“Take calculated risks.
That is quite different
from being rash”
George S. Patton (1885-1945)
Practical
Approaches to
Mathematical
Finance
RISKY
BUSINESS
www.wileyeurope.com
Risk
Risk and Financial Management
Lévy Processes in Finance
Mathematical and Computational Methods
Pricing Financial Derivatives
CHARLES TAPIERO, ESSEC Business School, France.
WIM SCHOUTENS, Katholieke University Leuven,
Belgium.
Risk and Financial Management: Mathematical and Computational
Methods explores newly developed financial instruments and
mathematical techniques introduced in financial practice to protect
against the adverse effects of uncertainty caused by fluctuations in
interest rates, exchange rates, commodity prices, and equity prices.
Features of the book include:
• A comprehensive introduction to the core topics of risk and
financial management.
• A pragmatic approach, focused on computational, rather than
just theoretical, methods.
• Bridges the gap between theory and practice in financial risk
management.
• Coverage of utility theory, probability, options and derivatives,
stochastic volatility and value at risk.
• Extensive reference lists, applications and suggestions for further
reading.
0-470-84908-8
March 2004
Hbk
384pp
• Provides an introduction to the use of Lévy
processes in finance.
• Features many examples using real market
data, with emphasis on the pricing of
financial derivatives.
• Covers a number of key topics, including
option pricing, Monte Carlo simulations,
stochastic volatility, exotic options and
interest rate modelling.
• Includes many figures to illustrate the theory and examples
discussed.
• Avoids unnecessary mathematical formalities.
0-470-85156-2
March 2003
Hbk
196pp
Foundations of Risk Analysis
A Knowledge and Decision-Oriented
Perspective
Financial Derivatives in Theory and Practice
TERJE AVEN, University of Stavanger, Norway.
Revised Edition
This extremely topical book presents a
framework that allows the reader to deal with
risk and uncertainty for many application
areas from business and industry. Adopting a
conceptual approach based on elementary
probability calculus and statistical theory Aven
presents the foundational issues in risk
analysis - expressing risk, understanding what
risk means, building risk models, addressing uncertainty, and
applying probability models to real problems.
PHILIP HUNT, Westdeutsche Landesbank Girozentrale, London, UK.
JOANNE KENNEDY, University of Warwick, UK.
Revised and updated with the inclusion of exercises, and extensive
corrections. This book, which originally published in March 2000
to widespread acclaim:
• Provides a comprehensive introduction to the theory and practice
of financial derivatives.
• Discusses and elaborates on the theory of interest rate derivatives,
an area of increasing interest.
• Divided into two self-contained parts; the first concentrating on
the theory of stochastic calculus, and the second describes in
detail the pricing of a number of different derivatives in practice.
0-470-86359-5
April 2004
Pr
0-470-86358-7
April 2004
Hbk
448pp
0-471-49548-4
September 2003
Hbk
206pp
Variation Risk Management
Focusing Quality Improvements in
Product Development and Production
448pp
ANNA C. THORNTON.
Risk Transfer
Derivatives in Theory and Practice
CHRISTOPHER CULP, University of Chicago.
An advanced read on the subject, one that prepares both students
and practitioners for many of the issues and problems they will face
in derivative markets. This book provides coverage of all derivative
instruments used in risk transfer, from interest rates and
commodities to foreign exchange, equity, and credit and offers
specialised text on term structure of futures and forward prices.
0-471-46498-8
April 2004
Hbk
“A must-read road map . . . Dr. Thornton
cogently explains the importance and
the effective implementation of variation
risk management across the enterprise
to managers, designers, and customers
alike.”
MIKE VANDER WEL, PE BUILD INTEGRATION/FINAL ASSEMBLY
MANAGER , BOEING COMMERCIAL AIRCRAFT GROUP
0-471-44679-3 November 2003 Hbk 320pp
560pp
Applied Risk Analysis
Moving Beyond Uncertainty in Business
Swaps and Financial
Derivatives
JONATHAN MUN, VP, Analytical Services at
Decisioneering, Inc, visiting professor, University of
Applied Sciences, Switzerland.
Third Edition
Applied Risk Analysis covers all the essential
tools and techniques risk managers need to
quantify the risks associated with different
types of business uncertainty. Key concepts
explored include risk and return, the
fundamentals of model building, Monte Carlo
simulation (using supplied Crystal Ball
software), forecasting, time-series and
regression analysis, optimisation, real options, and much more.
SATYAJIT DAS, Financial consultant.
Swaps and Financial Derivatives – Third
Edition is a unique, authoritative and
comprehensive reference work for
practitioners on derivatives, bringing together
all aspects of derivative instruments within a
cohesive and integrated framework including
global coverage of OTC and exchange traded
markets and all asset classes.
0-470-82109-4
January 2004
4-Volumes
Hbk
0-471-47885-7
December 2003
Hbk/CD-ROM
480pp
Modelling
BESTSELLER..
Advanced Modelling in Finance
Using Excel and VBA
MARY JACKSON, London Business School.
MIKE STAUNTON, London Business School.
Advanced Modelling in Finance Using Excel and
VBA outlines a step-by-step approach to using the
more sophisticated aspects of Excel macros and
VBA programming to model and manipulate
financial data, illustrating with practical examples
how these can be applied to a variety of financial
problems and situations.
0-471-49922-6
April 2001
Hbk/CD-ROM
276pp
SERGIO FOCARDI, founding partner, The Intertek
Group. FRANK J. FABOZZI, School of Management, Yale
University.
This book introduces the reader to the key
mathematical techniques used in today’s financial
world, including matrix algebra, calculus, ordinary
differential equations, probability theory and time
series analysis. Using real-world examples, Focardi
and Fabozzi present the theories and techniques
that are at the forefront of modern research.
March 2003
Hbk
JAMES R. THOMPSON, Noah Harding Professor of
Statistics, Rice University TX. EDWARD E. WILLIAMS,
Henry Gardiner Symonds Professor of Management,
Rice University. M. CHAPMAN FINDLAY, III, Principal:
Findlay, Phillips and Associates.
This provocative volume is written to provide a
new, anti-efficient markets approach to investment
theory and management. With the recent collapse
of the Scholes-Merton Long Term Capital
Management (LTCM) hedge fund came the
inspiration for this endeavor. That fiasco gave
pause to those who take the efficient market-based formulae for ‘fair
prices’ (especially in options and derivatives) as rigid laws. For those
who have long opposed the efficient market orthodoxy, this book is a
valuable reference, if not a bible in the field.
0-471-35628-X
The Mathematics of Financial
Modeling and Investment
Management
0-471-46599-2
Models for Investors in Real
World Markets
800pp
BESTSELLER..
Market Models
A Guide to Financial Data Analysis
November 2002
Hbk
408pp
Modeling the Internet
and the Web
Probabilistic Methods and Algorithms
PIERRE BALDI, University of California, Irvine, CA.
PAOLO FRASCONI, University of Florence, Italy.
PADHRAIC SMYTH, University of California, Irvine, CA.
• Provides a comprehensive introduction to the
modeling of the Internet and Web at the
information level.
• Takes a modern approach based on
mathematical, probabilistic and graphical
modeling.
• Provides an integrated presentation of theory, examples, exercises and
applications.
• Covers key topics such as text analysis, link analysis, crawling
techniques, human behaviour, and commerce on the Web.
0-470-84906-1
April 2003 306pp
CAROLE ALEXANDER, ISMA, University of Reading, UK.
Market Models provides an authoritative treatment
of the use of market data to develop models for
financial analysis. This book is the first of its kind
to address the vital techniques required for model
selection and development. It is important to
make the right choices and Carol Alexander’s clear exposition provides
valuable insights at every stage.
0-471-89975-5
September 2001
Hbk/CD-ROM
514pp
Applied Data Mining
Statistical Methods for Business and
Industry
PAOLO GIUDICI, University of Pavia, Italy.
This accessible, leading edge text offers business
students and industry professionals an
introduction to this increasingly important field.
Providing a solid introduction to applied data
mining methods in a consistent statistical
framework, which includes coverage of classical,
multivariate and Bayesian statistical methodology.
Also featuring many recent developments such as association and
sequence rules, graphical Markov models, memory-based reasoning,
credit risk and web mining. Each statistical method described is
illustrated with real life applications and detailed case studies and
incorporates discussion on software used in data mining, with particular
emphasis on SAS and SAS Enterprise Miner.
0-470-84679-8
August 2003
Pr
0-470-84678-X
August 2003
Hbk
376pp
376pp
Pricing Communication Networks
Economics, Technology and Modelling
COSTAS COURCOUBETIS, Athens University of
Economics and Business, Greece.
RICHARD WEBER, University of Cambridge, UK.
Providing a broad overview of network services
and contracts for anyone with an understanding of
basic calculus and probability.
This book includes a primer on modern network
technology and the economic concepts relevant to
pricing and competition. Mathematical models of
traffic flow are discussed to help describe network
capability and derive pricing strategies.
Coverage also spans specialist topics, such as regulation, multicasting, and
auctions with illustrations and detailed real examples used throughout.
0-470-85130-9
March 2003
Hbk
378pp
Modelling Prices in Competitive Electricity
Markets
DEREK BUNN, London Business School.
Competitive electricity markets became a worldwide trend during the
1990s, and their financial behavior is now beginning to attract interest
from traders, banks, and energy companies as well as academic
researchers. Through a combination of financial theory and practical
real-world applications, this book covers the shifting landscape and
shows readers what to expect and why this financially peculiar industry
does what it does.
0-470-84860-X
February 2004
Hbk
300pp
Quantitative Finance
Copula Methods in Finance
BESTSELLER..
GIOVANNI CHERUBINI, University of Bologna. ELISA
LUCIANO, University of Turin. WALTER VECCHIATO,
University of Paiqa, Italy.
Monte Carlo Methods in
Finance
Copula as a statistical tool has attracted much
attention for its increasing usefulness in
financial mathematics. Copula Methods in
Finance looks at the rapidly growing area of
copulas, bringing together their application to
finance by referencing major topics such as
asset pricing, risk management and credit risk
analysis.
PETER JÄCKEL, Commerzbank.
0-470- 86344-7
March 2003
Hbk
512pp
With Monte Carlo Methods in Finance, readers
will learn how to use this complex method to
price derivatives and measure their risks. With
a practical, hands on approach, this
comprehensive guide uses a problem solving
approach and shows how to implement Monte
Carlo methods, starting from first principles to
advanced techniques.
0-471-49741-X
April 2002
Hbk
222pp
Probability and Finance:
It’s Only a Game!
GLEN SHAFER, Rutgers, The State University of
New Jersey, VLADIMIR VOVK, Royal Holloway,
University of London, Egham, Surrey, England
This volume describes how mathematical
probability theory can dispense with the
inconveniences of measure theory and how its
applications, especially in finance, can be
liberated from the myth of inherent
randomness in nature. In doing so, it provides
a unique and revolutionary combination of
probability and finance theories.
0-471-40226-5
September
2001
Hbk
Regression Models for Time
Series Analysis
BENJAMIN KEDEM, University of Maryland,
KONSTANTINOS FOKIANOS, University of Cypress,
Greece
Providing for its audience various regression
models developed during the last thirty years
or so and summaries of classical and more
recent results concerning state space models.
This book extends generalized linear models
(GLM) methodology systematically to time
series where the primary and covariate data
are both random and stochastically dependent.
To conclude, the authors present a Bayesian approach to prediction
and interpolation in spatial data adapted to time series that may be
short and/or observed irregularly. Real data applications and further
results are presented throughout by means of chapter problems and
complements.
Notably, the book covers:
• Important recent developments in Kalman filtering, dynamic
GLMs, and state-space modeling
• Associated computational issues such as Markov chain, Monte
Carlo, and the EM-algorithm
• Prediction and interpolation
• Stationary processes
0-471-36355-3
September 2002
Hbk
360pp
Financial and Economic Analysis
For Engineering; Technology Management
2nd Edition
HENRY E. RIGGS, Harvey Mudd College, Claremont, California.
This Second Edition covers the basics of finance and accounting from
an engineering and technology perspective. Providing the reader with
a rigorous analysis of accounting, accounting procedures, cost and
financial analysis in an engineering context. It also covers accounting,
finance, and economic analysis for non-financial people.
0-471-22717-X
March 2004
Hbk
448pp
Advanced Project
Management
Best Practices on Implementation
2nd Edition
HAROLD KERZNER, Ph.D., Baldwin-Wallace College,
Berea, Ohio.
The completely revised and updated new
edition of Applied Project Management.
Following the Project Management Institute’s
Body of Knowledge (PMBOK), this book
addresses:
• Project risk management
• Project portfolio management
• The Project Office
• Project management multinational cultures
• Integrated project teams and virtual project teams
0-471-47284-0
January 2004
Hbk
864pp
Paul Wilmott on Quantitative
Finance
PAUL WILMOTT, Director, Wilmott Associates.
In this two-volume work, Paul Wilmott
updates and extends – with 18 new chapters –
his earlier classic Derivatives: The Theory and
Practice of Financial Engineering. Material
includes chapters on technical trading,
volatility and modelling, utility theory, trader
options, modelling dividends, real options,
energy derivatives and analysis of derivativesled fiascos.
0-471-87438-8
April 2000
Hbk 1064pp
Applied Quantitative Methods
for Trading and Investment
Edited by CHRISTIAN DUNIS & JASON LAWS, both
of the Liverpool Business School. PATRICK NAIM,
CEO, Elseware.
This much-needed book, from a selection of
top international experts, fills a gap by
providing a manual of applied quantitative
financial analysis. It focuses on advanced
empirical methods for modelling financial
markets in the context of practical financial
applications. Data, software and techniques
specifically aligned to trading and investment
will enable the reader to implement and interpret quantitative
methodologies covering various models.
0-470-84885-5
September 2003
Hbk
2 Journals
Optional sub-section bar
FEATURE JOURNAL..
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Applied Stochastic Models
in Business and Industry
Applied Stochastic Models in Business and
Industry publishing contributions in the
interface between stochastic modelling,
data analysis and their applications in
business, finance, insurance, management
and production. The main objective is to
publish papers, both technical and
practical, presenting new results, which
solve real-life problems or have great potential in doing so. A
second objective is to present new methods for solving such
problems, i.e. optimization, data base management, knowledge
acquisition, expert systems, computer-aided decision supports
and neural computing.
The scope of the journal is now broadened both in supporting
topics and in appropriate methodology. Topics to be added
include managerial processes, reliability, quality control, data
analysis and data mining. New methodologies include wavelets,
Markov-chain Monte Carlo methods and spatial statistics.
Journal of Applied
Econometrics
• An outlet for innovative and quantitative
research in economics, covering topics in:
measurement, estimation, testing,
forecasting and policy analysis.
• High quality articles dealing with the
application of existing and new econometrics
techniques to a wide variety of disciplines.
• Journal of Applied Econometrics
distinguished authors include Stephen Hall, Timo Terasvirta, Peter
C. B. Phillips, Philip Hans Franses and Clive W. J. Granger.
• Book and software reviews.
Online ISSN: 1099-1255 Print ISSN: 0883-7252
Publication Year: 2004 Volume 19 7 Issues
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Institutional Rate: $1100.00
■ SPECIAL ISSUE: Inference and prediction on
financial risk management
Volume 17 Issue 1 - January/March 2001 (1 - 148)
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Online ISSN: 1526-4025 Print ISSN: 1524-1904
Publication Year: 2004 Volume 20 4 Issues
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Institutional Rate: $1290.00
Mathematical Methods in the
Applied Sciences
Individual articles available to buy online
This journal is concerned with those
mathematical methods, which are evidently
necessary for the further understanding and
thorough analysis of actual problems in the
applied sciences. Manuscripts, which are either
concerned mainly with numerical processes or
contain only the application of well established
methods, or do not result from specific problems in the applied
sciences will not be accepted for publication.
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Actuarial Science
Investment Mathematics
Statistical Size Distributions in
Economics and Actuarial Sciences
ANDREW ADAMS, University of Edinburgh. DAVID BOWIE,
Hymans Robertson, Actuaries & Consultants. PHILLIP BOOTH,
City University, London. PETER ENGLAND, English Matthews
Brockman. DELLA FREETH, City University, London.
CHRISTIAN KLEIBER, University Dortmund, Germany.
SAMUEL KOTZ, The George Washington University.
Recent developments in this growing field make this
book a key reference tool which studies the
distributional and statistical properties (including
characterisations, estimation of parameters, testing
hypotheses, and stochastic order operations) of a
multitude of distributions which are utilised as
models of size and income in economics and
actuarial sciences.
Investment Mathematics provides an introductory
analysis of investments from a quantitative viewpoint,
drawing together many of the tools and techniques
required by investment professionals. It offers simple
examination of a number of securities including fixed
interest bonds, equities and index-linked bonds,
concluding with coverage of applications including
modern portfolio theory, portfolio performance
measurement and stochastic investment models.
0-471-99882-6
January 2003
Pr
0-471-15064-9
August 2003
Hbk
352pp
436pp
COMING SOON – SPECIAL INTRODUCTORY PRICE..
Encyclopedia of Actuarial Science
JOZEF TEUGELS, Katholieke University of Leuven, Belgium.
BJØRN SUNDT, Vital Forsikring ASA, Norway.
The Encyclopedia of Actuarial Science presents a timely and
comprehensive body of knowledge designed to serve as an essential
reference for the actuarial profession and in all related business and
financial activities.
0-470-84676-3
Due August 2004
3 Vol Set
Hbk
CONTENTS
Articles in the Encyclopedia are presented in alphabetical sequence but
have been commissioned under the headings as shown below:
•
•
•
•
•
•
Claims Distributions
Collective Risk Theory
Direct Non-life Insurance
Economics
Finance
Life, Pension and Health
Insurance
• Organizations, Journals and
History
• Premium Calculation, Non-life
• Probability Theory
• Reinsurance
• Reserving, Non-life
• Statistics
5474