Books

2014
Fred Espen Benth, Valery A. Kholodnyi, Peter Laurence (Eds.)
Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and Commodity Markets
Springer Verlag (2014), ISBN 978-1-4614-7248-3

Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo
Counterparty Risk and Funding: A Tale of Two Puzzles
Chapman & Hall/CRC (2014), ISBN 978-146651645

Mark Davis, Sébastien Lleo
Risk-Sensitive Investment Management
World Scientific Publishing Company (2014), ISBN 978-981-4578-04-2

Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou (Eds.)
Inspired by Finance: The Musiela Festschrift
Springer Verlag (2014), ISBN 978-3-319-02069-3

Tommi A. Vuorenmaa
Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis
Macmillan (2014), ISBN 978-1-137-43260-5

2013
Jan Baldeaux, Eckhard Platen
Functionals of Multidimensional Diffusions with Applications to Finance
Springer Verlag (2013), ISBN 978-3-319-00747-2

Svetlana Boyarchenko, Sergey Levendorskiy
No-Arbitrage Pricing: Analytical and Numerical Methods
Chapman & Hall/CRC (2013), ISBN-13: 9781420078985

Francesca Campolongo, Henrik Jönsson, Wim Schoutens
Quantitative Assessment of Securitisation Deals
Springer Verlag (2013), ISBN-13: 9783642297212

Stephane Crepey
Financial Modeling
Springer Verlag (2013), ISBN-13: 9783642371134

Nigel J. Cutland, Alet Roux
Derivative Pricing in Discrete Time
Springer Verlag (2013), ISBN 978-1-4471-4408-3

Jaksa Cvitanic, Jianfeng Zhang
Contract Theory in Continuous-Time Models
Springer Verlag (2013), ISBN-13: 9783642142000

Julien Guyon, Pierre Henry-Labordère
Nonlinear Option Pricing
Chapman & Hall/CRC (2013), ISBN 9781466570337

Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing
Springer Verlag (2013), ISBN 978-3-642-35401-4

Mark Joshi, Nicholas Denson, Andrew Downes
Quant Job Interview Questions and Answers, 2nd Ed.
Pilot Whale Press (2013), ISBN-13: 9780987122827

Andreas E. Kyprianou
Gerber–Shiu Risk Theory
Springer Verlag (2013), ISBN 978-3-319-02303-8

Bruno Remillard
Statistical Methods for Financial Engineering
Chapman & Hall/CRC (2013), ISBN 9781439856949

L. C. G. Rogers
Optimal Investment
Springer Verlag (2013), ISBN-13: 9783642352027

Ronald W. Shonkwiler
Finance with Monte Carlo
Springer Verlag (2013), ISBN 978-1-4614-8511-7

Nizar Touzi
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
Springer Verlag (2013), ISBN-13: 9781461442868

You-Ian Zhu, Xiaonan Wu, I.-Liang Chern, Zhi-zhong Sun
Derivative Securities and Difference Methods, 2nd Ed.
Springer Verlag (2013), ISBN 978-1-4614-7306-0

Gilles Zumbach
Discrete Time Series, Processes, and Applications in Finance
Springer Verlag (2013), ISBN 978-3-642-31742-2

2012
Samuel N. Cohen, Dilip Madan, Tak Kuen Siu, Hailiang Yang (Eds.)
Advances in Statistics, Probability and Actuarial Science: Volume 1
Stochastic Processes, Finance and Control
A Festschrift in Honor of Robert J Elliott

World Scientific Publishing Company (2012), ISBN-13: 9789814383301

Paul Darbyshire, David Hampton
Hedge Fund Modelling and Analysis using Excel and VBA
John Wiley & Sons, Inc. (2012), ISBN-13: 9780470747193 (40% discount for members, order through Wiley’s website)

Matheus R. Grasselli, Lane P. Hughston (Eds.)
Finance at Fields
World Scientific Publishing Company (2012), ISBN-13: 9789814407885

Moshe A. Milevsky
The 7 Most Important Equations for Your Retirement: The Fascinating People and Ideas Behind Planning Your Retirement Income
John Wiley & Sons, Inc. (2012), ISBN-13: 9781118291535

Yoshio Miyahara
Option Pricing in Incomplete Markets : Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures
Imperial College Press (2012), ISBN: 978-1-84816-347-8

Andrea Pascucci, Wolfgang J. Runggaldier
Financial Mathematics: Theory and Problems for Multi-period Models
Springer Verlag (2012), ISBN-13: 9788847025370

2011
Nicole Bäuerle, Ulrich Rieder
Markov Decision Processes with Applications to Finance
Springer Verlag (2011), ISBN-13: 9783642183232

Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Cambridge University Press (2011), ISBN-13: 9780521843584

Mark Joshi
More Mathematical Finance
Pilot Whale Press (2011), ISBN-13: 9780987122803

Jan Vecer
Stochastic Finance: A Numeraire Approach
Chapman & Hall/CRC (2011), ISBN-13: 9781439812501

2010
Greg Anderson, Alec Kercheval
Lectures on Financial Mathematics: Discrete Asset Pricing
Morgan & Claypool Publishers (2010), ISBN-13: 9781608454952

Leif Andersen, Vladimir Piterbarg
Interest Rate Modeling
Atlantic Financial Press (2010), three volumes

Elie Ayache
The Blank Swan: The End of Probability
John Wiley & Sons, Inc. (2010), ISBN-13: 9780470725221

Carl Chiarella, Alexander Novikov (Eds.)
Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen
Springer Verlag (2010), ISBN-13: 9783642034787

Gail Rolland
Market Players: A Guide to the Institutions in Today’s Financial Markets
John Wiley & Sons, Inc. (2010), ISBN-13: 9780470665558

2009
Damir Filipovic
Term-Structure Models, A Graduate Course
Springer Verlag (2009), ISBN-13: 9783540097266

Richard Flavell
Swaps and Other Derivatives
2nd Edition, John Wiley & Sons, Inc. (2009), ISBN-13: 9780470721919

Shayne Fletcher, Christopher Gardner
Financial Modelling in Python
John Wiley & Sons, Inc. (2009), ISBN-13: 9780470987841

Conrad Gardner (Ed.)
Qfinance: The Ultimate Resource
Bloomsbury Information Ltd (2009), ISBN-10: 1-84930-000-3, ISBN-13: 9781849300001

Wim Schoutens, Jessica Cariboni
Levy Processes in Credit Risk
John Wiley & Sons, Inc. (2009), ISBN-13: 9780470743065

Paul P. Wilmott
Frequently Asked Questions in Quantitative Finance
2nd Edition, John Wiley & Sons, Inc. (2009), ISBN-13: 9780470748756

2008
René Carmona (Ed.)
Indifference Pricing: Theory and Applications
Princeton University Press (2008), ISBN-10: 0-691-13883-4, ISBN-13: 9780691138831

Nicolas Privault
An Elementary Introduction to Stochastic Interest Rate Modeling
World Scientific Publishing (2008), ISBN-10: 9812832734, ISBN-13: 9789812832733

2007
Alan Brace
Engineering BGM
Series: Financial Mathematics Series Volume: 10, Chapman & Hall/CRC (2007), ISBN-10: 1584889683, ISBN-13: 9781584889687

René A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyen Pham, Erik Taflin
Paris-Princeton Lectures on Mathematical Finance 2004
(Lecture Notes in Mathematics No. 1919), Springer (2007), ISBN-10: 3-540-73326-4, ISBN-13: 9783540733263

Damien Lamberton, Bernard Lapeyre
Introduction to Stochastic Calculus Applied to Finance
Second Edition, Series: Financial Mathematics Series Volume: 11, Chapman & Hall/CRC (2007), ISBN-10: 1584886269, ISBN-13: 9781584886266

John Miller, David Edelman, John Appleby
Numerical Methods for Finance
Series: Financial Mathematics Series Volume: 8, Chapman & Hall/CRC (2007), ISBN-10: 158488925X, ISBN-13: 9781584889250

Jean-Luc Prigent
Portfolio Optimization and Performance Analysis
Series: Financial Mathematics Series Volume: 7, Chapman & Hall/CRC (2007), ISBN-10: 1584885785, ISBN-13: 9781584885788

2006
Louis Bachelier
Louis Bachelier’s Theory of Speculation: The Origins of Modern Finance
translated and with an introduction by Mark Davis & Alison Etheridge, with a foreword by Paul A. Samuelson, Princeton University Press (2006), ISBN-10: 0-691-11752-7, ISBN-13: 978-0-691-11752-2

Christian Bluhm, Ludger Overbeck
Structured Credit Portfolio Analysis, Baskets and CDOs
Series: Financial Mathematics Series Volume: 5 Chapman & Hall/CRC (2006), ISBN-10: 1584886471, ISBN-13: 9781584886471

Yuri Kabanov, Robert Lipster, Jordan Stoyanov (Eds.)
From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift
Springer Berlin (2006), ISBN-10: 3-540-30782-6, ISBN-13: 9783540307822

Eckhard Platen, David Heath
A Benchmark Approach to Quantitative Finance
Springer Verlag (2006), ISBN-10: 3-540-26212-1, ISBN-13: 9783540262121

R. J. Williams
Introduction to the Mathematics of Finance
American Mathematical Society (2006), ISBN-10: 0-8218-3903-9, ISBN-13: 9780821839034

2005
Kerry Back
A Course in Derivative Securities. Introduction to Theory and Computation
Springer (2005), ISBN-10: 3-540-25373-4, ISBN-13: 9783540253730

Jerome Detemple
American-Style Derivatives: Valuation and Computation
Series: Financial Mathematics Series Volume: 4, Chapman & Hall/CRC (2005), ISBN-10: 158488567X, ISBN-13: 9781584885672

Matthias R. Fengler
Semiparametric Modeling of Implied Volatility
Springer (2005), ISBN-10: 3-540-26234-2, ISBN-13: 9783540262343

Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts
Quantitative Risk Management: Concepts, Techniques, and Tools
Princeton University Press (2005), ISBN-10: 0-691-12255-5, ISBN-13: 9780691122557

Attilio Meucci
Risk and Asset Allocation
Springer (2005), ISBN-10: 3-540-22213-8, ISBN-13: 9783540222132

Steven E. Shreve
Stochastic Calculus for Finance I. The Binomial Asset Pricing Model
Springer (2005), ISBN-10: 0-387-24968-0, ISBN-13: 9780387249681

2004
Jeff Cash (Ed.)
Stochastic analysis with applications to mathematical finance
The Royal Society (2004)

Jaksa Cvitanic, Fernando Zapatero
Introduction to the Economics and Mathematics of Financial Markets
MIT Press Ltd (2004), ISBN-10: 0-262-03320-8, ISBN-13: 9780262033206

2003
Mark S. Joshi
The Concepts and Practice of Mathematical Finance
Cambridge University Press (2003), ISBN-10: 0-521-82355-2

Wim Schoutens
Lévy Processes in Finance: Pricing Financial Derivatives
John Wiley & Sons Ltd. (2003), ISBN-10: 0-470-85156-2

2002
Christian Bluhm, Ludger Overbeck, Christoph Wagner
An Introduction to Credit Risk Modeling
Chapman & Hall / CRC (2002), ISBN-10: 1-5848-8326X

Jean-Michel Courtault, Youri Kabanov
Louis Bachelier. Aux origines de la finance mathématique
Presses Universitaires Franc-Comtoises (2002), ISBN-10: 2-84627-064-3

Hélyette Geman, Dillip Madan, Stan Pliska,Ton Vorst (Eds.)
Mathematical Finance - Bachelier Congress 2000
Selected Papers from the First World Congress of the Bachelier Finance Society, Held in Paris, June 29-July 1, 2000, Springer (2002), ISBN-10: 3-540-67781-X

Masaaki Kijima
Stochastic Processes with Applications to Finance
Chapman & Hall / CRC (2002), ISBN-10: 1-5848-8224-7

2001
Dominique Guégan
Les chaos en finance: Approche statistique
Ed. Economica, Paris, Collection Statistique Mathématique et Probabilité, ISBN-10: 271784595X, ISBN-13: 9782717845952

Glenn Shafer, Vladimir Vovk
Probability and Finance: It’s Only a Game!
John Wiley & Sons, Inc. (2001), ISBN-10: 0-471-40226-5

William T. Ziemba (Ed.)
Handbooks in Finance
book series from Elsevier Science / North-Holland