Pre-Course Optional Reading List

Exotic Options

HULL, J., Options, Futures and other Derivative Securities, 3rd Edition, Prentice Hall , 1997, ISBN 0138891486 (especially Chapter 18 and the software)
DUNBAR, N., Inventing Money, Wiley & Sons, 2000, ISBN 0471498114 (especially Chapters 1 and 2)
JARROW, R. (Editor), Over the Rainbow, edited by, Risk Publications, 1996, ISBN 1899332308
KAT, H. M., Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes, Wiley, 2001, ISBN 0471486523
ZHANG, P. G., Exotic Options, World Scientific Publishing, 1998, ISBN 9810235216
RAVINDRAN, K., Customized Derivatives: A Step-by-Step Guide to Using Exotic Options, Swaps, and Other Customized Derivatives, McGrw-Hill, 1997, ISBN 0786305568

Pricing and Trading Options

Elementary:
TAYLOR, F., Mastering Derivatives Markets, Prentice Hall, 2000, ISBN 0273652435
Intermediate:
TOMPKINS, R., Options Explained, Palgrave Macmillan, 1994, ISBN 0333628071
Advanced:
HULL, J. C., Options, Futures and Other Derivatives, 3rd Edition, Prentice Hall, 1997, ISBN 0138891486

Equity Derivatives

HULL, J. C., Options, Futures and Other Derivatives, 3rd Edition, Prentice Hall, 1997
TALEB, N., Dynamic Hedging: Managing Vanilla and Exotic Options, Wiley, 1997, ISBN 0471152803
FRANCIS, J.C., The Handbook of Equity Derivatives, Revised Edition, Wiley, 2000
NELKEN, I., The Handbook of Exotic Options, Irwin, 1996
DUCHATEAU, P., & ZACHMANN, D., Partial Differential Equations, McGraw Hill, 1986
LINGREN, B.W., Introduction to Probability and Statistics, 4th Edition, Macmillan, 1978
FinCad - Financial Software for Options Valuation and Risk Management - Financial
CAD Inc
ZHANG, P., Exotic Options, 2nd Edition, World Scientific Publishing, 1998, ISBN 9810235216
COLLINS, B., Derivative and Equity Portfolio Management, Frank J. Fabozzi Associates, 1999
BHANSALI, V., Pricing and Managing Exotic and Hybrid Options, McGraw Hill, 2000
JARROW, R., Derivative Securities, 2nd Edition, South-Western College Publishing, 1999, ISBN 0538877405
HAUG, E., The Complete Guide to Option Pricing Formulas, Irwin professional, 1997, ISBN 0786312408
BAXTER, M., Financial Calculus, Cambridge UP, 1996, isbn 0521552893
SCHEID, F. & RENNIE, A.J.O., Numerical Analysis, 2nd Edition, McGraw Hill, 1989, ISBN 0070552215
ABRAMOWITZ, M., Handbook of Mathematical Functions, Dover Publications, 1972
DUPIRE, B. (Editor), Monte Carlo, Risk Publications, 1999 - Recommended read: IteB. ms 1, 2, and 3

Convertible Bonds

PHILIPS, G., Convertible Bond Markets, MacMillan, 1997, ISBN 0333687493
CONNOLLY, K., Pricing Convertible Bonds, John Wiley & Sons, 1998, ISBN 0273615920

Fundamentals of Global Bond Markets

FABOZZI, F.J., Fixed Income Mathematics (not the chapter on bond options), 3rd Edition, Irwin Professional, 1996, ISBN 0786311215
GALITZ, LAWRENCE, Financial Engineering (only chapters on bonds and swaps), Prentice Hall, 1994, ISBN 0273615920

Mastering Bonds Trading

THOMPSON, V., Mastering the Euromarkets, W.C. Brown, 1996, ISBN 190071700

Repos

STEINER, R., Mastering Repo Markets, FT Prentice Hall, 1996, ISBN 0273625896

Fundamentals of Swaps

TAYLOR, F., Mastering Derivatives Markets, 2nd Edition, FT Prentice Hall, 2000, ISBN 027352435
McDOUGALL, A., Mastering Swaps Markets, FT Prentice Hall, 1999, ISBN 0273625888

Introduction to Credit Derivatives

TAVAKOLI, J.M., Credit Derivatives: A Guide to Instruments and Applications, 2nd edition, Wiley, 2001
ANSON, M.J.P., Credit Derivatives, Irwin Professional Publishing, 1999, ISBN 1883249619
DAS, S. (Editor), Credit Derivatives and Credit Linked Notes, Wiley Frontiers in Finance, Wiley, 2000, ISBN 0471840319
CHORAFAS, D.N., Credit Derivatives and the Management of Risk: Including Models for Credit Risk, FT Prentice Hall, 1999
CLARK FRANCIS, J., The Handbook of Credit Derivatives, Irwin Professional Publishing, 1999
NELKEN,I., Implementing Credit Derivatives: Strategies and Techniques for Using Credit Derivatives in Risk Management, Irwin Library of Investment and Finance, 1999, ISBN 0070472378

Advanced Credit Derivatives

General Derivative Background:

HULL, J.C., Options, Futures and Other Derivatives, 4th Edition, Prentice Hall, 1997, ISBN 0130224448
TALEB, N., Dynamic Hedging, Wiley, 1997, ISBN 0471152803
NELKEN, I., The Handbook of Exotic Options, Irwin Professional, 1995, ISBN 1557389047
FinCad - Financial Software for Options Valuation and Risk Management - Financial CAD Inc
ZHANG, P. Exotic Options, 2nd Edition, World Scientific, 1998, ISBN 9810235216
BHANSALI, V., Pricing and Managing Exotic and Hybrid Options, McGraw Hill, 1998, ISBN 0070066698
JARROW, R., Derivative Securities, South-Western College Publishing, 1999, ISBN 0538877405
HAUG, E., The Complete Guide to Option Pricing Formulas, Irwin Professional, 1997, ISBN 0786312408
BAXTER, M., Financial Calculus, Cambridge UP, 1996, ISBN 0521552893
SCHEID, F., Shaum's Outline of Numerical Analysis, 2nd Edition, McGraw Hill, 1989, ISBN 0070552215
DUPIRE, B. (Editor), Monte Carlo, Risk Publications, 1999

Credit Derivatives Specific:

TAVAKOLI, J.M., Credit Derivatives and Synthetic Structures, Wiley, 2001, ISBN 047141266
NELKEN,I., Implementing Credit Derivatives: Strategies and Techniques for Using Credit Derivatives in Risk Management, Irwin Library of Investment and Finance, Mc-Graw-Hill, 1999, ISBN 0070472378
FRANCIS, J.C., FROST, J.A., & WHITTAKER, J.G., The Handbook of Credit Derivatives, Irwin Library of Investment and Finance, 1999, ISBn 0070225885
The Financial Jungle - International Taxation of Credit Derivatives, PriceWaterHouseCoopers, PWC 1999

Asset Securitisation

KOTHARI, V., Securitisation: The Financial Instruments of the New Millenium, Y2K Edition, 1999
You can buy this book at his website: www.vinodkothari.com which is also a good source of info for securitisation

Corporate Finance

SUDARSANAM, P.S., The Essence of Mergers and Acquisitions, Prentice Hall, 1995, ISBN 0133108899
BINGLEY, J., A Practical Guide to Takeovers and Mergers, ICSA Publishing, 1995, ISBN 1872860907
KRIEGER, I., Management Buy-Outs, Butterworths, 1994, ISBN 0406034850
LILJA, R., International Equity Markets - The Art of the Deal, Euromoney Books, 1997, ISBN 1855643685
BREALEY, R.A. & MYERS, S., Principles of Corporate Finance, 7th Edition, McGraw-Hill, 2002, ISBN 0071151451
JAFFE, J., ROSS, S.A., & WESTERFIELD, R,W, Corporate Finance, McGraw-Hill, 2001, ISBN 00723388496
NEALE, B., & PIKE, R., Corporate Finance & Investment: Decisions & Strategies, Prentice HAll, 1998, ISBN 0130812706

Syndicated Loans

RHODES, T. (Editor), Syndicated Lending - Practice and Documentation, 2nd Edition, Euromoney Institutional Investor, 1996, ISBN 1855645181
RHODES, T. (Editor), Syndicated Lending - A Handbook for Borrowers in Emerging Markets, Euromoney Institutional Investor, 1999, ISBN 1855646943

Corporate Valuation

COPELAND, KOLLER & MURRIN, Valuation - Measuring and Managing the Value of Companies, 3rd Edition, Wiley, 2000, ISBN 0471397482
DAMADORAN, A., Investment Valuation, Wiley, 1995ISBN 0471112135
Damadoran also has a website with free downloads available of specialist papers, excel models, etc. To find website type Damadoran into your search engine.
JOHNSON, H., Determining Cost of Capital, Prentice Hall, 1999, ISBN 0273638807
BLACKMAN, I.L., Valuing Your Privately-Held BU, McGraw-Hill, 1995, ISBN 1557388970

Mergers and Acquisitions

SUDARSANAM, P.S., The Essence of Mergers and Acquisitions, Prentice Hall, 1995, ISBN 0133108899
BINGLEY, J., A Practical Guide to Takeovers and Mergers, ICSA Publishing, 1995, ISBN 1872860907
KRIEGER, I., Management Buy-Outs, Butterworths, 1994, ISBN 0406034850
LILJA, R., International Equity Markets - The Art of the Deal, Euromoney Institutional Investors, 1997, ISBN 1855643685
BEGG, P.F.C., Corporate Acquisitions and Mergers, Kluwer Academic Publishers, 3rd Edition, 1991 ISBN 1853334855
WASSERSTEIN, B., Big Deal, Warmer, 1998, ISBN 0446522686

Project Finance

FINNERTY, J.D., Project Financing: Asset-based Financial Engineering, Wiley, 1996, ISBN 0471146315

Management Buy Outs

SUDARSANAM, P.S., The Essence of Mergers and Acquisitions, Prentice Hall, 1995, ISBN 0133108899
BINGLEY, J., A Practical Guide to Takeovers and Mergers, ICSA Publishing, 1995, ISBN 1872860907
KRIEGER, I., Management Buy-Outs, Butterworths, 1994, ISBN 0406034850
LILJA, R., International Equity Markets - The Art of the Deal, Euromoney Institutional Investors, 1997, ISBN 1855643685
WEBB, I., Management Buyouts, Gower Publishing Limited, 2nd Edition, 1990, ISBN 0566028107

Bank Credit Analysis

GOLIN, J., The Bank Credit Analysis Handbook, Wiley Finance, 2001, ISBN 0471842176

Value at Risk

JORION, P., Value at Risk, McGraw-Hill Education, 2nd Edition, 2000, ISBN 0071355022

Monte Carlo Simulation

"VAR - Understanding and Applying Value-at-Risk", Risk Publications, 1997
A good source of information on material on Value at Risk is Barry Schacter's web site: www.GloriaMundi.org

Integrating Market and Credit Risk

JAECKEL, P., Monte Carlo Methods in Finance, Wiley, 2001, ISBN 047149741X
WEBBER, N. & JAMES, J., Interest Rate Modelling, Wiley, 2000, ISBN 0471975230

Operational Risk

BERNSTEIN, PETER L., Against the Gods: The Remarkable Story of Risk, Wiley, 1998, ISBN 0471295639
The Report Into The Collapse of Barings published by the BoE
PARTNOY, FRANK, Fiasco
Fundamentals of Global Operations Management, published by the Securities Institute
Controls Procedures and Risk published by Butterworth Heinemann (Sep 2002)

Interest Rate Models

HULL, J., Options, Futures and other Derivative Securities, Prentice Hall

Yield Curve Construction

ANDERSON, BREEDON, DEACON, DERRY AND MURPHY, Estimating and Interpreting the Yield Curve, Wiley, 1996
JAMES AND WEBBER, Interest Rate Modelling, Wiley, 2000

Financial Engineering

HULL, J., Options,Futures and Other Derivative Securities, 3rd edition, Prentice Hall
WILMOTT, P., Paul Wilmott Introduces Quantitative Finance, Wiley Publishing

Structured Products

HULL, J., Options, Futures and other Derivatives, Prentice Hall
GALITZ, Financial Engineering, FT Pitman

Accounting for Derivatives

BUTLER, C., Mastering Value at Risk, Ft, Pitman
HULL, J., Futures & Options, Prentice Hall
IAS 39, Published by the International Accounting Standards Board
FASB 133, Published by the American Accounting Standards Board

Fundamentals of Performance Measurement

HAIGHT, G.T., & MORRELL, S., The analysis of Portfolio Management Performance IBSN 0-7863-0800-1
KARNOSKY, D.S., & SINGER, B. D., Global Asset Management and Performance Attribution ISBN 0-943205-23-9
BAIN, W.G., Investment Performance Measurement ISBN 1-85573-195-9
SPAULDING, D., Measuring Investment Performance - Calculating and Evaluating Risk and Return, McGraw Hill
Web site: www.spauldinggrp.com (under the "products" banner)
FISHER, B., Performance in der Praxis, Oldenbourg ISBN 3-486-25448-0
Performance Evaluation, Benchmarks and Attribution Analysis, AIMR (ICFA Continuing Education)
The Journal of Performance Measurement, available by subscription only
Web site: www.spauldinggrp.com (under the "products" banner)

Fundamentals of Hedge Funds

BERNSTEIN, PETER L., Against the Gods [The Remarkable Story of Risk], Wiley

Global Asset Allocation

Introduction to fixed income:

FABOZZI, F.J., & IRWIN, The Handbook of Fixed Income Securities, (4th and 6th edition)
MARTY, W., The Concept of Duration - An Overview

Interest rate in currency risk:

FABOZZI, F.J. & IRWIN, The Handbook of Fixed Income Securities, (4th edition)
BHANSALI, R., & GOLDBERG, L., An Integrated Framework for Valuation and Risk Analysis of International Bonds
BROWN, P.J., Constructing and Calculating Bond Indices
Advanced Fixed Income Derivative, PCCmetrics AG

Credit risk:

Historical Default Rate of Corporate Bond Issuers 1920-1999, Moody's Credit Rating and Research, Moody's Investor Service 1998
IWANOWSKI, R.J., An Investor's Guide to Floating-Rate Notes: Conventions, Mathemetics and Relative Valuation (SSSB)

Advanced Portfolio Techniques:

SHARPE GORDON, W.S., & ALEXANDER, J., Investment
RUSTEM, B., BECKER, R., & MARTY, W., Robust Min-Max Portfolio Strategies for the Rival Forecast and Risk Scenarios
DIDERICH, C., & MARTY, W., The Min-Max Portfolio Optimisation Strategy: an Empirical Study on Balanced Portfolio

Introduction to Indexation

Perspectives on Equity Indexing, edited by Frank J. Fabozzi , 2nd Edition, Frank J. Fabozzi Associates, ISBN 1-883249-82-1