Quantitative Finance is an applied science dealing with the application of mathematics and computer science to develop or exploit financial opportunities for return enhancement and risk control. The discipline is also known as financial mathematics, financial engineering and computational finance, depending upon the problems or techniques emphasized. The objective of the Program in Quantitative Finance is to produce practitioners and researchers who can operate at the highest levels within this field.
Quantitative Finance covers such applications as:
- Agent-based modelling
- Anomalies in prices
- Asset-liability modelling
- Behavioural finance
- Bounded rationality
- Corporate finance
- Corporate valuation
- Derivatives pricing and hedging
- Evolutionary game theory
- Experimental finance
- Extreme risks and insurance
- Financial econometrics
- Financial engineering
- Learning adaptation
- Liquidity modelling
- Market dynamics and prediction
- Market microstructure
- Operational risk modelling
- Portfolio management
- Price formation
- Risk management
- Trading systems
- Web-based financial services
Some of the quantitative finance books are given below:
- GENERAL
- The Concepts and Practice of Mathematical Finance, by Mark S. Joshi
Hardcover - (8 December, 2003)
Cambridge University Pressbook 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
2 comments:
Nice post with good picks. But "highest levels" may not to be too appropriate. How high it is, you may realize here: http://www.edge.org/3rd_culture/derman10.1/derman10.1_index.html
I think this content is from SUNY's program!
Hi Sharat, thanks for your good advice,, I will definitely come up with good posts in this field very soon..
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