Derivatives and Internal Models 4th edition

Palgrave Macmillan

The Encyclopedia of Quantitative Finance

Wiley Finance Books

Red-Blooded Risk: The Secret History of Wall Street

Wiley Finance Books

Models. Behaving. Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life

Wiley Finance Books

Blog: A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting

Quantitative Finance 46 days ago

News: A Solution to Kolmogorov-Feller Equation and Pricing of Options. (arXiv:1303.4849v1 [math-ph])

65 days ago - q-fin updates on arXiv.org

We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.

Blog: A Solution to Kolmogorov-Feller Equation and Pricing of Options. (arXiv:1303.4849v1 [math-ph])

Quantitative Finance at arXiv 65 days ago

News: Power Utility Maximization in Hidden Regime-Switching Markets with Default Risk. (arXiv:1303.2950v1 [q-fin.PM])

73 days ago - q-fin updates on arXiv.org

We consider the problem of maximizing expected utility from terminal wealth for a power investor who can allocate his wealth in a stock, {a} defaultable bond, and a money mark...

Blog: Power Utility Maximization in Hidden Regime-Switching Markets with Default Risk. (arXiv:1303.2950v1 [q-fin.PM])

Quantitative Finance at arXiv 73 days ago

News: Dynamic Programming Equations for Portfolio Optimization under Partial Information with Expert Opinions. (arXiv:1303.2513v1 [q-fin.PM])

74 days ago - q-fin updates on arXiv.org

This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained fr...

Blog: Dynamic Programming Equations for Portfolio Optimization under Partial Information with Expert Opinions. (arXiv:1303.2513v1 [q-fin.PM])

Quantitative Finance at arXiv 74 days ago

News: Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection. (arXiv:1303.1064v1 [q-fin.PM])

80 days ago - q-fin updates on arXiv.org

The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longe...

Blog: Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection. (arXiv:1303.1064v1 [q-fin.PM])

Quantitative Finance at arXiv 80 days ago

News: Pricing Corporate Defaultable Bond using Declared Firm Value. (arXiv:1302.3654v1 [q-fin.PR])

96 days ago - q-fin updates on arXiv.org

We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of firm. We ...