Encyclopedia of Quantitative Finance (4-Volume Set)

[Andy Nguyen]

Amazon.com: Encyclopedia of Quantitative Finance (4-Volume Set) (9780470057568):

"What initially looked like an impossible undertaking has become a formidable achievement, stretching from the theoretical foundations to the most recent cutting edge methods. Mille bravos!" - Dr Bruno Dupire (Bloomberg L.P.)
The Encyclopedia of Quantitative Finance is a major reference work designed to provide a comprehensive coverage of essential topics related to the quantitative modelling of financial markets, with authoritative contributions from leading academics and professionals.
Drawing on contributions from a wide spectrum of experts in fields including financial economics, econometrics, mathematical finance, operations research, numerical analysis, risk management and statistics, the Encyclopedia of Quantitative Finance faithful reflects the multidisciplinary nature of its subject.
With a pool of author comprising over 400 leading academics and professionals worldwide, the Encyclopedia provides a balanced view of theoretical and practical aspects of quantitative modelling in finance.

Topics covered in the Encyclopedia include

• the historical development of quantitative modelling in finance, including biographies of influential figures
• self-contained expositions of mathematical and statistical tools used in financial modelling
• authoritative expositions on the foundations of financial theory and mathematical finance, including arbitrage pricing, asset pricing theory, option pricing and asset allocation
• comprehensive reviews of various aspects of risk management: credit risk, market risk, operational risk, economic capital and Basel II with a detailed coverage of topics related to credit risk
• up-to-date surveys of the state of the art in computational finance: Monte Carlo simulation, partial differential equations (PDEs), Fourier transform methods, model calibration
• detailed entries on various types of financial derivatives and methods used for pricing and hedging them, including equity derivatives, credit derivatives, interest rate derivatives and foreign exchange derivatives
  pedagogical surveys of econometric methods and models used in finance, including GARCH models, GMM, realized volatility, factor models, Mixed Data Sampling and high-frequency data
• empirical and theoretical aspects of market microstructure and trade-level modelling
• timely entries on new topics such as commodity risk, electricity derivatives, algorithmic trading and multi-fractals
• quantitative methods in actuarial science, including insurance derivatives, catastrophe bonds , equity-linked life insurance and other topics at the interface of finance and insurance

All articles contain are cross-referenced to other relevant articles in the Encyclopedia and include detailed bibliographies for further reading.

The scope and breadth of the Encyclopedia will make it an invaluable resource for students and researchers in finance, quantitative analysts and developers, risk managers, portfolio managers, regulators, financial market analysts and anyone interested in the complexity of today’s financial markets and products.

Amazon.com: Encyclopedia of Quantitative Finance (4-Volume Set) (9780470057568):

 

[Joy Pathak]

The price is just... wow. Well the author is really famous . He was at the NYU Conference that I went to few weeks ago. He flew in from Paris and went straight to presenting Jump Diffusion Processes.

I wouldn't buy it...just because of the cost purely. I wonder if my library has one.

 

[dstefan]

The Baruch MFE library will purchase a copy.

 

[Andy Nguyen]

Nice. (Remember to click on those link to buy to give Quantnet some credit)

I believe they have an online edition for this book as well (cheaper) which you can search and print out pdf.

In any case, this book probably the most expensive item of any quant finance related books. Even Wilmott's 3 volume set (1500 pages) costs less than $185.

I believe the book is a collaborate effort by many experts and the author is one who put it together.

Drawing on contributions from a wide spectrum of experts in fields including financial economics, econometrics, mathematical finance, operations research, numerical analysis, risk management and statistics, the Encyclopedia of Quantitative Finance faithful reflects the multidisciplinary nature of its subject.
With a pool of author comprising over 400 leading academics and professionals worldwide, the Encyclopedia provides a balanced view of theoretical and practical aspects of quantitative modelling in finance.

 

[dstefan]

The author is actually called the Editor-in-Chief of the encyclopedia; see
Wiley::Encyclopedia of Quantitative Finance - Editorial Board

The Encyclopedia is a collection of articles of several authors, including Baruch MFE's Jim Gatheral
http://mrw.interscience.wiley.com/emrw/9780470061602/home/EditorsContributors.html

Putting together the Encyclopedia is a momentous achievement.

 

[Scooot]

Am I naive to think that just about all of the topics covered are somewhere on the net for free and that the purpose of the Encyclopedia is just to organize and present the information more effeciently than searching the net, or a library for example?

And I'm not trying to trash the Encyclopedia, it's an honest quesiton.

 

[bigbadwolf]

Am I naive to think that just about all of the topics covered are somewhere on the net for free and that the purpose of the Encyclopedia is just to organize and present the information more effeciently than searching the net, or a library for example?

That's what encyclopedias are for: a handy first-stop reference. The price of this particular one places it outside the reach of all except institutional libraries.