Quantitative Finance Books
This is a list of books that have been proved to be useful in the education of at least some of the QuantLib developers.
It's maintained by Ferdinando Ametrano (remove NOSPAM from the email address), who was just tired to answer private messages asking for book suggestions. All omissions, errors, etc are Ferdinando's fault, but he would be glad to fix them, especially if they are pointed out using complimentary copies of the books ;-)
- GENERAL
- The Concepts and Practice of Mathematical Finance, by Mark S.
Joshi
Hardcover - (8 December, 2003)
Cambridge University Press
book web site - Paul Wilmott on Quantitative Finance, by Paul Wilmott
Hardcover - 1064 pages 2nd revised edition (27 April, 2000)
John Wiley and Sons Ltd; ISBN: 0471874388 - Options, Futures, and Other Derivatives, by John C. Hull
5th edition
Prentice Hall
- The Concepts and Practice of Mathematical Finance, by Mark S.
Joshi
- FINITE DIFFERENCES
- Option Pricing: Mathematical Models and Computation, by P.
Wilmott, J.N. Dewynne, S.D. Howison
Hardcover (September 1993)
Oxford Financial Press; ISBN: 0952208202 - Pricing Financial Instruments: The Finite Difference Method, by
Domingo Tavella, Curt Randall
Hardcover - 237 pages 1st edition (15 April, 2000)
John Wiley & Sons; ISBN: 0471197602
- Option Pricing: Mathematical Models and Computation, by P.
Wilmott, J.N. Dewynne, S.D. Howison
- MONTE CARLO
- Monte Carlo Methods in Finance, by Peter Jäckel
2002
John Wiley & Sons
Errata available at www.jaeckel.org - Monte Carlo, by Bruno Dupire (Editor)
Paperback - 340 pages (November 1999)
Risk Books; ISBN: 189933291X - Monte Carlo Methods in Financial Engineering, by Paul
Glasserman
2004
Springer Verlag
- Monte Carlo Methods in Finance, by Peter Jäckel
- STOCHASTIC CALCULUS
- Steven Shreve: Stochastic Calculus and Finance, by Shreve,
Chalasani, Jha
Available as free e-book at http://www.cs.cmu.edu/~chal/Shreve/shreve.html - An Introduction to the Mathematics of Financial Derivatives,
Second Edition, by Salih Neftci
Hardcover - 527 pages 2nd Ed (30 June, 2000)
Academic Press; ISBN: 0125153929
free solution manual available on-line
- Steven Shreve: Stochastic Calculus and Finance, by Shreve,
Chalasani, Jha
- VOLATILITY
- Volatility and Correlation, by Riccardo Rebonato
Hardcover - 360 pages (15 October, 1999)
John Wiley and Sons Ltd; ISBN: 0471899984 - Volatility, by Robert Jarrow (Editor)
Paperback - 356 pages (June 1998)
Risk Books; ISBN: 1899332464
- Volatility and Correlation, by Riccardo Rebonato
- INTEREST RATE
- Interest Rate Models - Theory and Practice, by D. Brigo, F.
Mercurio
Hardcover - 500 pages (June 2001)
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG; ISBN: 3540417729
updates available on-line http://www.damianobrigo.it/book.html - Modern Pricing of Interest Rate Derivatives, by Riccardo
Rebonato
Hardcover (31 July, 2002)
Princeton University Press; ISBN: 0691089736 - Interest-Rate Option Models, by Riccardo Rebonato
Hardcover - 546 pages 2nd Ed (27 March, 1998)
John Wiley and Sons Ltd; ISBN: 0471979589 - Efficient Methods for Valuing Interest Rate Derivatives, by
Antoon Pelsser
Hardcover - 1st edition (September 6, 2000)
Springer Verlag - Interest Rate Modelling, by Nick Webber, Jessica James
Paperback - 672 pages (5 April, 2000)
John Wiley and Sons Ltd; ISBN: 0471975230
- Interest Rate Models - Theory and Practice, by D. Brigo, F.
Mercurio
- FX
- Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
Hardcover: 300 pages
Risk Books; ISBN: 1899332375; (February 12, 2002) - Mathematical Methods For Foreign Exchange, by Alexander
Lipton
Paperback: 700 pages
World Scientific Publishing Co., Inc.; ISBN: 9810248237; (October 15, 2001)
- Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
- CREDIT
- Credit Derivatives Pricing Models: Model, Pricing and
Implementation by Philipp J. Schönbucher
2003
John Wiley & Sons - Credit Derivatives: A Guide to Instruments and Applications by
Janet M. Tavakoli
1998
John Wiley & Sons
- Credit Derivatives Pricing Models: Model, Pricing and
Implementation by Philipp J. Schönbucher
- VALUE AT RISK
- VAR, by various authors
Paperback - 397 pages (1997)
Risk Books; ISBN: 189933226X - Value at Risk, by Philippe Jorion
Hardcover - 364 pages 2nd Ed (1 September, 2000)
McGraw-Hill Education; ISBN: 0071355022 - RiskMetrics Technical Document http://www.riskmetrics.com/techdoc.html
- VAR, by various authors
- HANDS ON
- Implementing Derivative Models, by Les Clewlow, Chris
Strickland
Hardcover - 330 pages (29 April, 1998)
John Wiley and Sons Ltd; ISBN: 0471966517
Errata available at www.lacimagroup.com/downloads/IDM_Corrections.pdf - The Complete Guide to Option Pricing Formulas, by Espen Gaarder
Haug
Hardcover - 232 pages (October 1997)
Irwin Professional (USA); ISBN: 0786312408
- Implementing Derivative Models, by Les Clewlow, Chris
Strickland
- EXCEL AND FINANCE
- Advanced modelling in finance using Excel and VBA, by Mary
Jackson, Mike Staunton
Hardcover - 276 pages Bk&Cd-Rom (30 May, 2001)
John Wiley & Sons; ISBN: 0471499226 - Financial Modelling, by Simon Benninga
Hardcover - 640 pages 2nd Ed (2 October, 2000)
The MIT Press; ISBN: 0262024829
- Advanced modelling in finance using Excel and VBA, by Mary
Jackson, Mike Staunton
- EXCEL
- Definitive Guide to Excel VBA, by M. Kofler
Paperback - 800 pages (November 2000)
Apress; ISBN: 1893115798 - Excel 2002 VBA Programmer's Reference, by John Green, Stephen
Bullen, Rob Bovey, Robert Rosenberg
Paperback - 1000 pages (September 2001)
Wrox Press Ltd; ISBN: 1861005709 - Excel 2002 Power Programing with VBA, by John Walkenbach
Paperback - 850 pages (2 July, 2001)
Hungry Minds Inc; ISBN: 0764547992 - Excel 2002 Formulas, by John Walkenbach
Paperback - 831 pages (3 December, 2001)
Hungry Minds Inc; ISBN: 076454800X - Microsoft Excel 2002 Visual Basic for Applications Step by
Step, by Reed Jacobson
Paperback - 368 pages plus Cd-Rom (12 September, 2001)
Microsoft Press; ISBN: 0735613591
- Definitive Guide to Excel VBA, by M. Kofler
- PROGRAMMING
- The C++ Programming Language, Special Edition, by Bjarne
Stroustrup
Hardcover - 1040 pages Rev. Ed (11 February, 2000)
Addison Wesley; ISBN: 0201700735 - Thinking in C++: Introduction to Standard C++, Volume One, by
Bruce Eckel
Paperback - 814 pages 2nd (15 April, 2000)
Prentice Hall; ISBN: 0139798099
also available as free book from http://www.mindview.net/Books - Numerical Recipes in C
also available on-line from http://www.nr.com/ - GNU Autoconf, Automake, and Libtool
also available as free book from http://sources.redhat.com/autobook/ - Open Source Development with CVS, by Karl Fogel
also available as free book from http://cvsbook.red-bean.com/ - UML Distilled, by Martin Fowler, Kendall Scott
Paperback - 224 pages 2nd Ed (30 September, 1999)
Addison Wesley; ISBN: 020165783X - Design Patterns, by E. Gamma, R. Helm, R. Johnson, J. Vlissides
- The C++ Programming Language, Special Edition, by Bjarne
Stroustrup
- PYTHON
- Learning Python, by Mark Lutz, David Ascher
Paperback - 384 pages (26 April, 1999)
O'Reilly UK; ISBN: 1565924649 - Programming Python, by Mark Lutz, Guido van Rossum, Laura
Lewin, Frank Willison
Paperback - 1296 pages 2nd Ed (14 March, 2001)
O'Reilly UK; ISBN: 0596000855 - Python Essential Reference, by David Beazley
Paperback - 400 pages 2nd Ed (30 June, 2001)
New Riders; ISBN: 0735710910 - Python Programming on Win32, by Mark Hammond, Andy Robinson
Paperback - 672 pages (January 2000)
O'Reilly UK; ISBN: 1565926218
- Learning Python, by Mark Lutz, David Ascher
- NOT ENOUGH YET?
- Energy Derivatives, by Les Clewlow, Chris Strickland
Hardcover (August 2000)
Lacima Group; ISBN: 0953889602 - Hull-White on Derivatives, by John Hull, Alan White
Paperback - 356 pages (June 1996)
Risk Books; ISBN: 1899332456 - Exotic Options: The State of the Art, by Les Clewlow (Editor),
Chris Strickland (Editor)
Hardcover (June 1997)
International Thomson Business Press; ISBN: 0412631709 - Market Models, by C.O. Alexander
Hardcover - 514 pages (26 September, 2001)
John Wiley and Sons Ltd; ISBN: 0471899755 - Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
- Modelling Fixed Income Securities and Interest Rate Options, by
Robert A. Jarrow
Hardcover (October 1995)
McGraw Hill College Div; ISBN: 0070323739 - Black-Scholes and Beyond, by Neil A. Chriss
Hardcover - 500 pages (30 September, 1996)
Irwin Professional (USA); ISBN: 0786310251 - Risk Management and Analysis: Measuring and Modelling Financial
Risk, by Carol Alexander (Editor)
Hardcover - 304 pages Revised Ed (12 November, 1998)
John Wiley and Sons Ltd; ISBN: 0471979570 - Mastering Risk: Volume 2 - Applications: Your Single-Source
Guide to Becoming a Master of Risk, by Carol Alexander
Paperback - 264 pages 1 (24 October, 2001)
Pearson Education; ISBN: 0273654365
- Energy Derivatives, by Les Clewlow, Chris Strickland