A Guide to Quantitative Finance - Risk Books
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A Guide to Quantitative Finance

Edited By Marcello Minenna


Are you applying quantitative methods without a full understanding of how they really work? Bridging the gap between mathematical theory and financial practice, A Guide to Quantitative Finance provides you with all the tools and techniques to comprehend and implement the quantitative models adopted in the financial markets.

Publish date: 1 Sep 2006

Availability: In stock


Book description

With clearly explained theory and step-by-step instructions for building and using the equations, this comprehensive toolkit allows quantitative professionals, at all levels, to put derivative pricing and risk controlling models into practice.

Compiled by a leading professor of mathematical finance, Marcello Minenna, this extensive manual will enable you to:

* understand the models adopted by the financial markets;

* evaluate the practical application of these models;

* implement the models presented;

* develop the skills required to independently tailor new models to your own specific needs.

As well as an exhaustive reference guide for advanced practitioners and academics, this accessible manual is also designed for beginners and intermediate users to quickly grasp the complexities of quantitative finance.

This self-contained and methodical guide is all you will need to fully grasp the mathematics underlying the pricing of derivatives. And most importantly, will empower you to put your quantitative skills into practice.

Book details

Publish date
1 Sep 2006
155mm x 235mm

Editor biography

Marcello Minenna

Marcello Minenna addressed by Risk magazine as the “quant enforcer” and the “quant regulator” is the Head of the Quantitative Analysis Unit at CONSOB (the Italian Securities and Exchange Commission) where he develops quantitative models for surveillance and supports the enforcement and regulatory units in their activities.

Marcello has been teaching in several Universities and holding courses for practitioners in the field of financial mathematics all around the world. He graduated at Bocconi University and received his PhD and MA in mathematics for finance from State University of Brescia and from Columbia University. He is the author of several publications including the bestselling Risk-book A Guide to Quantitative Finance.

Table of contents


1 Set Theory

2 Linear Algebra

3 Sequences and Series

4 Differential Calculus

5 Integral Calculus

6 Remarkable Functions

7 Complex Numbers

8 Differential Equations

9 Transforms


10 Measure Theory

11 Probability Theory

12 Stochastic Calculus

13 Stochastic Differential Equations


14 Actuarial Calculus

15 Equity Derivatives Models

  • Asymptomatic analysis and Portfolio replication
  • Martingale and forward measures
  • Stochastic and Partial Differential Equation
  • Fourier Transform

16 Term-Structure models

  • Short rate diffusive processes
  • Arbitrage-free conditions
  • Stochastic and Partial Differential Equation
  • Zero Coupon Bond Price under different measures


Customer Reviews

Average customer reviews for A Guide to Quantitative Finance

Indispensable to become a senior quant analyst

If you decide to move on to become a senior quant analyst, Minenna's book is indispensable. The structure of the book is perfect and the choice of the topics is consistently defined. My synthetic comment is: it's a "strong buy".
Review by Vincent Carrier , 11/11/2013

it's easy to read and alla math passages are well explalned

Finally a very useful book of mathematical finance. I found it very easy to read (for me this is essential) and complete. Every time I have any doubts about how to apply a model to price a derivative product i find the solution.
Review by Paul Bradley , 11/11/2013

not good .. contains formulae and thats it

I expected this book to be a little more than something which just summarises all the formulae that are ever known in finance.

There is no explanation provided for any of the formulae in the book.

There are just propositions and theorems .. and they have filled 400+ pages with it ..

Wouldnt recommend it .. unless you just need a handy guide to recollect the mathematics behind your model.
Review by Preyash Shah , 11/11/2013

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