Quantitative Finance
Biographies (by me) on the MacTutor website
Fischer Black: http://wwwhistory.mcs.standrews.ac.uk/Mathematicians/Black_Fischer.html
Louis Bachelier: http://wwwhistory.mcs.standrews.ac.uk/Mathematicians/Bachelier.html
2011
Attended LMSEPSRC Short course on Mathematical Finance (Malliavin Calculus, Backward Stochastic Differential Equations (BDSEs) and Duality Methods) at the OxfordMan Institute of Quantative Finance
2009
2527 February: Attended Moneyscience Master Class: Pricing Exotic Interest Rate Derivatives The LIBOR model in Quantlib  instructor Mark Joshi.
2008
1519 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 socalled exotic option.
2005
49 July: attended the Isaac Newton Institute 2005 Quantitative Finance Programme, in Cambridge –see http://www.newton.cam.ac.uk/programmes/DQF/dqfw02l.html
48 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.
1519 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.)
HeriotWatt 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 socalled Exotic Option.
The second Project involved the pricing and hedging of a monthly premium guaranteed maturity value on a unitlinked 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, Lookback , Asian options on equities using share prices with jumps and options on Bonds) by MonteCarlo 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
Credit Risk
Author  Book  Year  
1  Brigo D., Morini M and Pallavicini A.  Counterparty Credit Risk, Collateral and Funding  2013 
2  Dowd K.  Beyond Value at Risk  1998 
3 
Gregory J. 
Counterparty Credit Risk and Credit Value Adjustment  2012 
4 
Gregory J. 
Counterparty Credit Risk  2010 
5  Loffler G. & Posch N. P.  Credit Risk Modelling using Excel and VBA  2008 
6  McDonald O.  Fannie Mae & Freddie Mac  2012 
7 
McNeil A.J., Frey R.and Embrechts P. 
Quantative Risk Management  2005 
8  O'Kane D.  Modelling Single Name and Multiname Credit Derivatives  2008 
9  Schonbucher P. J.  Credit Derivatives Pricing Models  2003 
10  Taleb N. M.  The Black Swan  2007 
11  Boyes R.  Meltdown Iceland  2009 
12  Tett G.  Fool's Gold, how unrestricted greed corrupted a dream, shattered global markets and unleashed a catastrofe  2009 
13  Dunbar N.  Inventing Money  2001 
Financial Mathematics.
Author 
Book 
Year 





1 
Baxter M. and Rennie A. 
Financial Calculus, CUP 
1996 
2 
Bernstein P. L. 
Capital Ideas 
1992 
3 
Bingham N. and Kiesel R. 
Risk Neutral Valuation, pricing and hedging of financial derivatives 
1998 
4 
Bittman J. 
Options for the Stock Investor 
1996 
5 
Bjork T. 
Arbitrage Theory in Continuous Time (2^{nd} Edition) Oxford 
2004 
6 
Boyle P. P. and Boyle F. 
Derivatives, the Tools that changed finance 
2001 
7 
Brigo D. & Mercurio F. 
Interest Rate Models: Theory and Practice, Springer. 
2001 
8 
Buetow G. W. 
Valuation of Interest Rate Swaps and Swaptions 
2001 
9 
Cairns A. 
Interest Rate Models : An Introduction, Princeton University Press 
2004 
10 
Capinski M. and Zastawniak T. 
Mathematics for Finance, Springer 
2003 
11 
Cootner P. H. (editor) 
The Random Character of Stockmarket Prices 
1964 
12 
Crack T.F. 
Heard on the Street: Quantative Questions from Wall Street Interviews 
1995 
13 
Davis M. and Etheridge E. 
Louis Bachelier’s Theory of Speculation, Princeton Univ. Press 
2006 
14 
Dempster M. A. H. & Pliska S. R. 
Mathematics of Derivative Securities, Newton Institute Publications, CUP. 
1997 
15 
Duffie D. 
Dynamic Asset Pricing Theory, 2nd ed., Princeton University Press 
1996 
16 
Elliott R. J. and Kopp P.E. 
Mathematics of Financial Markets 
1998 
17 
Etheridge A. 
Stochastic Calculus, CUP 
2002 
18 
Fouque J, Papanicolaou G, Sircar K R 
Derivatives in Financial Markets with Stochastic Volatility, CUP 
2000 
19 
Haug E. G. 
The Complete Guide to Option Pricing Formulas, McGrawHill 
1997 
20 
Hull J. C. (6^{th}, 5^{th}, 4^{th}, 3^{rd} Editions) 
Options, Futures and other Derivatives, Prentice Hall 
2006 
21 
Hull J. C. (6^{th}, 5^{th}, 4^{th}, 3^{rd} Editions) 
Solutions Manual, Options, Futures and other Derivatives, Prentice Hall 
2006 
22 
Hunt P. J. and Kennedy J. 
Financial Derivatives in Theory and Practice 
1998 
23 
Jäckel S. 
Monte Carlo Methods in Finance, Wiley 
2003 
24 
James J. and Webber N. 
Interest Rate Modelling, Wiley 
2000 
25 
Joshi M. S. 
The Concepts and Practice of Mathematical Finance, CUP 
2003 
26 
Karatzas I. 
Methods of Mathematical Finance 

27 
Klebaner F. C. 
Introduction to Stochastic Calculus with Applications 
1998 
28 
Kopp P. E. and Elliott R. J. 
Mathematics of Financial Markets, Springer 
1998 
29 
Kwok YK 
Mathematical Models of Financial Derivatives 
1998 
30 
Lamberton D and Lapeyre B. 
Introduction to Stochastic Calculus Applied to Finance, Chapman and Hall 
1996 
31 
Lehmann B. H. 
The Legacy of Fischer Black 
2005 
32 
Mehrling P. 
Fischer Black and the Revolutionary Idea of Finance 
2005 
33 
Musiela M. and Rutkowski M. 
Martingale Methods in Financial Modelling, SpringerVerlag 
1997 
34 
Neftci S. N. (1^{st} and 2^{nd} Editions) 
Introduction to the Mathematics of Financial Derivatives, Academic Press 
2000 
35 
Panjer H. et al. 
Financial Economics 
1998 
36 
Rebonato R (2^{nd} Edition) 
InterestRate Option Models, Wiley 
1996 
37 
Rolski T et al 
Stochastic Processes for Insurance and Finance 
1999 
39 
Shiryaev A. N. 
Essentials of Stochastic Finance, Facts, Models, Theory, World Scientific 
1999 
39 
Shreve S. E. 
Stochastic Calculus for Finance, I and II, Springer 
2006 
40 
Steele J. M. 
Stochastic Calculations and Financial Applications 
2001 
41 
Voitle J. 
Advanced Finance and Quantitative Interviews 
2002 
42 
Wilmott P 
Derivatives; the Theory and Practice of Financial Engineering, Wiley 
1998 
43 
Wilmott P, Howison S & Dewynne J 
Mathematics of Financial Derivatives, CUP. 
1995 
44 
Wilmott P. 
Frequently Asked Questions in Quantative Finance 
2007 
C++ Books 




Aitchison I.and King P., HeriotWatt 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 AddIn 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 McGrawHill 
1998 
Pappas H.P. and Murray W.H. 
The Complete Reference; Visual C++.NET, Osborne McGrawHill 
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 (2^{nd} 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, AddisonWesley 
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, 2^{nd} 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 