Here are 100 books that An Introduction to the Mathematics of Financial Derivatives fans have personally recommended if you like
An Introduction to the Mathematics of Financial Derivatives.
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Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
For financial market practitioners, it would be unwise not to deeply care about the various financial risks associated with their uses.
This book thoroughly covers the whole set of such financial risks, i.e. market risk, credit/counterparty risk, liquidity risk (both on the asset and liability sides), broadening the subject up to the firmwide level risk. It goes both into theoretical and practical considerations (risk management of a portfolio of financial instruments), illustrated by useful examples, with a great pedagogical sense.
A global banking risk management guide geared toward the practitioner
Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the…
Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
In the vast array of quantitative finance relative to financial markets instruments and related risks, the case of credit or counterparty risk remains by far the most complex one, and thus, unsurprisingly, the least mastered by financial markets professionals.
A lot has been done, but a lot remains to be done: covering this is precisely the goal of this book. In a nutshell, the main obstacle to succeed in developing grounded and useful models of default prediction is due to the fact that a default is (fortunately) a rare event, in other words, with a (very) low probability of occurrence, and statistical tools are uncomfortable with very low probability levels. Hence the need of this book, to help the practitioner to go ahead in this matter.
The book reveals to traders how to consistently outperform credit benchmarks, how to hedge the credit risk premium, and how to overcome pension liability deficits. In addition, several successful trading strategies are presented including debt versus equities, Co-Co bond trading and a quantitative analysis of the municipal bond market. Chapters include: Credit Models, Past Present and Future Predicting Annual Default Rates and Implications for Market Prices Risk and Relative Value in the Municipal Bond Market Contingent Collateral Bonds Model for Sovereign Default and Relative Value Beating Credit Benchmarks Analyzing and Hedging Systemic Liquidity Risk Building on the best-selling first edition,…
Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
The valuation of options has been the subject of numerous studies, papers, and books.
The originality of this one is that it is collecting the resulting formulae to be used in practice, and for each of them, proposing related Excel spreadsheets, and VBA coding (also with a CD included). All types of options are covered, from “vanilla” to “exotics”, on every kind of underlyings (from traditional ones up to commodities and energy).
It also develops calculation methods for the options “greeks” and volatility. But the book is not only such a catalog of formulae, these are assorted by useful comments about the best way to apply them, and their validity limits. Not surprisingly, this book is qualified as the “bible” of options valuation.
Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula_all presented in an easy-to-use dictionary format, with expert author commentary and ready-to-use programming code.
The Second Edition of this classic guide now includes more than 60 new option models and formulas...extensive tables providing an overview of all formulas...new examples and applications...and an updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets.
Having a master's degree in chemical engineering, I wasn't destined to work in the area of quantitative finance… the reason why I professionally moved to this discipline aren't worth exposing, but as a matter of fact, I've been quickly fascinated by this science, and encountered some of my favorites, such as maths and statistics, as used in the traditional activity of an engineer. And I had many opportunities of combining the knowledge and practice of financial markets with pragmatism, typically of the engineer’s education, i.e. oriented toward problem solving. In addition, I've always loved teaching, and writing books on financial markets & instruments, hence the importance I'm giving to pedagogy in professional books.
Technical Analysis is traditionally denigrated by the academic community, not without good reasons. But as a matter of fact, traders and practitioners used them (also, not without good reasons) extensively, to the extent that Technical Analysis is often qualified as “self-fulfilling prophecy”.
There is therefore a good reason to be more or less familiar with these techniques, at worst, following the adage “Know your enemy”. The problem, with Technical Analysis, is that, as it is not a true science, it is not easy to find books about it, written in a serious way. This is however the case with this one, covering all the usual technical analysis methods, both the graphic and the numeric ones, in a clear, concise, and exemplified way.
This book is updated and revised - with over 35 brand new indicators! It is a comprehensive catalog of today's major technical analysis indicators - indispensable for trading in stocks, bonds, futures, and options! 'There is an urgent need for a concise reference on such a vast array of technical tools. Achelis' new edition fulfills that need and should provide an invaluable guide to newcomers and veterans alike' - John J. Murphy President, MurphyMorris.com, Author, "Technical Analysis of the Financial Markets and Intermarket Technical Analysis".'Steve Achelis has done it again. The first edition was a wonderfully comprehensive encyclopedia of market…
A noted quantitative hedge fund manager and quant finance author, Ernie is the founder of QTS Capital Management and Predictnow.ai. Previously he has applied his expertise in machine learning at IBM T.J. Watson Research Center’s Human Language Technologies group, at Morgan Stanley’s Data Mining and Artificial Intelligence Group, and at Credit Suisse’s Horizon Trading Group. Ernie was quoted by Bloomberg, the Wall Street Journal, New York Times, Forbes, and the CIO magazine, and interviewed on CNBC’s Closing Bell program. He is an adjunct faculty at Northwestern University’s Master’s in Data Science program and supervises student theses there. Ernie holds a Ph.D. in theoretical physics from Cornell University.
I have used this book to teach my Financial Risk Analytics course at Northwestern University for many years. As a textbook, it is surprisingly easy to read, and the abundant exercises are great. This would be a foundational text to read after you have read my own books. It puts you on solid ground to understand all the financial babble that you may read elsewhere. It includes extensive coverage of most basic topics important to a serious quantitative trader, while not being overly mathematical. Easily understandable if you have basic programming and math background from first year of university.
Everything is practical in this book, which isn’t what you would expect from a textbook! There is no math for math’s sake. I have used the techniques discussed in this book for real trading, and for creating features at my machine learning SaaS predictnow.ai. Examples: What’s the difference between net…
The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code…
I’m a historian and professor of ancient Mesopotamia. I was born in the UK but have lived in the US for decades, and from childhood I loved ancient history and archaeology (even through a five-year stint as a bass player before and during college). No matter how long the human race exists in future, we have only one shared ancient global past, the remains of which represent a completely non-renewable resource and source of inspiration. There is plenty left to discover, with much evidence already excavated and awaiting interpretation. It’s a joy to analyze and share the words and life-stories of Mesopotamians in my books—in a conversation that stretches across millennia.
Mesopotamian mathematics is a fascinating subject; their numerical system was based on 60, and the ancient thinkers were adept at many types of calculations and word problems. Hundreds of clay tablets reflect their advanced understanding of mathematical principles. Eleanor Robson explains clearly in this book how historians and mathematicians have interpreted the evidence, and she discusses not just specific mathematical texts, how they are understood, and the way ideas were expressed, but she also introduces the scribes who developed and learned it all, and even the buildings in which they worked. The book is a “social history,” as the subtitle notes, and also an intellectual adventure.
This monumental book traces the origins and development of mathematics in the ancient Middle East, from its earliest beginnings in the fourth millennium BCE to the end of indigenous intellectual culture in the second century BCE when cuneiform writing was gradually abandoned. Eleanor Robson offers a history like no other, examining ancient mathematics within its broader social, political, economic, and religious contexts, and showing that mathematics was not just an abstract discipline for elites but a key component in ordering society and understanding the world. The region of modern-day Iraq is uniquely rich in evidence for ancient mathematics because its…
Growing up in Ireland with a lot of Pink Floyd records, an active imagination, and no TV, I was almost destined to have a seemingly endless number of questions about the universe, our existence, and the purpose of it all. Finding that much could be learned from the tip of a pen (including that blue flavor is the best one) I began to read and make shapes and draw words of my own. Then, questioning the reasons I had questions, and seeking what could not be found, I found the answer to a single one—that there is far more to this world than we can ever see, and we indeed, are not alone.
Leaving me equally tickled as it did in awe, Flatland is easily one of my favorite books of all time.
Delving into concepts quite difficult to think about, let alone explain in such a delightful way, it expanded my mind into not only a better understanding of ‘dimensions’ but also the possibility, and even, the probability, that there is much more in existence than our rather limited little human brains can comprehend.
As weird as it is wonderful, I found myself stopping at various points to either laugh or to try to explain to someone else (to their annoyance I’m sure!) the profound details it explained to me. And when it was all over I was left humbled, and pondered what greater beings there may be all around me, that I simply cannot see.
This masterpiece of science (and mathematical) fiction is a delightfully unique and highly entertaining satire that has charmed readers for more than 100 years. The work of English clergyman, educator and Shakespearean scholar Edwin A. Abbott (1838-1926), it describes the journeys of A. Square, a mathematician and resident of the two-dimensional Flatland, where women-thin, straight lines-are the lowliest of shapes, and where men may have any number of sides, depending on their social status. Through strange occurrences that bring him into contact with a host of geometric forms, Square has adventures in Spaceland (three dimensions), Lineland (one dimension) and Pointland…
I am a Reader in the Mathematics Education Centre at Loughborough University in the UK. I have always loved mathematics and, when I became a PhD student and started teaching, I realized that how people think about mathematics is fascinating too. I am particularly interested in demystifying the transition to proof-based undergraduate mathematics. I believe that much of effective learning is not about inherent genius but about understanding how theoretical mathematics works and what research tells us about good study strategies. That is what these books, collectively, are about.
Mathematics requires accurate calculation, and students sometimes think that getting the right answer is enough. But mathematics is also about valid logical arguments, and the demand for clear communication increases through an undergraduate degree. Students, therefore, need to learn to write professionally, with attention to general issues like good grammar, and mathematics-specific issues like accuracy in notation, precision in logical language, and structure in extended arguments. Vivaldi’s book has a great many examples and exercises, and students could benefit from studying it systematically or from dipping into it occasionally and reflecting on small ways to improve.
This book teaches the art of writing mathematics, an essential -and difficult- skill for any mathematics student.
The book begins with an informal introduction on basic writing principles and a review of the essential dictionary for mathematics. Writing techniques are developed gradually, from the small to the large: words, phrases, sentences, paragraphs, to end with short compositions. These may represent the introduction of a concept, the abstract of a presentation or the proof of a theorem. Along the way the student will learn how to establish a coherent notation, mix words and symbols effectively, write neat formulae, and structure a…
I am a Reader in the Mathematics Education Centre at Loughborough University in the UK. I have always loved mathematics and, when I became a PhD student and started teaching, I realized that how people think about mathematics is fascinating too. I am particularly interested in demystifying the transition to proof-based undergraduate mathematics. I believe that much of effective learning is not about inherent genius but about understanding how theoretical mathematics works and what research tells us about good study strategies. That is what these books, collectively, are about.
Many undergraduate mathematics books – even those aimed at new students – are dense, technical, and difficult to read at any sort of speed. This is a natural feature of books in a deductive science, but it can be very discouraging, even for dedicated students. Houston’s book covers many ideas useful at the transition to proof-based mathematics, and he has worked extensively and attentively with students at that stage. Consequently, his book maintains high mathematical integrity and has lots of useful exercises while also being an unusually friendly read.
Looking for a head start in your undergraduate degree in mathematics? Maybe you've already started your degree and feel bewildered by the subject you previously loved? Don't panic! This friendly companion will ease your transition to real mathematical thinking. Working through the book you will develop an arsenal of techniques to help you unlock the meaning of definitions, theorems and proofs, solve problems, and write mathematics effectively. All the major methods of proof - direct method, cases, induction, contradiction and contrapositive - are featured. Concrete examples are used throughout, and you'll get plenty of practice on topics common to many…
Having majored in both philosophy and physics as an undergraduate, I specialized in the philosophy of science in graduate school–with a focus on the possibility of a “logic of scientific discovery.” Most philosophers of science have been skeptical about such a sub-discipline, restricting their theories of scientific method to the justification of already-formulated hypotheses. Others (including myself) have held that there is also a logic to the generation of hypotheses.
This is a fascinating analysis of the works of Copernicus, Kepler, Galileo, Descartes, Hobbes, Gilbert, Boyle, and Newton. It not only establishes the reasons for the triumph of the modern perspective but also accounts for certain limitations in this view that continue to characterize contemporary scientific thought.
A criticism as well as a history of the change that made possible the rise of modern science, this volume is also a guide to understanding the methods and accomplishments of the great philosopher-scientists of the sixteenth and seventeenth centuries.
s/t: A Historical & Critical Essay Many books well received when originally published ultimately fail the test of time & seem outdated to future generations. Occasionally, a book seen as a solid effort when written is found later to be the definitive work on the subject. The Metaphysical Foundations of Modern Science by Edwin Arthur Burtt is such. Burtt investigates the origins of the modern scientific worldview, a view that's only a few centuries old. Concepts used to describe the world--mass, velocity, energy, time etc--form the substratum of so many modern ideas that their very ubiquity has made it hard…
