Financial Engineering, Financial Mathematics, and Quantitative Finance

Market Models - A Guide to Financial Data Analysis
by Carol Alexander
Chapters: 1. Understanding volatility and correlation. 2. Implied volatility and correlation. 3. Moving average models. 4. GARCH models. 5. Forecasting Volatility and Correlation. 6. Principle component analysis. 7. Covariance matrices. 8. Risk measurement in factor models. 9. Value-at-risk. 10. Modelling non-normal returns. 11. Time series models. 12. Cointegration. 13. Forecasting high-frequency data. Technical appendices: A1. Linear Regression. A2. Statistical inference. A3. Residual analysis. A4. Data problems. A5. Prediction. A6. Maximum likelihood methods.

Financial Engineering Principles, by Perry H. Beaumont

Financial Engineering Principles - A Unified Theory for Financial Product Analysis and Valuation
by Perry H. Beaumont
"This is the first comprehensive hands-on introduction to financial engineering. Neftci is enjoyable to read, and finds a natural balance between theory and practice." - Darrell Duffie, James I. Miller Professor of Finance, The Graduate School of Business, Stanford University "Neftci's book captures much of the excitement of the recent surge of theoretical and practical work on financial engineering. A variety of readers will be interested in this book, including lay people who are interested in better understanding how financial markets can be used to share and mitigate risks and practicioners who are interested in constructing and valuing new securities." - Thomas Sargent, Professor of Economics at NYU, and a Senior Fellow at the Hoover Institution, Stanford University

Financial Modeling - 2nd Edition
by Simon Benninga and Benjamin Czaczkes

Against the Gods - The Remarkable Story of Risk
by Peter L. Bernstein
Peter Bernstein has written a comprehensive history of man's efforts to understand risk and probability, beginning with early gamblers in ancient Greece, continuing through the 17th-century French mathematicians Pascal and Fermat and up to modern chaos theory. Along the way he demonstrates that understanding risk underlies everything from game theory to bridge-building to winemaking. --Amazon.com

Numerical Methods in Finance, by Paolo Brandimarte

Numerical Methods in Finance - A MATLAB-Based Introduction
by Paolo Brandimarte

Interest Rate Models
by Damiano Brigo and Fabio Mercurio

Mathematical Techniques in Finance, by Ales Cerny

Mathematical Techniques in Finance - Tools for Incomplete Markets
by Ales Cerny
MIT Press

Implementing Derivative Models
by Les Clewlow and Chris Strickland

Heard on the Street, by Timothy Falcon Crack

Heard on the Street - Quantitative Questions from Wall Street Job Interviews
by Timothy Falcon Crack
Timothy Crack

Financial Engineering, by Keith Cuthbertson and Dirk Nitzsche

Financial Engineering - Derivatives and Risk Management
by Keith Cuthbertson and Dirk Nitzsche

Introduction to the Economics and Mathematics of Financial Markets
by Jaksa Cvitanic and Fernando Zaperto
MIT Press

Solutions Manual, by Jaksa Cvitanic and Fernando Zaperto

Solutions Manual - Introduction to the Economics and Mathematics of Financial Markets
by Jaksa Cvitanic and Fernando Zaperto
MIT Press

Quantitative Finance and Risk Management, by Jan W. Dash

Quantitative Finance and Risk Management - A Physicists' Approach
by Jan W. Dash
World Scientific Publishing Company

The Rules of Risk
by Ron Dembo and Andrew Freeman

Monte Carlo Methodologies and Applications for Pricing and Risk Management
by Bruno Dupire

Fixed Income Mathematics
by Frank J. Fabozzi
McGraw-Hill

Risk Management and Regulation in Banking
by Dan Galai, David Ruthenberg, Marshall Sarnat, Ben Z. Schreiber
Springer

Financial Engineering, by Lawrence C. Galitz

Financial Engineering - Tools and Techniques to Manage Financial Risk
by Lawrence C. Galitz
Chapters 1. Introduction. 2. The cash markets. 3. Forward rates. 4. FRAs. 5. SAFEs. 6. Financial futures. 7. Short-term interest rate futures. 8. Bond and stock index futures. 9. SWAPS. 10. Options - from basic to Greek. 11. Options - from building blocks to exotics. 12. Applications for financial engineering. 13. Managing currency risk. 14. Managing interest-rate risk using FRAs, futures, and swaps. 15. Managing interest-rate risk - Using options and option-based instruments. 16. Managing equity risk. 17. Commodity risk. 18. Structured finance.

Monte Carlo Methods in Financial Engineering , by Paul Glasserman

Monte Carlo Methods in Financial Engineering - Applications of Mathematics, 53
by Paul Glasserman

Foreign Exchange Risk, by Jürgen Hakala and Uwe Wystup

Foreign Exchange Risk - Models, Instruments and Strategies
by Jürgen Hakala and Uwe Wystup

Equity Management, by Bruce Jacobs and Kenneth Levy

Equity Management - The Art and Science of Modern Quantitative Investing
by Bruce Jacobs and Kenneth Levy
McGraw-Hill education
In this scholarly work, Bruce Jacobs and Kenneth Levy bring together the numerous and wide-ranging articles they have written on quantitative stock selection and portfolio management. The collection is introduced in prefaces to the first and second editions by Nobel Prize Laureate in Economics Harry M. Markowitz. Among the notable chapters: The Law of One Alpha, Smart Beta versus Smart Alpha, and Residual Risk: How Much is Too Much? Non-scholar readers will benefit from the practical investment experience that Jacobs and Levy have garnered over more than three decades.