In keeping with the IAQF´s mission to define and foster the profession of financial engineering, the IAQF Bookstore offers a selection of titles, including some of those by our members, that represent the cutting edge in financial engineering.
If there is a title you think should be included in our list, please send an email to the IAQF.
by Bruce I. Jacobs
This book examines the 1987 stock market crash, mini-crashes in the 1990s, the 1998 collapse of hedge fund Long-Term Capital Management, the tech stock bubble that collapsed in 2000, the 2007–2008 credit crisis, the subsequent European debt crisis, flash crashes in 2010 and 2012, and the February 2018 short-volatility crash. It unravels and reveals the common threads connecting these market disruptions: opacity, complexity, leverage, large market-moving trades, option nonlinearity, trend-following trading with amplifying positive feedback, and illiquidity.
By Paul Darbyshire and David Hampton
**Wiley Global Finance is offering IAQF Members 40% off. Click here to log-in and get the discount code.**
The Blank Swan: The End of Probability
By Elie Ayache
Life Settlements and Longevity Structures
By Geoff Chaplin, Jim Aspinwall, and Mark Venn
The authors provide a detailed exploration of the mathematical formulae surrounding the generation of mortality curves, drawing a parallel between the tools deployed in the credit derivatives market and those available to model longevity risk. Structured products and securitisation techniques are introduced and explained, starting with simple vanilla products and models before illustrating some of the investment structures associated with life settlements. Capital market mechanisms available to assist the investor in limiting the risks associated with life settlement portfolios are outlined, as are opportunities to use life settlement portfolios to mitigate the risks of traditional capital markets. The last section of the book covers derivative products, either available now or under consideration, that will reduce or potentially eliminate longevity risks within life settlement portfolios. It then reviews hedging and risk management strategies and considers how to measure the effectiveness of risk mitigation.
The Handbook of Insurance-Linked Securities
By Pauline Barrieu (ed.) and Luca Albertini (ed.)
This book provides hands-on information essential for market participants, drawing on the insights and expertise of an impressive team of international market players, representing the various aspects and perspectives of this growing sector. The book presents the state of the art in Insurance-Linked Securitization, by exploring the various roles for the different parties involved in the transactions, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures and the key challenges faced by the market.
Active Credit Portfolio Management in Practice
By Jeffrey R. Bohn and Roger M. Stein
Active Credit Portfolio Management in Practice by Jeffrey R. Bohn and Roger M. Stein (Wiley, 2009) is a new text designed for credit risk practitioners, researchers and instructors. The book is written to be a comprehensive introduction to both the theory and real-world practice of credit portfolio management. It is technical enough both in terms of background and implementation to cover the mathematical details needed to understand and apply credit risk management tools; but at the same time, it avoids extensive technical proofs in favor of real applications. The text is unique in that it provides in depth discussion of practical implementation techniques as well as outlining the key organizational issues that arise in model implementations. Applications are illustrated with hands-on examples and anecdotes. The authors' Website provides additional software tools in the form of Excel spreadsheets, Matlab code and S-Plus code. Each section of the book concludes with review questions and exercises designed to spark further discussion and reflection on the concepts presented. You can learn more about the book at www.creditrisklib.com.
“…a masterful collection of accessible and practical guidance.”
From the foreword by Darrell Duffie
Portfolio Performance Measurement and Benchmarking
By Jon A. Christopherson, David R Carino and Wayne E. Ferson
"The first book of its kind, Portfolio Performance Measurement and Benchmarking is a complete guide to benchmarks and performance evaluation using benchmarks. In one inclusive volume, readers get foundational coverage on benchmark construction, as well as expert insight into specific benchmarks for asset classes and investment styles. Starting with the basics—such as return calculations and methods of dealing with cash flows—this thorough book covers a wide variety of performance measurement methodologies and evaluation techniques before moving into more technical material that deconstructs both the creation of indexes and the components of a desirable benchmark."
Fischer Black and the Revolutionary Idea of Finance
by Perry Mehrling
"In a 30-year career equally divided between academics (University of Chicago) and Wall Street, Black contributed seminal papers in almost every area of finance and many areas of economics, but few were published in major peer-reviewed journals and many were never published at all. He spent most of his time alone in a room thinking and writing, was uncomfortable in large groups, an undistinguished lecturer and famously eccentric in ways more irritating than amusing or dramatic. . . On the whole, Mehrling's book is essential reading for anyone interested in the development of modern finance or the life of an idiosyncratic creative genius."
Hedge Fund Risk Transparency: Unravelling the Complex and Controversial Debate
by Leslie Rahl
The only title that focuses solely on hedge fund transparency and offers a balanced perspective that appreciates both the needs of institutional investors and hedge fund managers. Includes ´perspectives´ based on interviews with numerous eminent practitioners from both sides of the investor/hedge fund debate.
How I Became a Quant: Insights from 25 of Wall Street's Elite
ed. by Richard R. Lindsey and Barry Schachter
"Firsthand accounts from the people who were swept into, and then helped fashion, today's "quant-driven," dynamic world of finance. Quants are the backbone of today's investment industry. Their mathematical models are now the basis for most financial market innovations, such as exotic derivatives, structured investment products, quantitative trading strategies, and portfolio selection. Their spectacular successes and failures have become part of market folklore. But what they do, and how they do it, is often as opaque and hard to understand as the formulas they create. In How I Became a Quant, more than two dozen quants tell their war stories and detail the unexpected paths they have followed from the halls of academia to Wall Street, revealing the faces behind the quant revolution."
*All royalties go to the Fischer Black Memorial Foundation.
by Kent Osban
"If and your colleagues do want insights to manage away actual risk, Iceberg Risk will be essential reading. True, you'll have to begin by acknowledging that, as Osband puts it, ´The risks you've been hired to manage are more likely bigger than you thought but harder to pin down.´ But if you can admit to that uncertainty, you'll learn invaluable techniques of genuine risk-management and gain the ability to steer your clients' portfolios (and perhaps even your own) safely into harbor."
The Mathematics of Derivatives
by Robert L. Navin
"This book is a very concise overview for mathematically sophisticated readers to get up to speed in derivatives modeling as quickly as possible.
Written by a practitioner (and IAQF member) schooled at the O'Connor options group in Chicago in the mid-90s who then went on to be head quant at Highbridge Capital for 6 years and then to co-run a hedge fund, it focuses very sharply on just the issues needed to fully understand risk neutral pricing and then build efficient finite difference grid models. It includes detailed descriptions of models of common derivative securities, such as convertible bonds and collateralized debt obligations, plus a very good sample question and answer section. Thus, the book really packs a punch at less than 200 pages!"
My Life as a Quant: Reflections on Physics and Finance
by Emanuel Derman
"Derman's tale recounts his adventures with quants, traders and other high fliers on Wall Street as he became the best-known quant in the business. He describes the struggles of research and his interactions with an assorted cast of famous scientists. He relates his impressions of some of the most creative minds on Wall Street, including Fischer Black, with whom he collaborated on the widely used Black-Derman-Toy model of interest rates. Throughout his story he reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets and the people that inhabit them."
Principles of Financial Engineering
by Salih N. Neftci
Treynor on Institutional Investing
by Jack L. Treynor
A Primer for the Mathematics of Financial Engineering
by Dan Stefanica
Bruce I. Jacobs and Kenneth N. Levy
This second edition embodies Jacobs and Levy’s 30 years of experience developing and implementing equity strategies to help institutional investors achieve their goals. It includes a new foreword by Nobel laureate Harry Markowitz. The book discusses investing concepts Jacobs and Levy introduced, such as “disentangling,” “pure returns,” “market complexity,” “multidimensional market,” “integrated long-short optimization,” “130-30 long-short portfolios,” “unique risks of leverage,” “leverage aversion,” and “mean-variance-leverage optimization.” It also covers the growing popularity of factor investing, episodes of market fragility and financial crises, and simulating security markets. Useful insights are provided based on their research, illustrating both the theoretical foundations and practical applications of modern quantitative investing.