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Library

This is a selection of books and articles related to quantitative finance and financial engineering that we recommend to students as well as practitionners.

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Options, futures, and other

derivatives (Hull).

The standard introduction to

financial engineering.

An Introduction to the Mathematics

of Financial Derivatives

(Neftci & Hirsa).

The basic mathematical tools of

quantitative finance.

An Introduction to Probability

Theory and Its Applications,

Vol. 1 & 2 (Feller).

The masterpiece on probabilities.

The Complete Guide to Option

Pricing Formulas (Haug).

Everything (and more) about the

Black-Scholes model.

FX Options and Structured

Products (Wystup)

Real-life options and structures.

Monte Carlo Methods in

Financial Engineering

(Glasserman)

The reference on Monte Carlo simulations.

PDE Valuation of Interest Rate

Derivatives (Kohl-Landgraf)

The reference on Monte Carlo simulations.

Interest Rate Models - Theory

and Practice (Brigo & Mercurio).

A complete guide on the modeling interest,

inflation, and credit derivatives.

The Volatility Surface:

A Practitioner's Guide (Gatheral)

The professional modeling of FX

and stock options.

Stigum's Money Market

(Stigum)

A great explanation on how

capital markets work.

Managing Financial Risk:

A guide to Derivative Products,

Financial Engineering and Value

Maximization (Smithson).

Risk management of derivatives

with a historical perspective.

Financial Asset Pricing

Theory (Munk)

Tools and theory for asset pricing

and portfolio selection.

Numerical Methods in Finance

and Economics: A Matlab-Based

Introduction (Brandimarte).

An illustration of numeric methods

with Matlab

Arbitrage Theory in

Continuous Time (Björk)

Stochastic calculus for finance

applications.

Financial Risk Manager

Handbook: Part I / Part II

(Jorion)

The handbook of risk management

by the inventor of Value at Risk.

Fixed Income Securities:

Valuation, Risk, and Risk

Management (Veronesi).

Fixed income markets and their

associated quantitative models.

The introduction to investing

and pricing models for MBA

students.

The introduction to investing and pricing

models for MBA students.

Counterparty risk and funding

(Crépey, Bielecki)

The explanation of OIS discounting

and value adjustments.