Lecture notes
Bond Price Data[wpforms id=”1972″]
Additional Reading List
Other books that complete the topics covered in class, and go more in-depth in the materials we discussed.
Value at risk the new benchmark for managing financial risk
Jorion, Philippe
A classic for Risk Management
Hull, J. (1993). Options, futures, and other derivative securities. Englewood Cliffs, N.J: Prentice Hall.
Still today perhaps the best book written on the subject. Meant for a general public, with limited use of advance mathematics, covers in its latest edition the main topics of quantitative finance in the banking sector
Fabozzi, F. J., & Mann, S. V. (2001). Introduction to fixed income analytics. New Hope, Pa
The standard reference for fixed income mathematics
Security markets : stochastic models /
Darrell Duffie.
Boston, Mass. : Academic Press
A very abstract treatment of securities markets and the pricing of assets
Methods of mathematical finance [electronic resource]
Ioannis Karatzas, Steven E. Shreve.. Springer, c1998.
Full coverage of the foundations of quantitaive finance with full use of the power of abstract mathematics. A Classic
Financial calculus : an introduction to derivative pricing
Martin Baxter, Andrew Rennie.
Cambridge : Cambridge University Press, 1996.
I highly recommend the first Chapter
Dynamic asset pricing theory [electronic resource] /
Darrell Duffie.
Princeton, N.J. : Princeton University Press
A classic: a rigorous presentation of the pricing principles. Heavy use of math.
Taleb, N. N. (1997). Dynamic hedging: Managing vanilla and exotic options. New York: Wiley.
A classic by Quant Skeptic number 1, Nassim Taleb
Continuous-time finance /
Robert C. Merton ; foreword by Paul A. Samuelson.
Cambridge, MA : B. Blackwell, 1990.
A classic by a Nobel Prize winner who invented the whole thing
Taleb, N. (2005). Fooled by randomness: The hidden role of chance in life and in the markets. New York: Random House Trade Paperbacks.
Another treaty on skepticism
Øksendal, B. K. (2003). Stochastic differential equations: An introduction with applications. Berlin: Springer.
Investigations on the theory of the Brownian movement /
by Albert Einstein;
Advances in financial machine learning [electronic resource] /
Marcos López de Prado.
New Jersey : Wiley, [2018]
Perhaps the first book to introduce ML in finance.
Measuring corporate default risk [electronic resource] /
Darrell Duffie.
Oxford ; New York : Oxford University Press, 2011.
Dark markets [electronic resource] : asset pricing and information transmission in over-the-counter markets /
Darrell Duffie.
Princeton : Princeton University Press
Machine learning in business : an introduction to the world of data science /
John C. Hull.
Hull gets into ML. Likely to become a classic soon
Hedge funds : quantitative insights /
François-Serge L’habitant. John Wiley, ©2004
Hedge funds [electronic resource] : structure, strategies, and performance /
[edited by] H. Kent Baker and Greg Filbeck
A compilation of papers, it shows the topics that interest investors when it comes to hedge funds. Many of the topics are still relevant today. The focus is very investment centric, and shows the quantitative analyst that there are many topics of interest which are not quantitative at all.
Taleb, N. N. (2007). The black swan: The impact of the highly improbable.
Pop culture meets risk management. This book, a prophecy of the financial crisis of 2008, brought Nassim Taleb to the main stream media as a risk visionary.