World Sci Financial Engineering

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C o n n e c t i n g G r e a t M i n d s

INVESTMENTS AND PORTFOLIO PERFORMANCEedited by Edwin J Elton & Martin J Gruber (New York University, USA)

“To say that Elton and Gruber have been prolific is an understatement. Their work over many decades provides much of the key empirical evidence relied upon by financial economists and professional investors. This book contains key contributions from the last decade and some foundation papers as well. Included are detailed and creative empirical analyses of mutual funds, stock price behavior, bond pricing and the use (and misuse) of defined contribution plans. Appropriately, both authors have been elected Presidents of the American Finance Association — the highest honor the profession bestows. Their presidential addresses, included here, provide ample evidence of the reasons for their selection.”

William F SharpeSTANCO 25 Professor of Finance, Emeritus

Stanford University Nobel Prize Winner in Economics

416pp Dec 2010978-981-4335-39-3 US$128 £79978-981-4335-40-9(ebook) US$166

FINANCIAL DERIVATIVE INVESTMENTSAn Introduction to Structured Productsby Richard Bateson (University College London, UK)

Structured products are sold to a wide range of retail, high net worth and institutional investors, with over £15bn of structured investments sold in the UK in 2009. Based on a non-specialist graduate lecture course given at University College London (UCL), this book provides an invaluable introduction to the fast growing world of derivative investments and the technology used in their design, pricing and structuring.

The book gives a comprehensive overview of structuring and trading products based on the author’s extensive international experience in structuring investment products across a range of underlying asset classes, including equities, interest rates, credit and hybrids. The product coverage ranges from equity investments such as reverse convertibles and basket correlation products, to credit products such as first-to-default notes and the notorious “CDO2”.

350pp (approx.) May 2011978-1-84816-711-7 US$75 £50

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The Quarterly Journal of Finance (QJF)Editor: Fernando Zapatero (University of Southern California)

Advisory BoardGordon J. Alexander (University of Minnesota)George M. Constantinides (University of Chicago)David Hirshleifer (University of California, Irvine)Ravi Jagannathan (Northwestern University)Edward J. Kane (Boston College)Lemma Senbet (University of Maryland)René Stulz (Ohio State University)

Inaugural Issue (March 2011):• EquityTradinginthe21stCentury

(James J. Angel, Lawrence E. Harris and Chester S. Spatt)

• TheOriginofBehavior (Thomas J. Brennan and Andrew W. Lo)

• Metaphors,ModelsandTheories (Emanuel Derman)

• BP’sFailuretoDebias:Underscoringthe Importance of Behavioral Corporate Finance (Hersh Shefrin and Enrico Maria Cervellati)

• StockandOptionProportionsinExecutive Compensation (Phelim P. Boyle, Ranjini Jha, J.S. Kennedy and Weidong Tian)

Essential Titles in Financial Engineering

Electronic subscription for 2011 (Institutions & Individuals)

Signupnowat:www.worldscinet.com/qjfFREE


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ECONOMIC AND BUSINESS ANALYSISQuantitative Methods Using Spreadsheetsby Frank S T Hsiao (University of Colorado, Boulder, USA)This textbook introduces the computer skills necessary for modern-day undergraduate and graduate students to succeed in economic and business analysis. It features innovative applications of Excel commands, equations, formulas and graphics. In addition, the exposition of the basic concepts, models and interpretations are presented intuitively and graphically without compromising the rigor of analysis.

The book contains numerous engaging and innovative examples and problem sets. Practical applications are also highlighted, including the introduction and discussion of key concepts. They show how Excel can be used to solve theoretical and practical problems.

644pp Apr 2011978-981-283-492-8 US$96 £66

VALUATION OF EQUITY SECURITIESHistory, Theory and Applicationby Geoffrey Poitras (Simon Fraser University, Canada)

“The recent financial market collapse that led to the Great Recession of 2007–2009 is evidence that traditional efficient market theory of how markets evaluate equity securities is wrong. In this volume Geoffrey Poitras explains in understandable detail the (1) various theories that claim to explain the evaluation of securities, (2) why the conventional view can be incorrect, and (3) what factors must be taken into account in order to understand how the financial market evaluates equities. This book is a must read for economists, financial analysts and individual investors.”

Professor Paul Davidson, Visiting ScholarBernard Schwartz Center for Economic Policy Analysis

New School for Social Research, New York, USA764pp Dec 2010978-981-4295-38-3 US$88 £55

DEPENDENCE MODELINGVine Copula Handbookedited by Dorota Kurowicka (Delft University of Technology, The Netherlands) & Harry Joe (University of British Columbia, Canada)

“This book gives a clear and authoritative exposition of the vine methodology, which has recently emerged as a flexible tool for modeling high-dimensional data through pair-copula constructions. Leaders in the field join forces to provide a broad and insightful account of the existing theory as well as many new results of practical interest, from the enumeration and generation of regular vines to copula modeling and estimation using C-vines and D-vines. Many instructive illustrations and state-of-the-art applications are also presented, in static and dynamic contexts. Short of being ‘D-vine’, this important volume ought to become a classic of the copula literature and a useful reference for developers and practitioners alike!” Christian Genest, Professor of Statistics

McGill University, Montréal, Canada

368pp Dec 2010978-981-4299-87-9 US$110 £72978-981-4299-88-6(ebook) US$143

FINANCIAL VALUATION AND ECONOMETRICSby Kian Guan Lim (Singapore Management University)

“Professor Kian Guan, a respected scholar in the field of finance, has written two extremely valuable texts on ‘Financial Valuation and Econometrics’ and ‘Probability and Financial Theory’. These texts develop the core ideas of finance in the last 40 years and their applications in an accessible manner without sacrificing rigor. I recommend the texts for scholars teaching financial theory, capital markets, and financial engineering.”

Suresh M SundaresanChase Manhattan Bank Professor of Economics and Finance

Columbia Business School, University of Columbia, USA

This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics modeling, and the empirical analyses of financial data by applying appropriate econometric techniques. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and methods for investment and financial decision-making.

450pp Mar 2011978-981-4307-95-6 US$90 £56

Advanced Series on Statistical Science and Applied Probability - Vol. 13CHANGE OF TIME AND CHANGE OF MEASUREby Ole E Barndorff-Nielsen (Aarhus University, Denmark) & Albert Shiryaev (Steklov Mathematical Institute, Russia & Moscow State University, Russia)

Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.

324pp Nov 2010978-981-4324-47-2 US$70 £43

Series in Quantitative Finance - Vol. 2ADVANCED ASSET PRICING THEORYby Chenghu Ma (Fudan University, China)This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.

The analyses and coverage are up to date, comprehensive and in-depth. The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.

816pp Jan 2011978-1-84816-632-5 US$120 £74

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PROBABILITY AND FINANCE THEORYby Kian Guan Lim (Singapore Management University)

The book contains applications of both discrete time theory and continuous time mathematics, and is extensive in scope. Distribution theory, conditional probability, and conditional expectation are covered comprehensively and applications to modeling state space securities under market equilibrium are made.

Mar t inga le is s tud ied, lead ing to consideration of equivalent martingale measures, fundamental theorems of asset pricing, change of numeraire and discounting, risk-adjusted and forward-neutral measures, minimal and maximal prices of contingent claims, Markovian models, and the existence of martingale measures preserving the Markov property. Discrete stochastic calculus and multiperiod models leading to no-arbitrage pricing of contingent claims are also to be found in this book, as well as the theory of Markov Chains and appropriate applications in credit modeling. Measure-theoretic probability, moments, characteristic functions, inequalities, and central limit theorems are examined. The theory of risk aversion and utility, and ideas of risk premia are considered. Other application topics include optimal consumption and investment problems and interest rate theory.

300pp Apr 2011978-981-4307-93-2 US$65 £45

World Scientific-Nobel Laureate Series - Vol. 2WILLIAM F. SHARPESelected Worksedited by William F. Sharpe (Stanford University, USA)

William F. Sharpe received the Nobel Prize in Economics in 1990 for his work onequilibriumpricingincapitalmarkets.He was one of the originators of the Capital Asset Pricing Model, developed the Sharpe Ratio for investment performance analysis, the binomial method for the valuation of options, the gradient method for asset allocation optimization, and returns-based style analysis for evaluating the style and performance of investment funds.

This book consists of a collection of Dr Sharpe’s work in these and other areas.

712pp Apr 2011978-981-4329-95-8 US$188 £117978-981-4329-96-5(ebook) US$244

Advanced Series on Statistical Science and Applied Probability - Vol. 15HEDGING DERIVATIVESby Thorsten Rheinländer (London School of Economics and Political Science, UK) & Jenny Sexton (University of Manchester, UK)

Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process.

This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options.

250pp (approx.) May 2011978-981-4338-79-0 US$80 £50978-981-4338-80-6(ebook) US$104

THE RISK OF INVESTMENT PRODUCTSFrom Product Innovation to Risk Complianceedited by Michael CS Wong (City University of Hong Kong)

In the aftermath of the financial crisis of 2008, many financial institutions have been exploring new methods to measure investment product risk. Lawmakers have been developing new rules that protect investors better than before. The purpose is to mitigate the risk of financial institutions that distribute investment products to their clients.

This book presents professional views on investment product risk and analyzes complex investment product risk from various perspectives. Contributed by lawyers, risk managers, IT engineers and scholars, this book is an essential-read for financial regulators, bankers, investment advisors, financial engineers, risk managers, students and researchers.

350pp (approx.) Jul 2011978-981-4354-98-1 US$108 £70978-981-4354-99-8(ebook) US$140

STOCHASTIC ANALYSIS, STOCHASTIC SYSTEMS, AND APPLICATIONS TO FINANCEedited by Allanus Tsoi (University of Missouri, Columbia, USA), David Nualart & George Yin (University of Kansas, USA)

This book is an expanded version of the papers presented at the first Kansas-Missouri Winter School of Applied Probability, which was organized by Allanus Tsoi at the University of Missouri, 14 and 15 February 2008.

Readers will not only find the collection of the papers reported at the conference but also additional papers written by some famous researchers in their fields of stochastic systems and applications.

This book provides an up-to-date development of recent developments in stochastic analysis and systems. It also has many exciting applications in mathematics finance which will be of interest to researchers and graduate students.

280pp (approx.) Jun 2011978-981-4355-70-4 US$90 £59978-981-4355-71-1(ebook) US$117

Notable BacklistADVANCED COURSES OF MATHEMATICAL ANALYSIS IIIJuan M Delgado Sánchez (University of Huelva, Spain) et al.

CREDIT CORRELATIONAlexander Lipton (Merrill Lynch International, UK) et al.

ECONOMIC GROWTH AND TRANSITIONHui Ying Sng (Nanyang Technological University, Singapore)

GLOBAL VIEW OF BROWNIAN PENALISATIONS, AJNajnudel,BRoynette et al.

INDUSTRIAL AND APPLIED MATHEMATICS IN CHINATa-Tsien Li (Fudan University, China) et al.

INDUSTRIAL DEVELOPMENT IN EAST ASIAK Ali Akkemik (Baskent University, Turkey)

INFINITE DIMENSIONAL STOCHASTIC ANALYSISAmbar N Sengupta (Louisiana State University, USA) et al.

MARKOV-MODULATED PROCESSES AND SEMIREGENERATIVE PHENOMENAAntónio Pacheco (Technical University of Lisbon, Portugal) et al.

MODELING, MEASURING AND MANAGING RISKGeorg Ch Pflug (University of Vienna, Austria) et al.

RECENT DEVELOPMENT IN STOCHASTIC DYNAMICS AND STOCHASTIC ANALYSISJinqiaoDuan(Illinois Institute of Technology, USA) et al.

RISK MANAGEMENT AND VALUEMondher Bellalah (Université de Cergy-Pontoise, France) et al.

TOPOLOGICAL METHODS FOR SET-VALUED NONLINEAR ANALYSISEnayet U Tarafdar (The University of Queensland, Australia) et al.

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FINANCIAL MARKET RISKMeasurement and Analysis(2nd Edition)by Cornelis A Los (Claremont Graduate University, USA)

This important book challenges the conventional, prevailing statistical ergodicity paradigm of global financial market risk analysis, which maintains, inter alia, that financial market information (”news event”) processes are market-neutral.

This updated second edition includes new chapters on the measurement of changes in persistence around market crashes; comparing increasing pre-crash persistence to post-crash neutrality; new examples of wavelet multi-resolution analysis of the term structures in the US and in Japan; the difficulties experienced with simulating empirically observed anti-persistence and turbulence; potential arbitrage opportunities between financial markets with different degrees of persistence; and the proper valuation of non-traded executive options.

550pp (approx.) Spring 2012978-981-283-333-4 US$99 £68

Financial Engineering and Risk Management - Vol. 2OPTIONS ON EXTREMES AND AVERAGESby Farid AitSahlia (University of Florida, USA)

A bewildering number of financial products have been designed to hedge against specific risks. In parallel, a variety of numerical methods have been tailored to price these instruments. This book fills a current gap in the literature by providing a central source that relates the different financial contracts as well as the corresponding numerical approaches. Covering barrier, average and lookback options, both pricing and hedging methodologies are reviewed. In addition, these options are considered for both European- and American-style exercise, and discrete and continuous monitoring. Barrier options of Parisian type are addressed too. A self-contained publication, the book will appeal mainly to academic and professional circles in quantitative finance.

250pp (approx.) Nov 2011978-981-283-467-6 US$85 £58978-981-283-468-3(ebook) US$111

HANDBOOK ON ISLAMIC FINANCE INNOVATIONSIslamic Funds, Structured Products and Derivativesby Mondher Bellalah (Universite de Cergy-Pontoise, France)

This book explains the process of financial innovations in Islamic over-the-counter (OTC) markets, and covers the main concepts underlying Islamic funds, derivatives and other structures. Financial instruments are also analyzed, valued and explained within the framework of OTC markets. The book examines Islamic financial innovations, structures and funds in a structured manner: implementations, uses, and strategies in the financial industries are thoroughly examined. In particular, practical aspects of Islamic funds, hedge funds, lease structures, energy products, and index funds are investigated in great detail.

500pp (approx.) Dec 2011978-981-4313-74-2 US$128 £79978-981-4313-75-9(ebook) US$166

FINANCIAL ECONOMICS, RISK AND INFORMATION(2nd Edition)by Marcelo Bianconi (Tufts University, USA)

Financial Economics, Risk and Information presents the fundamentals of finance in static and dynamic frameworks with focus on risk and information. The objective of this book is to introduce undergraduate and first-year graduate students to the methods and solutions of the main problems in finance theory relating to the economics of uncertainty and information. The main goal of the second edition is to make the materials more accessible to a wider audience of students and finance professionals. The focus is on developing a core body of theory that will provide the student with a solid intellectual foundation for more advanced topics and methods. The new edition has streamlined chapters and topics, with new sections on portfolio choice under alternative information structures. In general, the book presents a balanced introduction to the use of stochastic methods in discrete and continuous time in the field of financial economics.

500pp (approx.) Aug 2011978-981-4355-13-1 US$118 £77

Series in Quantitative Finance - Vol. 3OPTION PRICING IN INCOMPLETE MARKETSModeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measuresby Yoshio Miyahara (Nagoya City University, Japan)

This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Lévy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure.

200pp (approx.) Aug 2011978-1-84816-347-8 US$88 £61978-1-84816-348-5(ebook) US$114

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World Scientific Series in FinanceBRIDGING THE GAAPRecent Advances in Finance and Accountingedited by Itzhak Venezia & Zvi Wiener (The Hebrew University of Jerusalem, Israel)

Bridging the GAAP: Recent Advances in Finance and Accounting aims to promote a stronger interface between researchers in accounting and finance that will enhance the understanding of the similarities and differences between these two fields. Such dialog will also acquaint researchers in each area with significant recent advances in the other area, and will enable a cross fertilization of thoughts, from which both can significantly benefit. This consolidates the efforts to bridge the gap between finance and accounting by looking at diverse topics in accounting and finance and providing interesting points of view on different topics. The book combines new developments in the area of theoretical finance and accounting, and the convergence of these two approaches to better serve investors and the general public.

330pp (approx.) Nov 2011978-981-4350-00-6 US$110 £72978-981-4350-01-3(ebook) US$143

WORLD SCIENTIFIC SERIES IN FINANCE(ISSN: 2010-1082)

Series Editor: William T Ziemba (University of British Columbia and Oxford University)

This series of books is intended to provide up to date presentations of key topics in finance through single and multiple authored monographs, collected works of noted scholars, surveys of defined subfields of finance, research reference volumes written or edited, textbooks and other publications.


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COMPUTATIONAL FINANCEA Scientific Perspective(2nd Edition)by Cornelis A Los (Claremont Graduate University, USA)

Review of the First Edition:“We recommend the book to all researchers in economics interested in computational finance methods, and also to probabilists and statisticians interested to compare the above methodology with their heavy machinery of stochastic processes.”

Mathematical Reviews

This book outlines the epistemic (modeling) risks associated with the valuation of current financial instruments and their corresponding risk management strategies. By adding three new chapters, this second edition now takes the reader right up to the most advanced methods of optimal multi-country-asset-currency portfolio management and persistence analysis of international financial markets, impacting the modern valuation of risk by options.


ELEMENTS OF STOCHASTIC FINANCETheory, Methods, and Computationby Frederi G Viens, JoséEnriqueFigueroa-López (Purdue University, USA) & Alexandra Chronopoulou (Institut National de Recherche en Informatique et Automatique, France)

Rather than presenting mathematical topics as a succession of theorems and proofs, the book adopts a compact and to-the-point character, justifying formulas in a way that motivates their usage, thus covering a wide array of important models and quantitative tools in a didactic fashion. Special topics not easily found in textbooks at this level are included: volatility estimation and calibration, incomplete market such as stochastic volatility models, energy and weather derivatives, credit risk and credit derivatives, jump diffusions. The text provides specific numerical techniques for financial algorithms, from multinomial and finite-difference methods, to variance reduction for Monte–Carlo methods, to special algorithms for stochastic interest rates and American options.

400pp (approx.) Summer 2012978-981-4307-36-9 US$78 £51978-981-4307-37-6(pbk) US$38 £25

FINANCIAL HACKINGHow to Quickly Solve Financial Engineering Puzzles and Price Any Exotic Derivativesby Philip Maymin (New York University, USA)

This book teaches financial engineering the way it ought to be taught: as tools and a way of thinking to solve real-world problems. Projects and simulations are not just exercises in this book, but its heart and soul. You will not only learn how to do state-of-the-art simulations and build exotic derivatives valuation models, you will also learn how to quickly make reasonable inferences based on incomplete information.

This book will give you the expertise to make significant progress in understanding brand new derivatives given only a preliminary term sheet, thus making you extraordinarily valuable to banks, brokerage houses, trading floors, and hedge funds.

300pp (approx.) Dec 2011978-981-4322-55-3 US$70 £43

World Scientific Series in FinanceQUANTITATIVE METHODS IN RISK ANALYSISA Practioner’s Guideby Michael Foster & Leonard MacLean (Dalhousie University, Canada)

This book is a great reference text for MBA and MA Economics and Finance students, as well as for professional covering a broad range of topics dealing with quantifying risk in a variety of decision-making settings. The book provides readers with rigorous techniques for applied risk problems, offering a broad scope of simulation techniques with minimal mathematical background required.

Key Features:• Rigoroustechniquesforappliedriskproblems• Broadscopeofsimulationtechniques• Minimalmathematicalbackgroundrequired


SECURITY ANALYSIS AND PORTFOLIO MANAGEMENTby Cheng Few Lee (Rutgers University, USA), Joseph Finnerty (University of Illinois, Urbana-Champaign, USA), John Lee (Center for PBBEF Research, USA) & Donald Wort (California State University East Bay, USA)

Security Analysis and Portfolio Management integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles.

Key Features:• ThisbookisarevisionofatextbookpublishedbyAddison-Wesley

in 1990 which integrates topics of modern investment analysis with practical applications and up-to-date data and examples. Both basic concepts and advanced principles are covered

• Thecoverageisbroadandtherearecurrentlyfewcomprehensivetextbooks in the market which attempt to bring theory to practice

• “Practice-oriented”chapters,suchastheoneonmarketindexesareuseful in teaching students the basics of index information, calculation, and usage and also illustrating the important roles that these indexes play in model formation, performance evaluation, investment strategy, and hedging techniques

900pp (approx.) Summer 2012978-981-4343-56-5 US$125 £81

THE VALUE OF UNCERTAINTYModel Risk in the Equity Derivative Marketsby George Kaye (UBS Investment Bank, UK)

The Value of Uncertainty begins by tracing the growth in the equity derivative markets prior to the events of September 2008, and demonstrates how exotic derivatives formed a significant component of that growth. It goes on to show that, with this growth, the mere decision of whether to use one model versus another became a significant contributor to valuation uncertainty. The book then focuses on equity derivative models, charting, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but always maintains a strong focus on intuition and practical applicability to the current market.

300pp (approx.) Dec 2011978-1-84816-772-8 US$63 £41

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ALTERNATIVE INVESTMENTS AND STRATEGIESedited by Rüdiger Kiesel (Universität Ulm, Germany), Matthias Scherer & Rudi Zagst (Technische Universität München, Germany)“… the chapters are well coordinated and logically combined, which helps the reader keep the big picture in mind and follow the common themes … Numerous graphs, diagrams, and tables make the book very accessible, enjoyable to read, and easy to understand … Alternative Investments and Strategies is an excellent and profound introduction to the world of alternative assets and trading strategies. I recommend this book to academics and to practitioners who have a sound background in quantitative finance. If you are interested not only in asset classes other than those usually treated in standard theory, but also in innovative extensions of the classical mean-variance portfolio approach, this is the book for you.”

Financial Markets and Portfolio Management416pp Jun 2010978-981-4280-10-5 US$120 £74978-981-4280-11-2(ebook) US$156

Advanced Series on Statistical Science and Applied Probability - Vol. 14RUIN PROBABILITIES(Second Edition)by Søren Asmussen (Aarhus University, Denmark) & HansjörgAlbrecher (University of Lausanne, Switzerland)

Reviews of the First Edition“No other book covers such a vast area, at least none that is so up-to-date … one can see that Ruin Probabilities is invaluable for researchers in risk theory and perhaps other fields in applied probability. The book can also be used as a textbook for a graduate-level course on ruin theory … The teacher’s task is made easy by the recommendation on the introduction on how to get started with the book, and then how to proceed in a second reading.” Journal of the American Statistical Association

620pp Sep 2010978-981-4282-52-9 US$111 £76978-981-4282-53-6(ebook) US$144

RECENT ADVANCES IN FINANCIAL ENGINEERING 2009Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009Otemachi, Sankei Plaza, Tokyo, 3 – 4 August 2009edited by MasaakiKijima (Tokyo Metropolitan University, Japan), Chiaki Hara (Kyoto University, Japan), Keiichi Tanaka & Yukio Muromachi (Tokyo Metropolitan University, Japan)

This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University’s Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue. These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one.

284pp Jun 2010978-981-4299-89-3 US$135 £93978-981-4304-07-8(ebook) US$176

STOCHASTIC FILTERING WITH APPLICATIONS IN FINANCEby Ramaprasad Bhar (The University of New South Wales, Australia)

“The book is remarkably self-contained and offers the reader a comprehensive view of the mathematical foundations of optimal filtering. The exposition is both intuitive and user-friendly. Its application-driven approach makes the reading enjoyable for both an expert and a beginner. This highly readable book should provide sufficient intellectual background to financial economists to understand the recent literature on stochastic filtering and also to use this method in their own research.”

Professor A G (Tassos) MalliarisWalter F Mullady, Sr. Professor of Economics and Finance,

Loyola University Chicago356pp Aug 2010978-981-4304-85-6 US$111 £76978-981-4304-86-3(ebook) US$144

Atlantis Studies in Mathematics for Engineering and Science - Vol. 6THE OMEGA PROBLEM OF ALL MEMBERS OF THE UNITED NATIONSby Ethelbert Nwakuche Chukwu (North Carolina State University, USA)The book prescribes verifiable broad policies for all nations together to promote prosperity, diffusion of wealth and longevity. It comes with full programs, output and identified equations which can be downloaded from the publishers’ website. Detailed information is available inside the book.

220pp Sep 2010978-90-78677-19-2 US$120 £79

Notable BacklistACTUARIAL SCIENCEHanjiShang (Fudan University, China)APPLICATION OF QUANTITATIVE TECHNIQUES FOR THE PREDICTION OF BANK ACQUISITION TARGETSFotios Pasiouras (Coventry University, UK & Technical University of Crete, Greece) et al.ASSOCIATIVE FUNCTIONS: TRIANGULAR NORMS AND COPULASClaudi Alsina (Universitat Politècnica de Catalunya, Barcelona, Spain) et al.FISHER MODEL AND FINANCIAL MARKETS, THERichard D MacMinn (Illinois State University, USA)MATHEMATICAL TECHNIQUES IN FINANCIAL MARKET TRADINGDon K Mak (formerly with Federal Government Research Laboratories, Canada)NASDAQ MARKET SIMULATION, AVince Darley (President & CEO of Eurobios, UK) et al.RECENT ADVANCES IN FINANCIAL ENGINEERINGMasaakiKijima (Tokyo Metropolitan University, Japan) et al.STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCEJiro Akahori (Ritsumeikan University, Japan) et al.SUPPLY CHAIN AND FINANCEPanos M Pardalos (University of Florida, USA) et al.WORLD OF RISK MANAGEMENT, THEH Gifford Fong (Editor, Journal of Investment Management, USA)


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GLOBAL DERIVATIVE DEBACLESFrom Theory to Malpracticeby LaurentLJacque (Tufts University, USA & HEC School of Management, France)

“This timely and well-written book is a ‘must read’ for anyone directly or indirectly involved in financial markets and instruments as well as risk management. By telling actual stories of how rogue traders and incompetent managers put their firms at risk, the author demystifies the complex world of financial derivatives. His incisive and in-depth analysis of all major derivatives debacles should help the reader understand what happened and avoid future disasters.”

Gabriel HawawiniThe Henry Grunfeld Professor of Investment Banking, INSEAD

336pp Apr 2010978-981-283-770-7 US$54 £36978-981-4366-19-9(pbk) US$29 £19978-981-283-771-4(ebook) US$70

NONSTANDARD METHODS IN FUNCTIONAL ANALYSISLectures and Notesby Siu-Ah Ng (University of KwaZulu-Natal, Pietermaritzburg, South Africa)

In the early 1960s, by using techniques from the model theory of first-order logic, Robinson gave a rigorous formulation and extension of Leibniz’ infinitesimal calculus. Since then, the methodology has found applications in a wide spectrum of areas in mathematics, with particular success in the probability theory and functional analysis. In the latter, fruitful results were produced with Luxemburg’s invention of the nonstandard hull construction. However, there is still no publication of a coherent and self-contained treatment of functional analysis using methods from nonstandard analysis. This publication aims to fill this gap.

340pp Apr 2010978-981-4287-54-8 US$96 £66978-981-4287-55-5(ebook) US$125

DERIVATIVES ALGORITHMSVolume 1: Bonesby Tom Hyer (UBS, UK)

“Aristotle once said ‘Those who know, do. Those who understand, teach.’ The quantitative finance community is very lucky that Tom Hyer, who both knows and understands, has written this short book. It covers a lot of ground and shows the why and the how of industrial-scale derivatives pricing and risk management. This book is a must for practitioners, and useful for academics as well.”

Alexander Lipton, Co-head of the Global Quantitative Group, Bank of America Merrill Lynch & Visiting Professor of Mathematics,

Imperial College London

Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation.

320pp Apr 2010978-981-4289-80-1 US$58 £38978-981-4289-88-7(ebook) US$75

UNDERSTANDING GAME THEORYIntroduction to the Analysis of Many Agent Systems with Competition and Cooperationby Vassili N Kolokoltsov (The University of Warwick, UK) & Oleg A Malafeyev (St. Petersburg State University, Russia)

The book gives a concise but wide-ranging introduction to games including older (pre-game theory) party games and more recent topics like elections and evolutionary games and is generously spiced with excursions into philosophy, history, literature and politics. A distinguished feature is the clear separation of the text into two parts: elementary and advanced, which makes the book ideal for study at various levels.

To stimulate the mathematical and scientific imagination, graphics by a world-renowned mathematician and mathematics imaging artist, A T Fomenko, are used. The carefully selected works of this artist fit remarkably into the many ideas expressed in the book.

300pp Jan 2010978-981-4291-71-2 US$82 £54

Advanced Studies in Pure Mathematics - Vol. 53ADVANCES IN DISCRETE DYNAMICAL SYSTEMSedited by Saber Elaydi (Trinity University), Kazuo Nishimura, Mitsuhiro Shishikura (Kyoto University) & Nobuyuki Tose (Keio University)

This volume contains the proceedings of talks presented at the 11th International Conference on Difference Equations and Applications (ICDEA 2006). It will be titled “International conference on Advances in discrete dynamical systems”. ICDEA 2006 was held on July 2006 in Kyoto at the 15th MSJ International Research Institute. These proceedings comprise new results at the leading edge of many areas in difference equations and discrete dynamical systems and their various applications to the sciences, engineering, physics, and economics.

398pp Jun 2009978-4-931469-49-5 US$65 £49

Published by Mathematical Society of Japan and distributed by World Scientific Publishing Co. for all markets except North America

Imperial College Press Optimization Series - Vol. 1MOMENTS, POSITIVE POLYNOMIALS AND THEIR APPLICATIONSby Jean Bernard Lasserre (LAAS-CNRS & Institute of Mathematics, University of Toulouse, France)

“Beginners in areas related to optimization theory, such as control theory, statistics, mathematical finance, computer science, numerical analysis or even mathematical physics can use the monograph by Lasserre as a textbook, finding there all necessary steps for entering into this new fascinating territory. Experts in real algebra, real algebraic geometry, functional analysis and all other subjects mentioned above can use the book as a desk reference and historical-bibliographical guide … the topics of Lasserre’s text are so fresh and explosive because for the first time here the functional analytic positivity met real algebra positivity in a versatile applied framework.”

Mihai Putinar, University of California at Santa Barbara, USA

384pp Oct 2009978-1-84816-445-1 US$96 £63978-1-84816-446-8(ebook) US$125

Bestseller Textbook

New in Paperback*



PATH INTEGRALS IN QUANTUM MECHANICS, STATISTICS, POLYMER PHYSICS, AND FINANCIAL MARKETS (5th Edition)by Hagen Kleinert (Freie Universität Berlin, Germany)“Nobody possibly is better suited to write a book about path integrals than Hagen Kleinert. He contributed extensively to the method. Feynman, who pioneered the technique, stopped teaching the path integral approach to quantum mechanics when he realized that he could not solve, by this technique, such a fundamental problem as the hydrogen atom. He suggested the problem to Kleinert who finally did solve it … In addition to covering these subjects in great detail, the technique is applied to polymer physics (effect of topological restrictions such as in entanglement problems), tunneling and non-equilibrium processes. This is an advanced textbook, rigorous, thorough and complete.”

Physics in Canada1624pp May 2009978-981-4273-55-8 US$168 £126978-981-4273-56-5(pbk) US$48 £32978-981-4273-57-2(ebook) US$218

THE HANDBOOK OF MICROFINANCEedited by Beatriz Armendáriz (Harvard University, USA) & Marc Labie (Université de Mons, Belgium)

The Handbook of Microfinance gathers selected work from academics and field practitioners. In an attempt to understand the enormous gap between the limited number of clients that are currently benefiting from microfinance services, and the huge number of potential clients that are not, the selected contributions in this handbook have one common tread: the prevailing mismatch between demand by clients of microfinance institutions and potential clients selecting themselves out for their demand for a wider array of financial products is not being met.

700pp Apr 2011 978-981-4295-65-9 US$190 £124978-981-4295-66-6(ebook) US$247

Foundations and Trends® in FinanceTHE EXPERIMENTAL STUDY OF ASSET PRICING THEORYby Peter Bossaerts (California Institute of Technology, USA & Ecole Polytechnique Fédérale Lausanne, Switzerland)

The Experimental Study of Asset Pricing Theory is the first review of experimentation in asset pricing, which is both rare and novel. The goal of experimentation is twofold. First, experimentation is meant to evaluate the science behind asset pricing theory. Second, the goal of experimentation is to come to a deeper understanding of asset pricing theory. Asset pricing theory also builds on competitive equilibrium, but competitive equilibrium is an abstract notion; how can we get to it in the laboratory? The author builds on the path-breaking work of Vernon Smith and Charlie Plott who demonstrated that certain trading institutions indeed allow us to generate competitive equilibrium.

84pp Nov 2009978-1-60198-292-6(pbk) US$65 £58 €65

Foundations and Trends® in FinanceHEDGE FUND ACTIVISMA Review by Alon Brav (Duke University and NBER, USA), Wei Jiang (Columbia University, USA) & Hyunseob Kim (Duke University, USA)

Hedge Fund Activism begins with a brief outline of the research literature and descr ibes datasets on hedge fund activism. It examines the goals and tactics employed by hedge fund activists and analyzes the characteristics of firms that activist hedge funds target. The authors address the fundamental question of whether hedge fund activism creates value for shareholders by examining short- and long-run stock returns and changes in operating performance of target firms. The evidence in the literature indicates that hedge fund activism is successful in achieving the goals of creating value for shareholders of the target companies. Finally, the authors examine returns to investors in activist hedge funds and conclude with ideas for future research.

72pp Apr 2010978-1-60198-338-1(pbk) US$60 £55 €60

Foundations and Trends® in FinanceMODELING THE TERM STRUCTURE OF INTEREST RATESA Review of the Literatureby RajnaGibson (University of Geneva, Switzerland), Francois-Serge Lhabitant(Thunderbird) & Denis Talay (INRIA, France)

Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The authors offer a unifying framework in which most continuous-time term structure models can be viewed and compared in terms of their similarities, their idiosyncratic features, and their main contributions and limitations.

172pp Aug 2010978-1-60198-372-5(pbk) US$99 £83 €99

Published by Now Publishers and marketed by World Scientific

Notable BacklistASSET PRICINGJianping Mei (New York University, USA) et al.EXOTIC OPTIONSPeter G Zhang (Chief Financial Engineering Advisor and Senior Director of Research & Development Center, Shanghai Futures Exchange, China)FUZZY SETS IN MANAGEMENT, ECONOMICS AND MARKETINGConstantin Zopounidis (Technical University of Crete, Greece) et al.HYPERMODELS IN MATHEMATICAL FINANCESiu-Ah Ng (University of Natal-Pietermaritzburg, South Africa)INTELLIGENT AND OTHER COMPUTATIONAL TECHNIQUES IN INSURANCEA F Shapiro (Penn State University, USA) et al.NON-GAUSSIAN MERTON-BLACK-SCHOLES THEORYSvetlana I Boyarchenko (University of Texas at Austin, USA) et al.ORDINARY SHARES, EXOTIC METHODSFrancis Eng-Hock Tay (National University of Singapore) et al.PRINCIPLES OF INFINITESIMAL STOCHASTIC AND FINANCIAL ANALYSISImme van den Berg (Universidade de Évora, Portugal)QUANTITATIVE ANALYSIS IN FINANCIAL MARKETSMarco Avellaneda (Courant Institute, New York University, USA)SCIENCE OF FINANCIAL MARKET TRADING, THEDon K MakWEALTH FOREVERSarkis Joseph Khoury (University of California, Riverside, USA) et al.

TiTLE OF iNTErEST


9 www.icpress.co.uk

QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIESIn the Presence of Counterparty Credit Risk for the Fixed-Income Marketby Yi Tang (Morgan Stanley & Co. Inc., USA) & Bin Li (Ping Capital Management, Ltd., USA)

“This state of the art text emphasizes various contemporary topics in fixed income derivatives from a practitioner’s perspective. The combination of martingale technology with the author’s expert practical knowledge contributes hugely to the book’s success. For those who desire timely reporting straight from the trenches, this book is a must.” Peter Carr, PhD,

Head of Quantitative Financial Research Director of the Masters in Math Finance Program

Bloomberg LPCourant Institute, NYU

520pp Jan 2007978-981-02-4079-0 US$165 £109978-981-270-665-2(ebook) US$215

THEORY OF VALUATION(Second Edition)edited by Sudipto Bhattacharya (London School of Economics, UK) & George M Constantinides (University of Chicago, USA)

The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz. Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist.

388pp Jul 2005978-981-256-374-3 US$137 £90978-981-270-102-2(ebook) US$178

ASSET PRICINGA Structural Theory and Its Applicationsby Bing Cheng (Chinese Academy of Science, China) & Howell Tong (London School of Economics, UK)

Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.

92pp Jul 2008978-981-270-455-9 US$69 £45978-981-283-250-4(ebook) US$90

MODELLING FINANCIAL TIME SERIESSecond Editionby Stephen J Taylor (Lancaster University, UK)

This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks.

This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends.

296pp Dec 2007978-981-277-084-4 US$118 £78978-981-277-085-1(ebook) US$153

Advanced Series on Statistical Science and Applied Probability - Vol. 11STOCHASTIC MODELING OF ELECTRICITY AND RELATED MARKETSby Fred Espen Benth, JūratėŠaltytėBenth(University of Oslo, Norway) & Steen Koekebakker (University of Agder, Norway)

“This book provides a concise and rigorous treatment on the stochastic modeling of energy markets … It is easy to read and understand, and it’s very interesting … It will be useful for researchers in stochastic modeling of energy derivatives, graduate students specializing in this area of financial mathematics and practitioners who work in energy markets.”

Professor Anatoliy Swishchuk, University of Calgary

352pp Apr 2008978-981-281-230-8 US$140 £92978-981-281-231-5(ebook) US$182

FINANCIAL DERIVATIVES PRICINGSelected Works of Robert Jarrowby Robert A Jarrow (Cornell University, USA)

“This major selection of papers of Robert Jarrow, though only a fraction of his amazing output over nearly three decades, exemplifies his leadership in the world of financial mathematics and financial engineering, even before these fields were named. Always ahead of others with new methods, always relevant to real issues in financial markets, Jarrow covers all of the bases. Anyone who wants to see the path of development of these fields can find it in this great book.”

Darrell Duffie Witter Distinguished Professor of Finance,

Stanford University608pp Oct 2008978-981-281-920-8 US$140 £92978-981-281-922-2(ebook) US$182

World Scientific-Nobel Laureate Series - Vol. 1HARRY MARKOWITZSelected Worksedited by Harry M Markowitz(University of California, San Diego, USA)

“This comprehensive anthology intelligently groups the rich body of writings by Harry Markowitz into ‘chapters’ corresponding to his brilliant professional and scholarly career. Beyond offering an impress ive co l lec t ion o f contributions, each chapter opens with a commentary on its contents, thereby adding philosophical and historical perspective to the subject matter. The book deserves the attention (and a prominent place on the bookshelf) of all investment scientists, operations researchers, and historians of economic science.”

Richard W Cottle, Professor Emeritus Stanford University, USA

716pp Mar 2009978-981-283-363-1 US$172 £113978-981-283-365-5(ebook) US$224

NOTABLE AND BESTSELLiNG TiTLES



GLOBAL DERIVATIVES: PRODUCTS, THEORY AND PRACTICEedited by Eric Benhamou (Pricing Partners, France)

“This book presents details on products, models and pricing tools that are used in quantitative finance not often mentioned in academic books, attempting to provide a practical approach. It will appeal as an introductory material to both students and practitioners and may be used for financial engineering courses.”

Zentralblatt MATH

This book provides a broad description of the financial derivatives business from a practitioner’s point of view, with a particular emphasis on fixed income derivatives, a specific development on fixed income derivatives and a practical approach to the field.

412pp Apr 2007978-981-256-689-8 US$121 £80

PRICING DERIVATIVE SECURITIES(Second Edition)by Thomas W Epps (University of Virginia, USA)

“An excellent state-of-the-art presentation that brings the reader up to speed in short and solid order. The reader will welcome the exposition of essential mathematical prerequisites that are succintly covered, along with a precise treatment of recent advances in modeling asset price processes with the richer probabilistic structure of discontinuous processes, in both its theoretical and operational aspects.”

Dilip Madan, University of Maryland

644pp Jun 2007978-981-270-033-9 US$121 £80978-981-283-397-6(pbk) US$58 £31

Advanced Series on Statistical Science and Applied Probability - Vol. 12AN ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELINGby Nicolas Privault (City University of Hong Kong)

“All this and a little more is done in 133 pages, including exercises, making this text an attractive choice for a one-semester course at the graduate level.”


This textbook is written as an accessible introduction to interest rate modeling and related derivatives, which have become increasingly important subjects of interest in financial mathematics. The models considered range from standard short rate to forward rate models and include more advanced topics such as the BGM model and an approach to its calibration.

192pp Oct 2008978-981-283-273-3 US$69 £45

AN UNDERGRADUATE INTRODUCTION TO FINANCIAL MATHEMATICS(Second Edition)by J Robert Buchanan (Millersville University, USA)

This textbook introduces the Theory of Interest, discrete and continuous random variables and probability, stochastic processes, linear programming, the Fundamental Theorem of Finance, option pricing, hedging and portfolio optimization.

The reader progresses from a solid grounding in multi-variable calculus through a derivation of the Black–Scholes equation, its solution, properties and applications.

372pp Sep 2008978-981-283-535-2 US$69 £45

Series in Quantitative Finance - Vol. 1AN INTRODUCTION TO COMPUTATIONAL FINANCEby Ömür Ugur (Middle East Technical University, Turkey)

“This book will help readers to improve their mathematical and computational backgrounds for more advanced topics.”

Zentralblatt MATH

Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them here to create a work which has its own characteristics in content and style.

This invaluable book provides working Matlab codes not only to implement the algorithms presented in the text, but also to help readers code their own pricing algorithms in their preferred programming languages. Availability of the codes under an Internet site is also offered by the author.

316pp Dec 2008978-1-84816-192-4 US$108 £72

NOTABLE AND BESTSELLiNG TEXTBOOKS

Notable BacklistEXOTIC DERIVATIVES AND RISKMondher Bellalah (Université de Cergy-Pontoise, France; Dubai Group, UAE)FIRST COURSE IN PROBABILITY AND STATISTICS, AB L S Prakasa Rao (University of Hyderabad, India)FIRST LOOK AT RIGOROUS PROBABILITY THEORY, A(Second Edition)Jeffrey S Rosenthal (University of Toronto, Canada)INFORMATION TECHNOLOGY INVESTMENT(2nd Edition)MarcJSchniederjans (University of Nebraska–Lincoln, USA) et al.MATHEMATICAL MODELING AND METHODS OF OPTION PRICINGLishang Jiang (Tongji University, China)MATLABAntonio Siciliano (University of Bari, Italy)PRACTICAL GUIDE TO COMPUTER SIMULATIONS(With CD-ROM)Alexander K Hartmann (University of Oldenburg, Germany)STOCHASTIC DIFFERENTIAL EQUATIONS WITH MARKOVIAN SWITCHINGXuerong Mao (University of Strathclyde, UK) et al.STATISTICS FOR BUSINESS AND FINANCIAL ECONOMICS(Second Edition)Cheng F Lee (Rutgers University) et al.


11 www.icpress.co.uk

Advanced Series on Statistical Science and Applied Probability - Vol. 6ELEMENTARY STOCHASTIC CALCULUS, WITH FINANCE IN VIEWby Thomas Mikosch (University of Groningen)

“… this is a well-written book, which makes the difficult object of mathematical finance easy to understand also for non-mathematicians. It might be useful for economics students and all practitioners in the field of finance who are interested in the mathematical methodology behind the Black-Scholes model.” Statistical Papers

This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory.

224pp Oct 1998978-981-02-3543-7 US$55 £37

Advanced Series on Statistical Science and Applied Probability - Vol. 3ESSENTIALS OF STOCHASTIC FINANCEFacts, Models, Theoryby Albert N Shiryaev (Steklov Mathematical Institute & Moscow State University)

“This is a remarkable text, containing a huge amount of interesting material on modern stochastic finance. Especially the young (novice) researcher in the field will find it a very useful basis of results essential for further research. The set of references is impressive and the level of writing is clear and pedagogically sound … a much more in-depth treatment of a very wide and encompassing range of stochastic models is given. In summary: a text to be recommended warmly.”

International Statistical Institute

852pp Jan 1999978-981-02-3605-2 US$162 £107978-981-238-519-2(ebook) US$211

MATHEMATICAL METHODS FOR FOREIGN EXCHANGEA Financial Engineer’s Approachby Alexander Lipton (Merrill Lynch International, UK)

“In his monumental book … Alexander Lipton presents us with a tour-de-force of maths for finance … Many of the ideas presented can be readily transposed to other markets, e.g., equities, commodities and interest rates … [T]he range of novel mathematical methods illustrated in the book is staggering … [T]here is much to gain from reading this book, whether one is interested in FX markets specifically or in financial engineering in general.” GARP Risk Review

This comprehensive book is self-contained, with the necessary mathematical, economic, and trading background carefully explained.

700pp Oct 2001978-981-02-4615-0 US$129 £85978-981-02-4823-9(pbk) US$82 £54

QUANTITATIVE FINANCE AND RISK MANAGEMENTA Physicist’s Approachby Jan W Dash (Moore Capital Management, LLC)

“… this document brings a wealth of practical information on how work is done in real world financial markets, and covers an impressive number of topics, ranging from management and computer system issues to research themes whose potential applications are yet to be explored. It can prove a useful tool to anyone already well acquainted with the basics of mathematical finance, including financial mathematicians, but also quantitative analysts wishing to learn more of the fundamentals without paying too high a price in mathematical prerequisites.”


804pp Jul 2004978-981-238-712-7 US$157 £104

LECTURES ON CORPORATE FINANCE(Second Edition)by Peter Bossaerts (California Institute of Technology & Center for Economic Policy Research, USA) & Bernt Arne Ødegaard (BI Norwegian School of Management, Norway)

Review of the First Edition:“… this is an excellent textbook in corporate finance. The book is based on a number of fundamental axioms and principles that operate as a unifying theme. A remarkable coherence is achieved between the chapters on derivative pricing and capital structure. Despite the high level of abstraction, the exposition is extremely clear, intuitive and concise. The book therefore deserves a place on the bookshelf of every finance professor and student in finance.” Journal of Finance

In this second edition, explanations have been improved, based on the authors’ experience teaching the material, especially concerning the scope of state-price probabilities in Chapter 12.

268pp Oct 2006978-981-256-899-1 US$69 £47

INTRODUCTION TO STOCHASTIC CALCULUS WITH APPLICATIONS(Second Edition)by Fima C Klebaner (Monash University, Australia)

“The material in the book is presented concisely … it contains many worked out examples while the stochastic calculus is presented in a concentrated but transparent form.”

Professor Robert Liptser, Tel Aviv University

This book presents a concise treatment of stochastic calculus and its applications. Self-contained and unified in presentation, it contains many solved examples and exercises.

Instructors can obtain slides of the text from the author.

432pp Jun 2005978-1-86094-555-7 US$85 £52978-1-86094-566-3(pbk) US$51 £29

NOTABLE AND BESTSELLiNG TEXTBOOKS


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WORLD SCIENTIFIC HANDBOOK IN FINANCIAL ECONOMIC SERIES(ISSN: 2010-1732)

Series Editor: William T Ziemba (University of British Columbia and Oxford University)

The World Scientific Handbook in Financial Economic Series are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance, economics and financial engineering professors and lecturers, professional researchers, investments, pension fund and insurance portfolio mangers, risk managers, graduate students and as a teaching supplement.

International Journal of Theoretical and Applied Finance (IJTAF)

Aims & Scope This journal brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. Issues addressed in IJTAF include: (a) development of sophisticated mathematical models based on the principles of modern finance theory, (b) calibration of these models to market data, (c) simulation of such models using efficient computational algorithms, (d) updating of these models in line with evolving market developments, and (e) adaptation of these models by the practitioners in the industry; emphasis will also be placed on (f) development and application of modern stochastic methods in finance.

Editor-in-ChiefL P Hughston (Imperial College London, UK)

Bestseller

Bestseller

Journal

Vol. 3THE KELLY CAPITAL GROWTH INVESTMENT CRITERIONTheory and Practiceedited by Leonard C MacLean (Dalhousie University, Canada), Edward O Thorp (University of California, Irvine, USA)& William T Ziemba (Oxford University, UK & University of British Columbia, Canada)“It is fantastic. Everything seems to be there. It is a wonderful reference. Congratulations on completing this huge project that will be of great interest and value.”

Professor David G Luenberger, Stanford University

Contents: The Early Ideas and Contributions; Classic Papers and Theories; The Relationship of Kelly Optimization to Asset Allocation; Critics and Assessing the Good and Bad Properties of Kelly; Utility Foundations; Evidence of the Use of Kelly Type Strategies by the Great Investors and Others.

884pp Feb 2011978-981-4293-49-5 US$98 £61978-981-4293-50-1(ebook) US$127

Vol. 1STOCHASTIC OPTIMIZATION MODELS IN FINANCE (2006 Edition)edited by William T Ziemba (University of British Columbia, Canada) & Raymond G Vickson (University of Waterloo, Canada)“… the most valuable aspects of the book are substantial, rigorous, thought-provoking exercises which have the potential to push the reader toward relevant and engaging research … For anyone interested in and serious about the topic, Stochastic Optimization Models in Finance provides a marvelous reference source and survey of seminal work, and a wonderful collection of exercises which could engage the mind almost indefinitely.”

Rick Gorvett, University of Illinois at Urbana-Champaign

756pp Sep 2006978-981-256-800-7 US$145 £79978-981-277-365-4(ebook) US$189

Vol. 2EFFICIENCY OF RACETRACK BETTING MARKETS(2008 Edition)edited by Donald B Hausch (University of Wisconsin-Madison, USA), Victor SY Lo & William T Ziemba (University of British Columbia, Canada)

“Efficiency of Racetrack Betting Markets has attained cult status among serious students of betting, and the few copies in private hands have long been prized and jealously guarded by their owners. It is indeed a genuine classic which is as relevant today as it was on the day it was first published. As such, it deserves pride of place on the desks of all who care about this fascinating field of enquiry.”

Professor Leighton Vaughan WilliamsDirector of the Betting Research Unit

Nottingham Trent UniversityEditor of Information Efficiency in

Financial and Betting Markets

676pp Jun 2008978-981-281-918-5 US$121 £67978-981-281-919-2(ebook) US$157

Vol. 14, No 2 (March 2011)• AModelfortheLong-TermOptimalCapacityLevelofanInvestmentProject

(Arne Løkka & Mihail Zervos)• PerturbationStableConditional

Analytic Monte-Carlo Pricing Scheme for Auto-Callable Products (Christian P. Fries & Mark S. Joshi)

• ANon-HomogeneousSemi-MarkovReward Model for the Credit Spread Computation (Guglielmo D’amico, Jacques Janssen & Raimondo Manca)

• StaticHedgingofDefaultableContingent Claims: A Simple Hedging SchemeacrossEquityandCredit

Markets (Shuichi Ohsaki & Akira Yamazaki)• RegimeSwitchingTermStructure

Model under Partial Information (Hidenori Futami)

• HedgingSwingOptions (Jesús F. Rodríguez)• PricingAsianOptionsinAffineGarch

Models (Mercuri Lorenzo)

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