Quantitative Finance

Biographies (by me) on the MacTutor website

Fischer Black:  http://www-history.mcs.st-andrews.ac.uk/Mathematicians/Black_Fischer.html

Louis Bachelier: http://www-history.mcs.st-andrews.ac.uk/Mathematicians/Bachelier.html

2011

Attended LMS-EPSRC Short course on Mathematical Finance (Malliavin Calculus, Backward Stochastic Differential Equations (BDSEs) and Duality Methods) at the Oxford-Man Institute of Quantative Finance

2009

25-27 February: Attended Moneyscience Master Class: Pricing Exotic Interest Rate Derivatives -The LIBOR model in Quantlib - instructor Mark Joshi.

2008

15-19 July : attended Fifth World Congress of the Bachelier Finance Conference,  London.

2007 and 2006

23 March: attended at the London Mathematical Society (LMS), the Institute of Mathematics and its Applications (IMA) Conference on Computation in Quantitative Finance .

Advice given, as consulting actuary, to insurance companies on financial mathematics and over the valuation, possibility of hedging and interpretation of their guaranteed annuity rate (GAR) options – a type of so-called exotic option.

2005

4-9 July: attended the Isaac Newton Institute 2005 Quantitative Finance Programme, in Cambridge –see http://www.newton.cam.ac.uk/programmes/DQF/dqfw02l.html

 4-8 April: speaker in Edinburgh at ICMS  workshop  Workshop on the Interface between Quantitative Finance and Insurance.. Satellite Workshop of the INI Quantitative Finance Programme. see http://www.icms.org.uk/archive/meetings/2005/quantfinance/sci_prog.html  and http://www.newton.cam.ac.uk/reports/0405/dqftalks.html

10 March: attended at Isaac Newton Institute (INI), Cambridge, the Spitalfield Day, part of the Isaac Newton Institute 2005 Quantitative Finance Programme see http://www.newton.cam.ac.uk/programmes/DQF/dqfw03.html

21 February: Chaired Discussion at Faculty of Actuaries on ‘Realistic Valuation of Life Office Liabilities’.

2004

15 November: article on 'Bivariate Normal' on Mathfinance website  http://www.mathfinance.de/

 8 September: Principal organiser (with Andrew Cairns and and Colin Ledlie) of ICMS seminar on 'Realistic Value of Life Assurance Liabilities' held at Royal Society of Edinburgh with some 120 attendees

15 June: Six articles for the Encyclopedia of Actuarial Science, published by John Wiley.

 15-19 March: attended in Oxford the Mathematical Finance week organized by EPSRC/LMS

20 February : qualified Certificate in Derivatives of Actuarial Profession.

1999

Joint organiser (with A. Cairns and A. Macdonald) of the Financial Mathematics Day at the ICIAM99 International Congress. Speakers included Profs. Avellaneda and Delbean. This day was organised in conjunction with the Faculty and Institute of Actuaries see ICIAM 99 in Edinburgh WWW Server - Financial Mathematics Day

Honorary Treasurer of the company ICIAM99. (ICIAM99 was a company whose Chairman was Sir Michael Atiyah, OM, FRSE, FRS.  ICIAM99 was set up to organise the International Congress of Industrial and Applied Mathematics (ICIAM99) in Edinburgh in July 1999.)

 Heriot-Watt University

In 2004/2005/2006/2007 and 2008 supervising  Postgraduate MSc Projects in Actuarial Mathematics. Two of the Projects involved Financial Mathematics.

The first Project involved the valuation and hedging of Guaranteed Annuity Rate (GAR) Options, a type of so-called Exotic Option.

The second Project involved the pricing and hedging of a monthly premium guaranteed maturity value on a unit-linked policy. This is a type of Asian Option but nor the normal type of arithmetic or geometric Asian Option. This work seemed original as far as a monthly premium policy was concerned. 

 Edinburgh University

In 2008 supervised Postgraduate MSc in Operations Research with a speciality in Finance.

The MSc Project involved Modelling Derivatives(Vanilla, Basket, Look-back , Asian options on equities using share prices with jumps and options on Bonds) by Monte-Carlo Simulation  in C++ and interfacing the C++ code through EXCEL using the xlw  'wrapper'. Student modelled in C++ starting out with Mark Joshi’s book, “C++ Design Patterns and Derivative Pricing” and running all the programs in Mark Joshi’s book then moving on the some of the books listed above (books by Duffy, London, Clewlow and Strickland etc.).

 Quantitative Finance, C++, VB and VBA

 The Financial Mathematics. C+ , VB and VBA books are on the list below:-

 

Author

Book

Year

 

 

 

Baxter M. and Rennie A. 

Financial Calculus, CUP

1996

Bernstein P. L.

Capital Ideas

1992

Bingham N. and Kiesel R.

Risk Neutral Valuation, pricing and hedging of financial derivatives

1998

Bittman J.

Options for the Stock Investor

1996

Bjork T.

Arbitrage Theory in Continuous Time (2nd Edition) Oxford

2004

Boyle P. P. and Boyle F.

Derivatives, the Tools that changed finance

2001

Brigo D. & Mercurio F.

Interest Rate Models: Theory and Practice, Springer.

2001

Buetow G. W.

Valuation of Interest Rate Swaps and Swaptions

2001

Cairns A.

Interest Rate Models : An Introduction, Princeton University Press

2004

Capinski M. and Zastawniak T.

Mathematics for Finance, Springer

2003

Cootner P. H. (editor)

The Random Character of Stockmarket Prices

1964

Crack T.F.

Heard on the Street: Quantative Questions from Wall Street Interviews

1995

Davis M. and Etheridge E.

Louis Bachelier’s Theory of Speculation, Princeton Univ. Press

2006

Dempster M. A. H. & Pliska S. R.

Mathematics of Derivative Securities, Newton Institute Publications, CUP.

1997

Dowd K.

Beyond Value at Risk, Wiley

1998

Duffie D.

 

Dynamic Asset Pricing Theory, 2nd ed., Princeton University Press

1996

Elliott R. J. and Kopp P.E.

Mathematics of Financial Markets

1998

Etheridge A.

Stochastic Calculus, CUP

2002

Fouque J, Papanicolaou G, Sircar K R

Derivatives in Financial Markets with Stochastic Volatility, CUP

2000

Haug E. G.

The Complete Guide to Option Pricing Formulas,  McGraw-Hill

1997

Hull J. C. (6th, 5th, 4th, 3rd Editions)

Options, Futures and other Derivatives, Prentice Hall

2006

Hull J. C. (6th, 5th, 4th, 3rd Editions)

Solutions Manual, Options, Futures and other Derivatives, Prentice Hall

2006

Hunt P. J. and Kennedy J.

Financial Derivatives in Theory and Practice

1998

Jäckel S.

 

Monte Carlo Methods in Finance, Wiley

2003

James J. and Webber N.

Interest Rate Modelling, Wiley

2000

Joshi M. S.

The Concepts and Practice of Mathematical Finance, CUP

2003

Karatzas I.

Methods of Mathematical Finance

 

Klebaner F. C.

Introduction to Stochastic Calculus with Applications

1998

Kopp P. E.  and Elliott R. J.

Mathematics of Financial Markets, Springer

1998

Kwok Y-K

Mathematical Models of Financial Derivatives

1998

Lamberton D and  Lapeyre B. 

 

Introduction to Stochastic Calculus Applied to Finance, Chapman and Hall

1996

Lehmann B. H.

The Legacy of Fischer Black

2005

Mehrling P.

Fischer Black and the Revolutionary Idea of Finance

2005

Musiela M.  and Rutkowski M. 

Martingale Methods in Financial Modelling, Springer-Verlag

1997

Neftci S. N. (1st and 2nd Editions)

Introduction to the Mathematics of Financial Derivatives, Academic Press

2000

Panjer H. et al.

Financial Economics

1998

Rebonato R (2nd Edition)                                      

Interest-Rate Option  Models, Wiley

1996

Rolski T et al

Stochastic Processes for Insurance and Finance

1999

Shiryaev A. N.

 

Essentials of Stochastic Finance, Facts, Models, Theory, World Scientific

1999

Shreve S. E.

Stochastic Calculus for Finance, I and II, Springer

2006

Steele J. M.

Stochastic Calculations and Financial Applications

2001

Voitle J.

Advanced Finance and Quantitative Interviews

2002

Wilmott P

Derivatives;  the Theory and Practice of Financial Engineering, Wiley

1998

Wilmott P, Howison S &

Dewynne J

Mathematics of Financial Derivatives, CUP.

1995

Wilmott P.

Frequently Asked Questions in Quantative Finance

2007

 

C++ Books

 

 

 

Aitchison I.and King P., Heriot-Watt Course

“Introduction to C++ Programming parts I and II”

1997

Clelow L. and Strickland C.

Implementing Derivatives Models, Wiley

1998

Cogswell J.

C++ All in one reference for Dummies, Wiley

2003

Cogswell J.

Visual C++.NET, Hungry Minds

2002

Dalton S.

EXCEL Add-In Development in C/C++, Wiley

2005

Davis S. R.

C++ for Dummies, Wiley

2004

Duffy D. J.

Financial Instrument Pricing using C++, Wiley

2004

Duffy D. J.

Introduction to C++ for Financial Engineers, Wiley

2006

Gookin D.

C for Dummies, Vols 1 and 2, IDG Books.

1994

Hyman M. and Arnson R.

Visual C++ 6 for Dummies, Wiley

1998

Hyman M. and Arnson R.

Visual C++.NET for Dummies, Wiley

2002

Joshi M.

C++ Design Patterns and Derivative Pricing, CUP

2004

Lischer R.

C++ in a Nutshell, O’Reilly

2003

Lischner R.

STL Pocket Reference, O’Reilly

2004

London J.

Modeling Derivatives in C++, Wiley

2005

London J.

Modeling Derivative Applications in Matlab, C++ and EXCEL, FT Press

2007

Loudon K.

C++ Pocket Reference, O’Reilly

2003

Mueller J.

Visual C++.NET Developer’s Guide Osborne McGraw Hill

2002

Oualline S.

Practical C++ 1995Programmin, O’Reilly

1995

Pappas H.P. and Murray W.H.

The Complete Reference; Visual C++ 6, Osborne McGraw-Hill

1998

Pappas H.P. and Murray W.H.

The Complete Reference; Visual C++.NET, Osborne McGraw-Hill

2002

Satir G. and Brown B.

C++, The Core Language, O’Reilly

1995

Vetterling W. T.. Teukolsky S. A., Press W. H., Flannery B.P.

Numerical Recipes in C++; Example Book (2nd Edition, CUP

1988

Vetterling W. T.. Teukolsky S. A., Press W. H., Flannery B.P.

Numerical Recipes in C++ (2nd Edition), CUP

1988

 

Visual Basic Books and Visual Basic for Applications Books

 

 

 

Bullen S., Bovey R. and Green J.

Professional EXCEL Development, Addison-Wesley

2005

Bullen S., Bovey R. and Rosenberg R.

EXCEL 2002 VBA, Wiley

2003

Bullen S., Green J., Bovey R. and Alexander M.

EXCEL 2007 VBA , Wiley

2007

Halvorson M.

Microsoft Visual Basic 6.0 Professional Step by Step, 2nd Edition, Microsoft Press

2003

Jackson M. and Staunton M.

Advanced Modelling in Finance using EXCEL and VBA, Wiley

2001

Jacobson R.

EXCEL 2002 Visual Basic for Applications, Step by Step, Microsoft Press

2001

Microsoft

Microsoft Visual Basic 6.0 Programmer’s Guide, Microsoft Press

1998

Walkenbach J

Excel 2003 Power Programming with VBA, Wiley

2003

Walkenbach J.

Excel VBA Programming for Dummies, Wiley

2004

Walnum C.

Complete Idiot’s Guide to Visual Basic 6, Pearson

1999

Wang W.

Visual Basic.NET, Hungry Minds

2002

Verschuuren G. M.

From VBA to VSTO, Holy Macro Books

2006