Books

Suchen in: Alle Bücher US-Bücher Pop-Musik Klassik Song-Titel DVDs & Video Video DVD PC- & Videospiele Software Suchbegriffe:

• Bachelier: Theory of Speculation - The Origins of Modern Finance. Translated by Mark Davis and Alison Etheridge, Princeton University Press, 2006
• Baxter/Rennie: Financial Calculus, Cambridge University Press, 1996
• Bingham/Kiesel: Risk-Neutral Valuation: Pricing and Hedging Financial Derivatives, Springer Finance 1998
• Bluhm/Overbeck/Wagner: An Introduction to Credit Risk Modeling, Chapman & Hall/CRC, 2002
• Björk: Arbitrage Theory in Continuous Time, Oxford University Press, 1998
• Branger/Schlag: Zinsderivate, Springer 2004
, see also Review in The MathFinance Newsletter.
• Brigo/Mercurio: Interest Rate Models: Theory and Practice, Springer Finance 2001
, see also http://www.damianobrigo.it/book.html.
• Clewlow/Strickland: Energy Derivatives - Pricing and Risk Management, Lacima Publications 2000
• Cvitanic/Zapatero: Introduction to the Economics and Mathematics of Financial Markets, The MIT Press 2004
• Delbaen/Schachermayer: The Mathematics of Arbitrage, Springer 2006
• Deutsch: Derivate und Interne Modelle. Modernes Risikomanagement. Schäffer-Poeschel Verlag 2001
• Duffy: Financial Instrument Pricing Using C++, The Wiley Finance Series
• Elliott/Kopp: Mathematics of Financial Markets, Springer Finance 1998
• Embrechts/Klüppelberg/Mikosch: Modelling Extremal Events, Springer 1997
• Fengler: Semiparametric Modeling of Implied Volatility, Springer Finance 2005
• Flannery/Press/Teukolsky/Vetterling: Numerical Recipes, Cambridge University Press (available in Fortran, Pascal and C with sample disk)
• Föllmer/Schied: Stochastic Finance, An Introduction in Discrete Timede Gruyter
• Fouque/Papanicolou/Sircar: Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press
• Fries: Mathematical Finance: Theory, Modeling, Implementation. Wiley, 2007, http://www.christian-fries.de/finmath
• Glasserman: Monte Carlo Methods in Financial Engineering Springer 2003
• Golub/van Loan: Matrix Computations, third edition, Johns Hopkins University Press 1996
• Härdle, Weron, Cizek: Statistical Tools for Finance and Insurance, Springer 2005
• Haug: The Complete Guide to Option Pricing Formulas, McGraw-Hill 1997
• Hull: Options, Futures and other Derivatives, 4th ed. , Prentice Hall 1999
• Hunt, P.J./Kennedy, J.E.: Financial Derivatives in Theory and Practice Wiley 2000
• Jarrow: Modelling Fixed Income Securities and Interest Rate Options, McGraw-Hill 1996
• Joshi, Mark, The Concepts and Practice of Mathematical Finance http://markjoshi.com/concepts Cambridge University Press 2004
• Jouini/Cvitanic/Musiela: Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management, Cambridge University Press
• Karatzas: Lectures on the Mathematics of Finance, Vol 8 CRM Monograph series, AMS 1996
• Karatzas/Shreve: Brownian Motion and Stochastic Calculus, 2nd ed., Springer 1991
• Karatzas/Shreve: Methods of Mathematical Finance, Springer 1998
• Korn: Optimal Portfolios, World Scientific, Singapore, 1997
• Korn/Korn: Optionsbewertung und Portfolio-Optimierung, Vieweg 1999
• Lamberton/Lapeyre: Introduction au calcul stochastique appliqué à la finance, Ellipses, 1997. This is now also available in English from CRC Press.
• Lewis: Option Valuation under Stochastic Volatility - with Mathematica Code, Finance Press, 2000, http://members.home.net/financepress/
• McNeil, Frey, Embrechts Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, 2005
• Attilio Meucci: Risk and Asset Allocation, 2005, Springer.
• Musiela/Rutkowski: Martingale Methods in Financial Modelling, Springer 1997
• Nagel, Hartmut: Optionsbewertung bei stochastischer Volatilität, Gabler Edition Wissenschaft (ISBN 3-8244-7204-X), 2001
• Niederreiter: Random Number Generation and Quasi-Monte Carlo Methods, SIAM 1992
• Pilipovic: Energy Risk, McGraw-Hill 1997
• Pliska: Introduction to Mathematical Finance: Discrete Time Models. Blackwell, Malden, MA 1997
• Rebonato: Interest-Rate Option Models, Wiley 1998
• Rebonato: Volatility and Correlation, Wiley 1999
• S. Reitz,W. Schwarz und M.R.W. Martin : Zinsderivate - Eine Einführung in Produkte, Bewertung, Risiken, Vieweg 2004
• Rolski/Schmidli/Schmidt/Teugels: Stochastic Processes for Insurance and Finance, Wiley 1998
• John Schoenmakers: Robust Libor Modelling and Pricing of Derivative Products, Chapman & Hall/CRC 2005
• Philipp J. Schonbucher: The Mathematics of Credit Derivatives, DVD / Interactive CD-ROM 2000
• Seydel: Numerische Berechnung von Finanz-Derivaten, Springer 2000, see

http://euklid.mi.uni-koeln.de/~seydel/buch4.html
http://euklid.mi.uni-koeln.de/numerik/compfin/
• Shaw: Modelling Financial Derivatives with Mathematica, Cambridge University Press 1998
• Shiryaev: Essentials of Stochastic Finance: Facts, Models, Theory. World Scientific 1999
• Steven E. Shreve: Stochastic Calculus and Finance, lecture notes, Carnegie Mellon University, 1997. This can be downloaded from http://www.cs.cmu.edu/~chal/shreve.html.
• Steven E. Shreve: Stochastic Calculus for Finance, two volumes, 2004, Springer.
• Stephen Taylor: Asset Price Dynamics, Volatility, and Prediction, 2005, Princeton University Press.
• Jürgen Topper: Financial Engineering with Finite Elements, 2005, Wiley.
• Obi-Wan Yoda: BICs 4 Derivatives, 2005, BICs:The new paradigm in derivatives analysis -Pricing,Hedging, Risk Management.
• Zhang: Exotic Options, 2nd ed., World Scientific 1998

RISK books (http://www.riskbooks.com)

• Foreign Exchange Risk
  Models, Instruments and Strategies
  Editors: Jürgen Hakala and Uwe Wystup
  ISBN number: 1 899332 375
• Over the Rainbow
  Developments in exotic options and complex swaps
  Consultant Editor: Robert Jarrow, Cornell University, USA
  ISBN number: 1 899332 359
• Volatility
  New Estimation Techniques for Pricing Derivatives
  Consultant Editor: Robert Jarrow, Cornell University, USA
  ISBN number: 1 899332 464
• Monte Carlo
  Methodologies and Applications for Pricing and Risk Management
  Consultant Editor: Bruno Dupire
  ISBN number: 1 899332 91X
• Vasicek and Beyond
  Approaches to Building and Applying Interest Rate Models
  Published in association with Euro Brokers
  Consultant Editor: Lane Hughston
  ISBN number: 1 899332 553
• Risk & Risk Bearing
  Charles O. Hardy, The Institute of Economics, Washington DC, USA
  ISBN number: 1 899332 677
• Exotic Options: The Cutting-edge collection
  Technical Papers Published in Risk 1999-2003
  Edited by Alexander Lipton
  Order through the above link to get a 20% discount
• Credit Risk Modelling: The Cutting-edge Collection
  Technical Papers Published in Risk 1999-2003
  Edited by Michael Gordy, Federal Reserve Board, Washington
  Order through the above link to get a 20% discount

Cambridge University Press links are:

• http://uk.cambridge.org/mathematics/statistics/
• http://uk.cambridge.org/economics/

.

The Oxford Finance series

comprises books authored by leading researchers and practitioners - working within the sciences and social sciences - covering the statistical, physical or mathematical aspects of economics and quantitative finance. The Oxford Finance includes monographs, texts, and multi-author works of the highest standard, which will appeal to students, researchers, and practitioners seeking a well-written, authoritative account.

All the necessary information is listed on the web site http://www.oup.com

Some highlights are

• Thomas: Readings in Credit Scoring, 2004
• Johnson: Financial Market Complexity, 2003
• Björk: Arbitrage Theory in Continuous Time 2/e (hb), 2004
• Coolen: The mathematical theory of minority games, Feb 2005
• Challet: Minority Games | Oxford Finance Series, October 2004
• Farmer: Beyond Equilibrium and Efficiency (pb & hb), Santa Fe Institute Studies on the Sciences of Complexity, May 005

Springer MathFinance books are at http://www.springer.de/math/finance/index.html

Wiley Financial Engineering books are at http://www.wileyeurope.com/cda/sec/0,,3017,00.html

World Scienfic Catologue and Imperial College Press is at http://www.wspc.com.sg/books/catalogues.html

Articles: (top - books - journals - websites)

Journals: (top - books - articles - websites)

Some of the prominent ones are

• Financial Engineering Review http://www.risklatte.com/
• Finance and Stochastics, edited by Dieter Sondermann. Monthly. www.finasto.uni-bonn.de
• The Review of Financial Studies Online. Quarterly. http://www3.oup.co.uk/revfin/contents/
• The Journal of Computational Finance, edited by Mark Broadie (Columbia Business School). Quarterly. http://www.riskwaters.com/jcf/.
• The Journal of Risk, edited by Philippe Jorion. Quarterly. http://www.riskwaters.com/jrisk/.
• RISK. Monthly. Articles dating back to 1988 can now be ordered in pdf format at http://www.risk.net/.
• Quantitative Finance publishes articles that reflect the increasing use of quantitative methods in finance and the growth in practical applications of financial engineering - such as asset creation, pricing and risk management. It also covers new developments such as agent-based modelling and evolutionary game theory. http://quant.iop.org.
• The Wilmott Magazine http://www.wilmott.com/.
• Institutional Investor Journals, like The Journal of Derivatives, edited by Stephen Figlewski, The Journal of Portfolio Management, The Journal of Fixed Income. Information is available from Institutional Investor Journals, 488 Madison Ave, New York, NY 10022, Phone (212) 224- 3185, Fax (212) 224-3527. Their weekly news is called derivativesweek.
• The Journal of Finance, edited by Rene M. Stulz.
• Mathematical Finance, edited by Stanley Pliska.
• Optionsscheinmagazin, das Monatsmagazin für gewinnbringende Spekulation an den Weltbörsen. Informationen zu Neuemissionen im Optionsschein Weekly.
• http://www.worldscientific.com/, International Journal of Applied Finance
• http://www3.oup.co.uk/revfin/contents/, The Review of Financial Studies Online, Table of Contents, abstracts and Full-text access are freely available
• Journal of Asset Management
• Annals of Finance

• http://www.sitmo.com/live/OptionVanilla.html, Exotic Option Calculator, Resources for Financial Engineers by Sitmo
• http://www.maths-fi.com/uk_default.asp Job and Internship Offers in Quantitative Finance. Financial Engineering, Mathematical Finance, Financial IT, Quantitative Finance, France and international
• http://finmath.com @ Chicago - Alexander Adamchuk's Financial Mathematics, Financial Engineering and Risk Management Workshop: books, links, events. The bookshelf is a must.
• http://www.levyprocess.org Ole E. Barndorff-Nielsen and Neil Shepard's web page on Levy Processes
• http://www.derivativesmath.com Pricing and Hedging Derivative Securities - by Lars Tyge Nielsen
• Financial Numerical Recipes in C ++ - A webpage by Bernt Arne Ødegaard
• http://www.RiskMarkets.com non-profit organization spreading the knowledge and promoting the use of financial derivatives among professionals. A strong emphasis is put towards Credit Derivatives, and more precisely credit default swaps
• Center for Research in Security Prices (CRSP) on http://gsbwww.uchicago.edu. Financial research center at the Graduate School of Business at The University of Chicago. CRSP maintains the most comprehensive historical data files on the market. The unparalleled accuracy of the data files have made them a staple of academic and commercial research since 1960.
• Engineering Fundamentals on http://www.efunda.com
• Option calculator including jumps and stochastic volatility on http://www.optioncity.net
• http://www.fxoptions.net/ is brought to you by James Grim of New York City. James Grim specializes in solving derivatives trading, sales, and risk-management problems using Java, Excel, and VBA. His webpage contains a variety of calculators for pricing foreign exchange derivatives
• http://www.forex.dj/ Forex Trading - Foreign Exchange Trading, Forex Analysis and Forecasts.
• PACIFIC Exchange Rate Services, provided by Prof. Werner Antweiler, University of British Columbia, Vancouver, Canada. This service provides access to current and historic daily exchange rates through an on-line database retrieval and plotting system. Also provided is a list of all the currencies of the world with information on each country's exchange rate regime and ISO-4217 currency code.
• http://www.bba.org.uk Historical Data available by British Bankers Association (BBA)
• http://www.ny.frb.org/fxc/ Foreign Exchange Committee: Papers and Guides to the foreign exchange options market.
• http://www.superderivatives.com/ Foreign Exchange Options Calculator, many exotic options, professional.
• http://www.hot.ee/seppar Artur Sepp's web site: research papers on stochastic volatility, jump-diffusions, path-dependent options, Fourier and Laplace transforms.
• http://www.theponytail.net Kyriakos Chourdakis Homepage: excellent source for working papers, data, and computer code on derivatives, financial economics and Markov chain models and it provides lecture notes for derivatives course
• http://www.TradingTheories.com A very informative and formative site with extensive information concerning graphical, geometrical, numerical, mathematical and physical theories applied to the construction of trading and financial models
• http://stoprog.org/ Stochastic Programming Community Home Page
• http://www.math.uni-mannheim.de/~schroder/ Michael Schroeder's homepage: all about Asians, double barriers, Parisians, solid math
• http://www.LearnToTradeOptions.com/ TABS (Trigger-Analysis-Buy-Sell) Options Trading System
• http://www.gloriamundi.org/ All about Value-at-Risk
• http://www.tavakolistructuredfinance.com Tavakoli Structured Finance, Inc. (TSF) assists clients in maximizing the value of structured financial products.
• http://l3www.cern.ch/homepages/susinnog/finance/Welcome.html Finance and physics services - large Financial Articles Database
• http://www.researchindex.com/ The NECI Scientific Literature Digital Library
• http://members.aol.com/naftcorp/Bookshelf.html. Alexander Adamchuk's bookshelf
• http://www.econophysics.org Interplay between physics, finance and economics
• http://Finance.Wat.ch/
• http://www.iff-training.com/ International Faculty of Finance training courses
• http://www.ederman.com Emanuel Derman's homepage and research papers
• http://www.math.nyu.edu/faculty/avellane/ Marco Avellaneda's homepage and research papers
• http://www.math.nyu.edu/research/carrp/ Peter Carr's homepage and research papers
• http://home.sol.no/~eshaug/ Espen Gaarder Haug's website
• http://www.margrabe.com William Margrabe's website, includes Dr. Risk, lots of links
• http://www.rebonato.com Riccardo Rebonato's website, QUARC, research papers
• http://www.RiskManagementDigest.com Another service by William Margrabe
• http://www.FreeOptionPricing.com Another service by William Margrabe
• http://www.in-the-money.com/ Mark Rubinstein's website
• http://www.mgmt.utoronto.ca/~hull/ John Hull's website
• http://www.luchsinger-mathematics.ch/fin.html
• http://www.mailbase.ac.uk/lists/finance-and-physics/
• http://www.paulwilmott.com/ contains lots of links, a quant bookstore, crash modelling info etc.
• http://www.numa.com The internet's homepage for financial derivatives, e.g.
• http://www.numa.com/links/online-c.htm contains a list of links to online option calculators
• http://www.fenews.com Free subscription of financial engineering news available
• http://www.stat.berkeley.edu/users/ezra/index.html Ezra Nahum's homepage
• http://web.ukonline.co.uk/karsten/index.html Karsten Buecker's homepage: pricing of arithmetic Asian options
• http://www.finasto.uni-bonn.de/~schonbuc/ Philipp Schönbucher's homepage
• http://www.ulib.org/webRoot/Books/Numerical_Recipes/
• http://www.dbquant.com Deutsche Bank Global Quantitative Research
• http://gro.creditlyonnais.fr The Finance and Recherche & Développement sections this research department of Credit Lyonnais contains numerous articles on mathfinance authored by Thierry Roncalli and others
• http://www.enricodegiorgi.com/ Credit Risk Webpage by Enrico De Giorgi. Here you can find references and useful sources on credit risk modeling, credit risk measurement for corporate debt, credit derivatives and retail credit portfolios. Moreover, you can find references on mathematical approaches for modeling dependence structures and portfolio payoff distributions.
• Abramowitz and Stegun: Handbook of Mathematical Functions With Formulas, Graphs, and Mathematical Tables