present value tables, and diagrams, explaining options, swaps and credit derivatives without any use of differential equations.

9780470746011 • Hardback • 380 pages • Aug 2011 • £45.00/€54.00/$85.00

RiskThe New Management Imperative in FinanceJames T. Gleason This book describes the latest risk management tools, financial instruments and practical implementation strategies, presented in a real-world, non-academic manner. This book presents the latest information on identifying risk, measuring and quantifying risk, managing risk: a practical framework for financial risk management implementation. It includes “The Ten Commandments of Financial Risk Management,” how and when to use the latest financial instruments and derivatives, and setting up a trackable risk management initiative


The CME Group Risk Management HandbookProducts and ApplicationsCME Group, John W. Labuszewski, John E. Nyhof, Richard Co, Paul E. Peterson, Leo MelamedThis handbook provides an overview of the futures market in today’s electronic trading world and explains how they can be used to manage risk. It explains the futures markets, defines futures contracts, methodologies of order entry and execution and the role of the clearing house. It explains the intricacies of various futures products and offers a review of technical analysis, covering Elliott Wave Theory, pattern recognition and empirical analysis. It concludes with a look at options markets, outlining a range of options trading strategies, including hedging with options


Statistical FinanceAssessing the Math in Risk ManagementMichael B. Miller Statistical Finance reviews logarithms, combinatorics, geometric series and discount factors. It explores the application of probabilities to risk management and explains how to describe a collection of data in precise statistical terms. It looks at probability distributions, confidence intervals and hypothesis testing. It provides a basic introduction to linear regression models and explores factor analysis and stress testing. Statistical Finance is packed with charts and equations and includes a website with two Microsoft Excel spread sheet examples per chapter.


Credit Models and the CrisisA Journey into CDOs, Copulas, Correlations and Dynamic ModelsDamiano Brigo, Andrea Pallavicini, Roberto Torresetti Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems up to and through the credit crisis.

The book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods. It illustrates the implied copula and explains why the Gaussian Copula model is still used in its base correlation formulation. It reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009.

9780470665664 • Paperback • 176 pages • Apr 2010 • £29.99/€36.00/$50.00







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Market Risk AnalysisFour Volume BoxsetCarol 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. The four volumes of Market Risk Analysis illustrate virtually every concept or formula with a practical, numerical example or a longer, empirical case study. 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.


Market Risk AnalysisVolume IV: Value at Risk ModelsVolume 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. 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.


Market Risk AnalysisVolume III: Pricing, Hedging and Trading Financial InstrumentsVolume III: Pricing, Hedging and Trading Financial Instruments has five 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 • Hardback • 416 pages • May 2008 £60.00/€72.00/$100.00

Market Risk AnalysisVolume I: Quantitative Methods in FinanceVolume 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.


Market Risk AnalysisVolume II: Practical Financial EconometricsVolume 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.


The Handbook of Convertible BondsPricing, Strategies and Risk ManagementJan De Spiegeleer, Wim Schoutens, Philippe Jabre

“ The authors present a worthy and accessible review of all facets of this important corporate finance instrument. Bravo!”

— Professor Moorad Choudhry, Department of Economics, London Metropolitan University.

This is a complete guide to the pricing and risk management of convertible bond portfolios. It covers the impact that the 2008 credit crunch has had on the markets and shows how to build up a convertible bond. It introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. Using an intuitive approach based on the Jensen inequality, the authors show the advantages of using a hybrid to add value - pre 2008 and gives a complete explanation of the different features that can be embedded in convertible bonds. It shows how to price convertibles and looks at investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage.

This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles.








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An Introduction to Equity DerivativesTheory and Practice2nd EditionSebastien Bossu

An Introduction to Equity Derivatives is the fully updated and expanded second edition of the popular Finance and Derivatives. Completely revised and updated with new chapters, including coverage of cutting-edge concepts in volatility trading and exotic products. Written by a highly respected academic/practitioner author team, the second edition covers all of the fundamentals of quantitative finance clearly and concisely without going into unnecessary technical detail. Designed for both new practitioners and students, it requires no prior background in finance and features twelve chapters of gradually increasing difficulty, beginning with basic principles of interest rate and discounting, and ending with advanced concepts in derivatives, volatility trading, and exotic products. Each chapter includes numerous illustrations and exercises accompanied by the relevant financial theory. Topics covered include present value, arbitrage pricing, portfolio theory, derivates pricing, delta-hedging, the Black-Scholes model, and more.

An accompanying website features supplementary material for readers.


Handbook of Corporate Equity Derivatives and Equity Capital MarketsJuan Ramirez

Strategic equity transactions often take place behind closed doors due to market sensitivity and their highly confidential nature, as a result there is very little written about them. This book is a unique guide to building and implementing an equity derivatives strategy. Ramirez guides readers through the whole range of equity derivative instruments, showing how they can be applied to a range of equity capital market situations and other transactions on treasury shares, bank regulatory capital arbitrage and tax driven situations. The book includes a number of real life case studies demonstrating how equity derivative strategies have and can be used.

This book shows readers how to devise a value-maximizing strategy, to identify its risks and to assess if the entity is able to bear the risks associated with its implementation. To make an independent evaluation of the merits and risks of proposed structures and identify new strategic equity opportunities.


Extreme EventsRobust Portfolio Construction in the Presence of Fat TailsMalcolm Kemp In this book, the author provides 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. It analyzes really extreme events in the context of portfolio choice and problems.


Counterparty Credit RiskThe New Challenge for Global Financial MarketsJon 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). Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full.


Credit Risk Modeling using Excel and VBA2nd EditionGunter Loeffler, Peter N. Posch Credit Risk Modeling using Excel and VBA provides a hands-on introduction to modern credit risk modeling. The second edition includes new coverage of the important issue of how parameter uncertainty can be dealt with in the estimation of portfolio risk, new sections on the pricing of CFSs and CDOs, predicting borrower-specific loss given default with regression models. The authors present a host of applications which go beyond standard Excel or VBA usages. Clearly written with a multitude of practical examples, the 2nd edition will prove an indispensable resource for anyone working in, studying or researching this important field.


The Handbook of Risk ManagementImplementing a Post Crisis Corporate CulturePhilippe Carrel The Handbook of Risk Management shows readers how to repurpose its risk management in order to design and implement a corporate culture which involves all business units and individuals. It looks at 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.








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Credit DerivativesRisk Management, Trading and Investing 2nd EditionGeoff 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. It concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. It 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, the credit meltdown and the mathematics of the credit bubble. The book is accompanied by a CD-ROM which illustrates the models used in the book and also provides an advanced valuation toolkit.


Credit Risk Management In and Out of the Financial CrisisNew Approaches to Value at Risk and Other Paradigms3rd EditionAnthony Saunders, Linda Allen This Third Edition has been completely updated reflecting events stemming from the recent credit crisis. It addresses everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. It provides 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.

9780470478349 • Hardback • 380 pages • May 2010 £65.00/€76.00/$95.00

Measuring Operational and Reputational RiskA Practitioner’s ApproachAldo Soprano, Bert Crielaard, Fabio Piacenza, Daniele Ruspantini This book takes readers through the processes of risk assessment in view of the Basel Accord requirements, from the evaluation of the calculation dataset, to scenario analysis and analysing insurance for operational risk. It presents techniques for parametric estimation and analytical methods to select appropriate statistical distributions for severity and frequency of loss classes to obtain VaR for individual business environments. There are also copula-based methods of calculation of overall capital. It presents an analysis of insurance policies and models for calculating reputational risk, inextricably linked to operational risk.


Operational Risk AssessmentThe Commercial Imperative of a more Forensic and Transparent ApproachBrendon 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 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. 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.


The Credit Default Swap Basis2nd EditionMoorad Choudhry In this updated Second Edition, Choudhry explores this dynamic discipline and examines the structural changes in the CDS market, including new settlement mechanisms and contract standardization. He describes how basis pricing has changed in the aftermath of the financial crisis and what that change means in regard to overall market and trading opportunities. A unique book on a vitally important aspect of the financial markets, the first edition was accredited for professional development by the CFA Institute.


Structured Credit ProductsCredit Derivatives and Synthetic Securitisation2nd EditionMoorad Choudhry This Second Edition 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 case studies on European and Asian transactions, latest developments in synthetic structures, impact of the 2007 US sub-prime mortgage default, changes in rating agency methodology. It includes a CD-R containing credit derivative and synthetic pricing models, cashflow waterfall models and Powerpoint teaching aids.

9780470824139 • Hardback • 300 pages • Mar 201 •£80.00/€92.00/$140.00

CDS Delivery OptionBetter Pricing of Credit Default SwapsDavid Boberski For traders trying to navigate the increasingly volatile credit default swap market, CDS Delivery Option provides worked-out examples, over 30 charts, a case study of Delphi, and detailed explanations of how the subprime crisis caused the credit crisis and the near collapse of the GSEs. The book shows readers how to value a CDS contract and the delivery option. It looks at how contract value changes when the yield curve flattens, becomes steeper or with bullish or bearish market moves. This book is an indispensable resource for all market professionals working in the CDS market.


Quantitative Credit Portfolio ManagementPractical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration RiskLev Dynkin, Bruce Phelps, Jay Hyman, Akin Arikan This timely publication provides a detailed look at new measures of spread risk, liquidity risk, and treasury curve risk of credit securities. It presents strong empirical evidence of the benefits these measures bring compared with current methods. It examines applications of these risk measures to portfolio construction and management. The authors also examine the best ways of capturing more of the spread premium in credit portfolios.

9781118117699 • Hardback • 416 pages •Dec 2011 • £75.00/€88.00/$110.00









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Handbook of Finance3 Volume SetFrank 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: Investment 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 • Hardback • 2714 pages • Aug 2008 • £635.00/€756.40/$945.50

Red-Blooded RiskThe Secret History of Wall StreetAaron Brown

“ Aaron Brown is the dean of Wall Street risk managers, and the one I respect the most. He describes risk clearly and presents techniques for managing it.”

— Nassim Nicholas Taleb, professor at the Polytechnic Institute of New York University and author of The Black Swan.

“ Aaron Brown eloquently explains the history of money and risk, and predicts a future with an increasing role for financial derivatives. After decades of serious poker playing and front-line risk management, he has a unique perspective.”

— Paul Wilmott, mathematician and winner of the Peel sandcastle-building competition, August 2001

Everyone talks about risk, but few people give serious thought to what risk is. It’s hard to describe it without expressing an opinion—we like things that are innovative, daring, creative, and bold; but those are exactly the same things that are reckless, speculative, risky, and irresponsible. This book is the story of a group of young math whizzes who unleashed a revolution and one that reshaped our financial system. In the 1970s, disillusioned with the sorry state of quantitative analysis, these young mathematicians (soon to be known as “quants”) invented a new way of looking at probability and set out to prove it in the ultimate testing ground of odds-making: Las Vegas. Once there, the quants turned conventional wisdom about gambling on its head. Armed with their theories and experience, the quants raised their sights and headed to Wall Street, determined to replicate their success. Finance was a tougher challenge than gambling, but by the mid-1990s, the quants had remade Wall Street as thoroughly as they had remade Las Vegas. That transformation went unnoticed by the bond salesmen and investment bankers who ran Wall Street, yet these changes caused both the greatest wealth creation event in the history of the world, and also to the financial disasters we have witnessed in its wake. Brown’s story goes beyond the headlines to explore basic questions of economics. It reveals secrets about the building of the pyramids, the glory of ancient Athens, the force that built the Roman Empire, a world-changing invention from medieval Italy, a secret in a mysterious letter written in 1654 and not decoded until the 1990s, and an essential aspect of the American Revolution left out of history books.

Red-Blooded Risk will change the way you think about everything from history, risk and money to vampires, zombies, and tulips. It offers a fascinating and thrilling account of great events that have never before been described in an easily accessible form. There are bold ideas, colorful characters, and, most important, the keys to understanding the modern financial world and how its inner workings affect our daily lives. This book promises specific, actionable strategies that are complex and interesting enough to be satisfying answers to how to be risk-takers in the market. Red-Blooded Risk is an engaging and intellectually rigorous narrative capturing how you cant be a wimp if you want to work on Wall Street.




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Market ConsistencyModel Calibration in Imperfect MarketsMalcolm Kemp Leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. Market Consistency 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.


Financial Risk Manager Handbook + Test BankFRM Part I / Part II6th EditionPhilippe Jorion, GARP (Global Association of Risk Professionals)

Filled with in-depth insights and practical advice, the Financial Risk Manager Handbook is the core text for risk management training programs worldwide. Presented in a clear and consistent fashion, this completely updated Sixth Edition, mirrors recent updates to the new two-level Financial Risk Manager (FRM) exam. This valuable new edition includes an exclusive collection of interactive multiple-choice questions from recent FRM exams. Authored by Philippe Jorion, this definitive guide summarizes the core body of knowledge for financial risk managers. It offers valuable insights on managing market, credit, operational, and liquidity risk. It examines the importance of structured products, futures, options, and other derivative instruments and contains new material on extreme value theory, techniques in operational risk management, and corporate risk management It is the most comprehensive guide on this subject, and will help you stay current on best practices in this evolving field. The FRM Handbook is the official reference book for GARP’s FRM certification program.

9780470904015 • Paperback • 800 pages • Jan 2011 • £120.00/€140.00/$175.00

Essential Mathematics for Market Risk ManagementSimon Hubbert

This book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. The books takes you on a journey—from the early ideas of risk quantification up to today’s sophisticated models and approaches to business risk management. Essential Mathematics for Market Risk Management presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Hubbert brings his industry experience to his practical approach to risk analysis. He captures the essential mathematical tools needed to explore many common risk management problems. A website with model simulations and source code enables you to put models of risk management into practice. This book is your one-stop-shop for effective risk management.


Foundations of Banking RiskAn Overview of Banking, Banking Risks, and Risk-Based Banking RegulationGARP (Global Association of Risk Professionals) The first in a series of study guides for GARP’s International Certificate in Banking Risk and Regulation program, this book 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.

9780470442197 • Paperback • 264 pages • Sep 2009 • £65.00/€76.00/$95.00

Risk Management in Banking3rd EditionJoel Bessis 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. 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 • Paperback • 840 pages • Dec 2009 • £36.99/€44.40/$60.00








20

Measuring and Managing Liquidity RiskAntonio Castagna, Francesco Fede

This is a fully up to date, cutting edge guide to the measurement and management of liquidity risk. It provides the ground-level knowledge, tools and techniques for effective liquidity risk management. Written with a highly practical cut, though thoroughly grounded in theory, Measuring and Managing Liquidity Risk begins with the basics of liquidity risks and uses examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book looks at tools that can be used to measure liquidity risk, discussing risk monitoring and the different models used and then at managing these risks. It also discusses current regulation and the implication of new Basel regulations on management procedures and tools.

The book will be accompanied by web based tools including example spreadsheets to illustrate many of the more complex topics in the book.


Managing Liquidity in BanksA Top Down ApproachRudolf Duttweiler 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.


The Rating Agencies and Their Credit RatingsWhat They Are, How They Work, and Why They are RelevantHerwig Langohr, Patricia Langohr The Rating Agencies and Their Credit Ratings 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. The Rating Agencies and Their Credit Ratings 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.


Enterprise Risk ManagementToday’s Leading Research and Best Practices for Tomorrow’s ExecutivesEdited by John Fraser, Betty Simkins Enterprise Risk Management introduces you to a wide range of concepts and techniques for managing risk in a holistic way that correctly identifies risks and prioritizes the appropriate responses. This invaluable guide offers a broad overview of the different techniques: the role of the board, risk tolerances, risk profiles, risk workshops, and allocation of resources, while focusing on the principles that determine business success. Filled with helpful exhibits and examples, it offers a wealth of knowledge on the drivers, techniques, and benefits involved in successfully implementing enterprise risk management.


Simple Tools and Techniques for Enterprise Risk Management2nd EditionRobert J. Chapman

Ideal for practitioners and implementation specialists, Simple Tools and Techniques for 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.







21

Probability and Statistics for FinanceSvetlozar T. Rachev, Markus Hoechstoetter, Frank J. Fabozzi, CFA, Sergio M. Focardi Filled with in-depth insights and practical advice, this book guides readers from the basic elements of probability and statistics to the most advanced topics. It covers everything from the application of probability to portfolio management, asset pricing, risk management, and credit risk modeling to probability distributions that deal with extreme events and statistical measures. It provides real-world illustrations of the issues addressed throughout the book.


The Mathematics of Financial Models + WebsiteSolving Real-World Problems with Quantitative MethodsKannoo Ravindran The Mathematics of Financial Models presents real-world problems and shows how various quantitative methods can be used to solve them. Self study exercises, results, and pre-formatted interactive spreadsheets provide tools and practical solutions, along with a brief refresher course on key mathematical topics. It bridges the gap between highly mathematical quantitative analysis and the practical methodologies needed. This book is a must-have for those in the financial sector or aspiring professionals in finance.


Risk in the Global Real Estate MarketInternational Risk Regulation, Mechanism Design, Foreclosures, Title Systems and REITsMike Nwogugu Risk in the Global Real Estate Market reveals how these unconstitutional statues and processes affect housing prices, the demand for housing and commercial real estate. It describes significant implications for risk regulation, interstate commerce, legislation in the United States and some common law countries. It shows how unconstitutional tax foreclosures and the mortgage foreclosure processes create information asymmetry, increased transaction and compliance costs, negative externalities, and inefficiency. The book looks at the global mortgage market, and address topics such as international Risk-Regulation, Mortgages And Deeds Of Trust, Real Estate Investment Trusts (REITs).


Risk Finance and Asset PricingValue, Measurements, and MarketsCharles S. Tapiero Risk Finance and Asset Pricing is a comprehensive introduction to financial engineering that presents the foundations of asset pricing and risk management, while stressing real-world applications. Tapiero provides a non-quantitative introduction to the business of finance, risk, and their many applications. He provides an overview of the statistical approaches for measuring risk, an introduction to the concept of utility and financial risk management. Each chapter includes a summary of the techniques described, and concludes with a series of problems so readers can test what they’ve learned.


Life Settlements and Longevity StructuresPricing and Risk ManagementGeoff Chaplin, Jim Aspinwall, Mark Venn This book provides 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.


Investment Theory & Risk Management + WebsiteSteven Peterson This book introduces readers to cutting edge topics in investor theory and risk management. It shows how investment performance can be evaluated, using Jensen’s Alpha, Sharpe’s Ratio, and DDM, Peterson. It delves deeply into 4 different type of optimal portfolios-one that is fully invested, one with targeted returns, another with no short sales, and finally one with capped investment allocations. In addition, the book provides valuable i/nsights on risk, and topics such as anomalies, factor models, and active portfolio management.


The Risk Premium Factor + WebsiteA New Model for Understanding the Volatile Forces that Drive Stock PricesStephen D. HassettThe Risk Premium Factor presents and proves a radical new theory that explains the stock market, offering a quantitative explanation for all the booms, busts, bubbles, we have experienced over the past half-century. It convincingly demonstrates that the equity risk premium is proportional to long-term treasury yields, establishing a connection to loss aversion theory. It explains stock prices from 1960 to now including the 2008/09 “market meltdown”.


The Handbook of Energy TradingStefano Fiorenzani, Samuele Ravelli, Enrico Edoli Unique in its practical approach, The Handbook of Energy Trading provides a valuable insight into the latest strategies for trading energy illustrated with up-to-the-minute case studies. The book guides readers through all the various aspects of energy trading from operational strategies and mathematical methods to practical techniques. It includes how to structure an energy trading business in order to maximize the probability of success. This book uniquely combines academic theory and rigor with a practitioner focus making it essential reading for all energy trading professionals.










22

Author ISBN Title Format Pg Author ISBN Title Format Pg

■ Abergel 9781119952411 Market Microstructure Hbk 10 ■ Abergel 9781119952244 Model Calibration for Financial Derivatives Hbk 12 ■ Albertini 9780470743836 The Handbook of Insurance-Linked Securities Hbk 7 ■ Alexander 9780470997994 Market Risk Analysis: Four Volume Boxset Hbk 15 ■ Alexander 9780470998007 Market Risk Analysis: Vol I Hbk 15 ■ Alexander 9780470998014 Market Risk Analysis: Vol II Hbk 15 ■ Alexander 9780470997895 Market Risk Analysis: Vol III Hbk 15 ■ Alexander 9780470997888 Market Risk Analysis: Vol IV Hbk 15 ■ Allman 9780470931226 Financial Simulation Modeling in Excel Pbk 10 ■ Ayache 9780470725221 The Blank Swan Hbk 7 ■ Banko 9780470499122 Modeling Mortgage-Backed Securities Hbk 7 ■ Beder 9780470455814 Financial Engineering Hbk 7 ■ Bessis 9780470019139 Risk Management in Banking, 3ed Pbk 19 ■ Bessis 9780470019122 Risk Management in Banking, 3ed Hbk 19 ■ Bielecki 9781576603581 Credit Risk Frontiers Hbk 10 ■ Boberski 9781576602638 CDS Delivery Option Hbk 17 ■ Bossu 9781119961857 An Introduction to Equity Derivatives, 2ed Hbk 16 ■ Brigo 9780470748466 Counterparty credit risk and hybrid models Hbk 12 ■ Brigo 9780470665664 Credit Models and the Crisis Pbk 14 ■ Brown 9781118043868 Red-Blooded Risk Hbk 18 ■ Carrel 9780470681756 The Handbook of Risk Management Hbk 16 ■ Castagna 9780470754191 FX Options and Smile Risk Hbk 11 ■ Castagna 9781119990246 Measuring and Managing Liquidity Risk Hbk 20 ■ Cerrato 9780470683699 The Mathematics of Derivatives Securities with Applications in MATLAB Hbk 13 ■ Chaplin 9780470686447 Credit Derivatives, 2ed Hbk 17 ■ Chaplin 9780470741948 Life Settlements and Longevity Structures Hbk 21 ■ Chapman 9781119989974 Simple Tools and Techniques for Enterprise Risk Management, 2ed Hbk 20 ■ Charnes 9781118175446 Financial Modeling with Crystal Ball and Excel, 2ed Pbk 11 ■ Cherubini 9780470683071 Dynamic Copula Methods in Finance Hbk 6 ■ Cherubini 9780470994009 Fourier Transform Methods in Finance Hbk 6 ■ Choudhry 9781576603345 Fixed-Income Securities and Derivatives Handbook, 2ed Hbk 13 ■ Choudhry 9780470824139 Structured Credit Products, 2ed Hbk 17 ■ Choudhry 9780470915837 The Credit Default Swap Basis, 2ed Hbk 17 ■ Clark 9780470683682 Foreign Exchange Option Pricing Hbk 11 ■ CME Group 9780470137710 The CME Group Risk Management Handbook Hbk 14 ■ Coleman 9781118026588 Quantitative Risk Management Hbk 10 ■ Cont 9780470057568 Encyclopedia of Quantitative Finance Hbk 6 ■ Danielsson 9780470669433 Financial Risk Forecasting Hbk 8 ■ Darbyshire 9780470747193 Hedge Fund Modeling and Analysis Using Excel and VBA Hbk 10 ■ Derman 9781119967163 Models. Behaving. Badly. Hbk 3 ■ DeRosa 9780470239773 Options on Foreign Exchange, 3ed Hbk 11 ■ Douglas 9781576601877 Credit Derivative Strategies Hbk 13 ■ Dubil 9780470746011 Financial Engineering and Arbitrage in the Financial Markets Hbk 14 ■ Duffy 9780470030080 C# for Financial Markets with CD ROM Hbk 4 ■ Duffy 9780470060698 Monte Carlo Frameworks Hbk 4 ■ Duttweiler 9780470740460 Managing Liquidity in Banks Hbk 20 ■ Dynkin 9781118117699 Quantitative Credit Portfolio Management Hbk 17 ■ Fabozzi 9780470042564 Handbook of Finance Hbk 18 ■ Fedrick 9781119990703 Interest-Rate Derivatives Hbk 10 ■ Fiorenzani 9781119953692 The Handbook of Energy Trading Hbk 21 ■ Flavell 9780470721919 Swaps and Other Derivatives, 2ed Hbk 11 ■ Fletcher 9780470987841 Financial Modelling in Python Hbk 9 ■ Fraser 9780470499085 Enterprise Risk Management Hbk 20 ■ Garcia 9780470747353 The Art of Credit Derivatives Hbk 11 ■ GARP 9780470442197 Foundations of Banking Risk Hbk 19 ■ Gatarak 9780470014431 The Libor Market Model in Practice Hbk 11

■ Gatheral 9780471792512 The Volatility Surface Hbk 3 ■ Geman 9780470694251 Risk Management in Commodity Markets Hbk 12 ■ Geman 9780470012185 Commoditities and Commodity Derivatives Hbk 12

■ Gleason 9781576600740 Risk Hbk 14 ■ Goodkin 9781118133408 The Wrong Answer Faster Hbk 9 ■ Gregory 9780470685761 Counterparty Credit Risk Hbk 16 ■ Greiner 9780470642078 Ben Graham Was a Quant Hbk 3 ■ Hassett 9781118099056 The Risk Premium Factor Hbk 21 ■ Haug 9780470013229 Derivatives Models on Models Hbk 3 ■ Hubbert 9781119979524 Essential Mathematics for Market Risk Management Hbk 19 ■ Jackel 9780471497417 Monte Carlo Methods in Finance Hbk 3 ■ Jackson 9780471499220 Advanced Modelling in Finance Using Excel & VBA Hbk 7 ■ Jorion 9780470904015 Financial Risk Manager Handbook + Test Bank, 6ed Pbk 19 ■ Kemp 9780470750131 Extreme Events Hbk 16 ■ Kemp 9780470770887 Market Consistency Hbk 19 ■ Kienitz 9780470744895 Financial Modelling Hbk 4 ■ Langohr 9780470018002 The Rating Agencies and Their Credit Ratings Hbk 20 ■ Laurence 9780470665169 Modelling and Hedging Basket Options in Commodity and Equity Markets Hbk 9 ■ Loeffler 9780470660928 Credit Risk Modeling using Excel and VBA, 2ed Hbk 16 ■ Malz 9780470481806 Financial Risk Management Hbk 9 ■ Miller 9781118170625 Statistical Finance Hbk 14 ■ Mitra 9780470666791 The Handbook of News Analytics in Finance Hbk 12 ■ Morini 9780470977613 Understanding and Managing Model Risk Hbk 4 ■ Mun 9780470592212 Modeling Risk, 2ed Hbk 10 ■ Nwogugu 9781118011355 Risk in the Global Real Estate Market Hbk 21 ■ Osseiran 9780470688038 Exotic Options and Hybrids Hbk 11 ■ Peery 9780470553718 The Post-Reform Guide to Derivatives and Futures Hbk 13 ■ Peterson 9781118129593 Investment Theory & Risk Management Hbk 21 ■ Proctor 9780470481745 Building Financial Models with Microsoft Excel Hbk 7 ■ Rachev 9780470482353 Financial Models with Lévy Processes and Volatility Clustering Hbk 7 ■ Rachev 9780470400937 Probability and Statistics for Finance Hbk 21 ■ Ramirez 9781119975908 Handbook of Corporate Equity Derivatives and Equity Capital Markets Hbk 16 ■ Ravindran 9781118004616 The Mathematics of Financial Models Hbk 21 ■ Rebonato 9780470666012 Coherent Stress Testing Hbk 8 ■ Rebonato 9780470740057 The SABR/LIBOR Market Model Hbk 8 ■ Roncoroni 9780470745243 Handbook of Multi-Commodity Markets and Products Hbk 6 ■ Sadr 9780470443941 Interest Rate Swaps and their derivatives Hbk 11 ■ Saunders 9780470478349 Credit Risk Management In and Out of the Financial Crisis, 3ed Hbk 17 ■ Schofield 9780470742297 Trading the Fixed Income, Inflation and Credit Markets Hbk 14 ■ Schoutens 9780470743065 Levy Processes in Credit Risk Hbk 7 ■ Schoutens 9780470689684 The Handbook of Convertible Bonds Hbk 15 ■ Soprano 9780470517703 Measuring Operational and Reputational Risk Hbk 17 ■ Tagliani 9780470383728 The Practical Guide to Wall Street Hbk 13 ■ Tapiero 9780470549469 Risk Finance and Asset Pricing Hbk 21 ■ Thulasidas 9780470745700 Principles of Quantitative Development Hbk 7 ■ Triana 9780470529737 The Number That Killed Us Hbk 8 ■ Webber 9780470712207 Implementing Models of Financial Derivatives Hbk 13 ■ Wilmott 9780470748756 Frequently Asked Questions in Quantitative Finance, 2ed Pbk 5 ■ Wilmott 9780470319581 Paul Wilmott Introduces Quantitative Finance Hbk 5 ■ Wilmott 9780470018705 Paul Wilmott on Quantitative Finance: Three Volume Boxset Hbk 5 ■ Winchie 9780470741573 Cash CDO Modelling in Excel Hbk 9 ■ Young 9780470753873 Operational Risk Assessment Hbk 17 ■ Zenios 9781405133715 Practical Financial Optimization Hbk 9

23

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