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FINANCIAL ENGINEERING New & Notable Titles FINANCIAL ENGINEERING New & Notable Titles New Edition of Bestselling Textbook An Introduction to Derivative Securities, Financial Markets, and Risk Management (2nd Edition) by Robert Jarrow (Cornell University, USA) & Arkadev Chatterjea (Indiana University, USA) “I have read the whole book and I find it an This introductory textbook on derivatives Robert Jarrow Arkadev Chatterjea excellent book. It’s a great blend of theory and the and risk management is accessible in terms ‘institutional’ aspects of derivatives trading.” of the concepts as well as the mathematics. Rafael de Santiago With its economics perspective, the book is IESE Business School, Spain closely connected to real markets, showing how macroeconomic forces have shaped the “This book is a great resource for a rigorous introduction to derivatives, both pricing and markets, explaining the major derivative pricing markets. There is sufficient and current institutional models using algebra and introductory calculus, detail where required, and pricing and market showing students how to implement these models behaviour is regularly tied back to regulations and using basic statistics and elementary Excel institutional features for a better understanding of spreadsheet skills, and discussing the uses of the interplay between those factors. The natural derivatives while warning against their abuses. progression from equities to interest rate models is unique to this book. Thanks to an elaborate set 724pp Mar 2019 of detailed examples, references to relevant case 978-1-944659-55-4 US$138 £120 studies, a full set of worked solutions to problem sets and slides, using this book means reduced prep time without sacrificing the students’ learning Textbook: Request Inspection experience.” Thijs van der Heijden Copy at [email protected] University of Melbourne Financial Engineering Selected Works of Alexander Lipton by Alexander Lipton (MIT Connection Science, USA) “Alex Lipton revolutionized financial engineering Edited by Alexander Lipton (Quant of the Year, over a phenomenal career lasting multiple decades. 2000), this volume is a collection of Lipton’s While he is by no means done, this book takes stock important and original papers on financial of this magnificent achievement.” engineering written over his 20-year career as Peter Carr a preeminent quant working for leading financial New York University institutions in New York, Chicago, and London. The papers cover topics ranging from the volatility “Alex Lipton, a great scholar and a very experienced smile problem, credit risk, macroeconomics and practitioner, has put together an impressive book monetary circuit, and exotic options, summarizing that commands respect by both its technical mastery Lipton’s fundamental contributions to these areas. and the breadth of topics it covers.” Bruno Dupire 632pp Jul 2018 Head of Quantitative Research, Bloomberg LP 978-981-3209-15-2 US$188 £165 Subscribe / Recommend to your Librarian! Details on page 8 Free access to featured articles. *Please log in to your existing account or register for a FREE account to enjoy this. FINANCIAL ENGINEERING: New & Notable Titles New Edition of Bestselling Textbook Advanced Finance Theories by Ser-Huang Poon (Manchester University, UK) Metals and Energy Finance For PhD finance courses in business schools, there (2nd Edition) is equal emphasis placed on mathematical rigour Application of Quantitative Finance Techniques as well as economic reasoning. Advanced Finance to the Evaluation of Minerals, Coal and Theories provides modern treatments to five key Petroleum Projects areas of finance theories in Merton’s collection of by Dennis L Buchanan & Mark H A Davis continuous time work, viz. portfolio selection and (Imperial College London, UK) capital market theory, optimum consumption and This new edition has been comprehensively revised intertemporal portfolio selection, option pricing with a new chapter on Quantitative Finance and three additional case studies. theory, contingent claim analysis of corporate finance, intertemporal CAPM, Contemporary themes in the revised edition include the current focus on and complete market general equilibrium. Where appropriate, lectures the transition from open pit to underground mining as well as the role of real notes are supplemented by other classical text such as Ingersoll (1987) and option valuations applied to marginal projects that may have value in the materials on stochastic calculus. future.This innovative textbook is clear and concise in its approach. Both 228pp May 2018 authors have extensive experience within the academic environment at a 978-981-4460-37-8 US$78 £69 senior level as well as track records of hands-on participation in projects within the natural resources and financial services sectors. 328pp Jan 2019 A Dynamic Use of Survey Data 978-1-78634-587-5 US$108 £95 and High Frequency Model 978-1-78634-627-8(pbk) US$58 £50 Forecasting edited by Yoshihisa Inada (Konan University, Japan & Asia Pacific Institute of Research, Japan) Textbook This volume investigates the accuracy and dynamic Optimization Theory performance of a high-frequency forecast model A Concise Introduction for the Japanese and United States economies by Jiongmin Yong (University of Central Florida, USA) based on the Current Quarter Model (CQM) or Mathematically, most of the interesting optimization High Frequency Model (HFM) developed by the late problems can be formulated to optimize some Professor Emeritus Lawrence R. Klein. It also presents a survey of recent objective function, subject to some equality and/or developments in high-frequency forecasts and gives an example application inequality constraints. This book introduces some of the CQM model in forecasting Gross Regional Products (GRPs). classical and basic results of optimization theory, 128pp May 2018 including nonlinear programming with Lagrange 978-981-3232-36-5 US$68 £60 multiplier method, the Karush – Kuhn – Tucker method, Fritz John’s method, problems with convex or quasi-convex constraints, and linear programming with geometric method and simplex method. Market Microstructure in Practice 236pp Jul 2018 (2nd Edition) 978-981-3237-64-3 US$78 £69 edited by Charles-Albert Lehalle (Capital Fund Management, France & Imperial College London, UK) & Sophie Laruelle (Université Paris-Est Modern Trends in Financial Engineering - Vol 2 Créteil, France) Stochastic Drawdowns “Lehalle and Laruelle bring [their] experience to by Hongzhong Zhang (Columbia University, USA) bear on every aspect of the discussion, as well as deep quantitative understanding. The resulting Stochastic Drawdowns consists of some recent book is a unique mixture of real market knowledge advances on Dr Hongzhong Zhang’s own and theoretical explanation. There is nothing else quantitative research of the well-known risk out there like it, and this book will be a central resource for many different measures, drawdowns and maximum drawdowns. market participants.” In this book, the author provides an extensive Robert Almgren probabilistic study of different aspects of drawdown President and Cofounder of Quantitative Brokers, New York risks, which include the drawdown risk in finite In this second edition, the authors have added a large section on orderbook time-horizons, the speed of market crashes (drawdowns), the frequency dynamics, showing how liquidity can predict future price moves, and how of drawdowns, the occupation time (time in distress), and the duration High Frequency Traders can profit from it. The section on market impact has of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy also been updated to show how buying or selling pressure moves prices not processes and optimal stopping, these topics can be considered as only for a few hours, but even for days, and how prices relax (or not) after problems in advanced applied stochastic processes, and insurance/financial a period of intense pressure. mathematics. 368pp Mar 2018 256pp Jul 2018 978-981-3231-12-2 US$78 £69 978-981-3141-63-6 US$98 £85 Textbook: Request Inspection Copy at [email protected] 2 WORLD SCIENTIFIC Prefer Digital? Browse this flyer online http://bit.ly/FinEng19 FINANCIAL ENGINEERING: New & Notable Titles Textbook A Practical Approach to XVA The Evolution of Derivatives Valuation Probability and Statistics for Economists after the Financial Crisis by Yongmiao Hong (Cornell) by Osamu Tsuchiya (Simplex Inc., Japan) This textbook covers probability theory and statistical theory This book presents a clear and in a coherent framework that will be useful in graduate studies concise framework and provides key in economics, statistics and related fields. As a most important considerations for the computation feature, this textbook emphasizes intuition, explanations and of myriad adjustments to the price of applications of probability and statistics from an economic financial derivatives, to fully reflect costs. perspective. XVA has been of great interest recently 592pp Jan 2018 due to heavy funding costs (FVA), initial margin (MVA) and capital requirements (KVA) required to sustain 978-981-3228-81-8 US$118 £104 a derivatives business since 2008, in addition to the traditional concepts of cost from counterparty default or credit deterioration Brazen (CVA), and its mirror image — the cost of one own’s default Big Banks, Swap Mania and the Fallout (DVA). The book takes a practitioner’s perspective on the above by A Rashad Abdel-khalik concepts, and then provides a framework to implement such (University of Illinois at Urbana-Champaign,
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