Reference Text Blog

Advanced Mathematical Finance

C. Albanese and G. Campolieti, Advanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications, Academic Press, 2005
S. Allen, Financial Risk Management, Wiley, 2003
T. Bielecki, Credit Risk Modeling, Valuation, and Hedging, Springer, 2002
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R. Cont and P. Tankov, Financial Modeling with Jump Processes, Wiley, 2003
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D. Duffie and K. Singleton, Credit Risk, Princeton University Press, 2003
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D. Filipovic, Consistency Problems for Heath-Jarrow-Morton Interest Rate Models, Springer, 2001
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H. Geman, Commodities and Commodity Derivative Modeling, Wiley, 2005
E. Haug, The Complete Guide to Option Pricing Formulas, 2nd edition, McGraw-Hill, 2006
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D. Lando, Credit Risk Modeling, Princeton, 2004
A. Lipton, Mathematical methods for foreign exchange: a financial engineer's approach, World Scientific, 2001
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A. Meucci, Risk and Asset Allocation, Springer, 2008
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D. O'Kane, Modeling Single-Name and Multi-Name Credit Derivatives, Wiley, 2008
R. Rebonato, Volatility and Correlation: The perfect Hedger and the Fox, Wiley, 2004
R. Rebonato, K. McKay, and R. White, The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives, Wiley, 2009
P. J. Schönbucher, Credit Derivatives Pricing Models: Model, Pricing and Implementation, Wiley, 2003
W. Schoutens, Lévy Processes in Finance, Wiley, 2003
N. N. Taleb, Dynamic Hedging, Wiley, 1996
L. Wu, Interest Rate Modeling: Theory and Practice, Chapman & Hall, 2009