Financial Engineering, Financial Mathematics, and Quantitative Finance

Market Models - A Guide to Financial Data Analysis
by Carol Alexander [see details | buy at Amazon.com]
Chapters: 1. Understanding volatility and correlation. 2. Implied volatility and correlation. 3. Moving average models. 4. GARCH models. 5. Forecasting Volatility and Correlation. 6. Principle component analysis. 7. Covariance matrices. 8. Risk measurement in factor models. 9. Value-at-risk. 10. Modelling non-normal returns. 11. Time series models. 12. Cointegration. 13. Forecasting high-frequency data. Technical appendices: A1. Linear Regression. A2. Statistical inference. A3. Residual analysis. A4. Data problems. A5. Prediction. A6. Maximum likelihood methods.

Financial Engineering Principles, by Perry H. Beaumont

Financial Engineering Principles - A Unified Theory for Financial Product Analysis and Valuation
by Perry H. Beaumont [see details | buy at Amazon.com]
"This is the first comprehensive hands-on introduction to financial engineering. Neftci is enjoyable to read, and finds a natural balance between theory and practice." - Darrell Duffie, James I. Miller Professor of Finance, The Graduate School of Business, Stanford University "Neftci's book captures much of the excitement of the recent surge of theoretical and practical work on financial engineering. A variety of readers will be interested in this book, including lay people who are interested in better understanding how financial markets can be used to share and mitigate risks and practicioners who are interested in constructing and valuing new securities." - Thomas Sargent, Professor of Economics at NYU, and a Senior Fellow at the Hoover Institution, Stanford University

Financial Modeling - 2nd Edition
by Simon Benninga and Benjamin Czaczkes [see details | buy at Amazon.com]

Against the Gods - The Remarkable Story of Risk
by Peter L. Bernstein [see details | buy at Amazon.com]
Peter Bernstein has written a comprehensive history of man's efforts to understand risk and probability, beginning with early gamblers in ancient Greece, continuing through the 17th-century French mathematicians Pascal and Fermat and up to modern chaos theory. Along the way he demonstrates that understanding risk underlies everything from game theory to bridge-building to winemaking. --Amazon.com

Numerical Methods in Finance, by Paolo Brandimarte

Numerical Methods in Finance - A MATLAB-Based Introduction
by Paolo Brandimarte [see details | buy at Amazon.com]

Interest Rate Models
by Damiano Brigo and Fabio Mercurio [see details | buy at Amazon.com]

Implementing Derivative Models
by Les Clewlow and Chris Strickland [see details | buy at Amazon.com]

Financial Engineering, by Keith Cuthbertson and Dirk Nitzsche

Financial Engineering - Derivatives and Risk Management
by Keith Cuthbertson and Dirk Nitzsche [see details | buy at Amazon.com]

The Rules of Risk
by Ron Dembo and Andrew Freeman [see details | buy at Amazon.com]

Monte Carlo Methodologies and Applications for Pricing and Risk Management
by Bruno Dupire [see details | buy at Amazon.com]

Financial Engineering, by Lawrence C. Galitz

Financial Engineering - Tools and Techniques to Manage Financial Risk
by Lawrence C. Galitz [see details | buy at Amazon.com]
Chapters 1. Introduction. 2. The cash markets. 3. Forward rates. 4. FRAs. 5. SAFEs. 6. Financial futures. 7. Short-term interest rate futures. 8. Bond and stock index futures. 9. SWAPS. 10. Options - from basic to Greek. 11. Options - from building blocks to exotics. 12. Applications for financial engineering. 13. Managing currency risk. 14. Managing interest-rate risk using FRAs, futures, and swaps. 15. Managing interest-rate risk - Using options and option-based instruments. 16. Managing equity risk. 17. Commodity risk. 18. Structured finance.