Mar 8, 2004 ... Finance www.wileyeurope.com .... Advanced Modelling in Finance Using Excel
and. VBA outlines a step-by-step approach to using the.
“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..
Individual articles available to buy online
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 Personal Rate: £85.00 / $130.00 Institutional Rate: $1100.00
■ SPECIAL ISSUE: Inference and prediction on financial risk management Volume 17 Issue 1 - January/March 2001 (1 - 148) For further information: http://www3.interscience.wiley.com/cgi-bin/jissue/77004756 Online ISSN: 1526-4025 Print ISSN: 1524-1904 Publication Year: 2004 Volume 20 4 Issues Personal Rate: $965.00 (£622.00) 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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WILMOTT Magazine – Serving the Quantitative Finance Community Independent, controversial and exciting, Wilmott Magazine brings you a valuable collection of papers, reports, and articles. Paul Wilmott and his team of expert contributors provide a unique mix of complex content and humour to inform and entertain analysts and academics alike. Wilmott Magazine offers you cutting-edge research, innovative models, new products, in-depth analysis, solutions, and gossip. We put to the test the latest quantitative finance theories with practical, jargon-free examples you can really use. It’s the easiest way for you to keep up to date with quantitative analysis, the institutions and the people who make it happen. Online ISSN: N/A Print ISSN: 1540-6962 Publication Year: 2004 6 Issues Subscription 1 year: £395.00 / US$595.00 For more details, or a sample copy, contact
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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
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