How should firms decide whether and when to invest in new capital equipment, additions to their workforce, or the development of new products? Why have traditional economic models of investment failed to explain the behavior of investment spending in the United States and other countries? In this book, Avinash Dixit and Robert Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most inves...

Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such that the outstanding notional of all contracts is now many multiples of the underlying world economy. No longer are derivatives for helping people control and manage their financial risks from other business and industries, no, it seems that the people are toiling away in the fields to keep the derivatives market aflo...

The Handbook of Portfolio Mathematics"For the serious investor, trader, or money manager, this book takes a rewarding look into modern portfolio theory. Vince introduces a leverage-space portfolio model, tweaks it for the drawdown probability, and delivers a superior model. He even provides equations to maximize returns for a chosen level of risk. So if you're serious about making money in today's markets, buy this book. Read it. Profit from it."—Th...

Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas...

The first in-depth analysis of pairs tradingPairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven tradin...

The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash.Most a...

Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and...

A comprehensive look at how probability and statistics is applied to the investment processFinance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before. In order to keep up, you need a firm understanding of this discipline.Probability and Statistics for Finance addresses this issue by showing you how to apply quantitative methods to portfolios, and in all matter...

Paul Wilmott on Quantitative Finance, Second Edition provides a thoroughly updated look at derivatives and financial engineering, published in three volumes with additional CD-ROM.Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return.The reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivat...

A complete guide for professionals with advanced mathematical skills but little or no financial knowledge . . .You’re smart. Logical. Mathematically adept. One of those people who can make quick work of long, difficult equations. But when it comes to managing a financial portfolio and managing risk, you wonder if you’re missing out.Fixed Income Finance is the book for you. It’s the perfect introduction to the concepts, formulas, applications, and m...

This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple, but widely used, financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to understand the concepts considered in this book.Financial mathematics is an application of advanced mathematical and statistica...

The focus of this book is on the two major areas of risk theory: aggregate claims distributions and ruin theory. For aggregate claims distributions, detailed descriptions are given of recursive techniques that can be used in the individual and collective risk models. For the collective model, the book discusses different classes of counting distribution, and presents recursion schemes for probability functions and moments. For the individual model, the book illustrates the three most commo...