This book is written from the point of view of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and often tedious) technical conditions. It does not aim to be comprehensive; rather, it focuses on selected areas based on the authors’ experience and expertise. It also attempts to combine economic and financial insights with mathematics and modeling so as to help the reader develop intuitions.
This book also presents various exploratory (and possibly thoughtprovoking) ideas and practical issues that are beneficial to academics and practitioners as the leads for further research. In terms of a popular saying that “the engineers have problems, but no solutions, and the mathematicians have solutions, but no problems,” we are trying to supply some solutions, as well as some problems as part of the book.
Contents:
- Introduction to Counterparty Credit Risk
- Martingale Arbitrage Pricing in Real Market
- The Black-Scholes Framework and Extensions
- Introduction to Interest Rate Term Structure Modeling
- The Heath-Jarrow-Morton Framework
- The Interest Rate Market Model
- Credit Risk Modeling and Pricing
- Simple Interest Rate Products
- Yield Curve Modeling
- Two-Factor Risk Model
- The Holy Grail – Two-Factor Interest Rate Arbitrage
- Yield Decomposition Model
- Inflation Linked Instruments Modeling
- Interest Rate Proprietary Trading Strategies
Quantitative Analysis, Derivatives Modeling and Trading Strategies By Bin Li , Yi Tang pdf
5 reviews for Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market
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Garrett Reeves (verified owner) –
A very good book. Not for the absolute beginner, but it allows readings at different levels. Full of practitioners viewpoints rarely cited in other books.
Steven Hendricks (verified owner) –
The book covered a wide-ranging topics as interest-rate modeling, interest-rate derivatives pricing, credit derivatives pricing, and credit-risk adjustment. It explained well the underlying mathematical principles and the current modeling approaches. It’s quite well written. My only complaint is that please typeset the book in LaTeX rather than in Word! I am opinionated that all academic books should be typeset in LaTeX, from the aesthetic point of view.
Dani Figueroa (verified owner) –
I am a junior quant, so let us not comparing with guru. Among the books I read, my opinion is Wilmott series more on maths, Baxter for good understandings until short rates, Jessica wide but not so deep concepts on models/methods, Rebonato’s books are detailed, but I found the detailed explanations are not clear to me, Brigo&Mercurio’s book is nice. A common drawback of all these books is they didnot talk much on practitioners’ intuitions.
This QA+DM+TS book combines math, intuitions, traders’ views. And they are explained in such a clear way. All the models are alive. Really hope I could have known about the book and read it in full before my interviews.
Princess Horton (verified owner) –
Highly recommended.
The concepts and models are delivered to readers clearly. Although the author didn’t reply my questions, I still give them a five star for writing such a good book:)
Spencer Browning (verified owner) –
I bought this book due to the reputation of the author.
The book is great and full of intuitive examples.