Risk Books

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By Marcello Minenna,Paolo Verzella
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18,82800 9,79056
Marcello Minenna is the Head of the Quantitative Analysis Unit at CONSOB (the Italian Securities and Exchange Commission). In charge of what Risk magazine addressed as the "quant enforcement", he analyses and develops quantitative models for surveillance and supports the enforcement units in their activities.Marcello has taught mathematical models for finance in several Italian and foreign universities and is presently teaching financial mathematics at the universities of Milano Bicocca and Bocconi. He received his PhD in applied mathematics for social sciences from the State University of Brescia and his MA in mathematics in finance from Columbia University. He is the author of several publications including the bestselling book A Guide to Quantitative Finance also published by Risk Books. Paolo Verzella is a Senior Analyst at the CONSOB Quantitative Analysis Unit. He was Assistant Professor in Mathematical Finance at Milano Bicocca University and has taught courses in mathematics and finance in Italian Universities namely Bocconi and Politecnico of Milano. Paolo received his Phd in Mathematics for Financial markets from Milano Bicocca University.His research interests focus mainly on Numerical Methods for Option Pricing, Optimisation Problems and Applied Harmonic Analysis and also includes more general areas of finance such as Structured Products
AuthorMarcello Minenna,Paolo Verzella BindingPaperback
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By Daan Potjer,Chris Gould
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27,71900 15,16700
Daan Potjer and Chris Gould Daan Potjer, ASIP is Senior Vice President and Head of Tactical Asset Allocation (TAA) Portfolio Management at ABN AMRO Asset Management. Since February 1999 Daan has been in charge of the TAA team at AAAM. The team manages portfolios where active allocations are made over asset classes, regions and styles, using futures, ETFs, mutual funds and segregated sub-portfolios. Clients are both institutional mandates and mutual funds, such as the GTAA Fund, the IDAA Fund, the GAO Fund, the Model Funds and the All In Fund. Daan also contributes to the global investment policy process of AAAM, by, amongst others, membership of the Global Investment Policy group. Initially based in London, Daan moved back to Amsterdam in September 2003. Daan joined ABN AMRO in January 1997. After training at the ABN AMRO Academy he began working as an Investment Strategist for the Investment Strategy department in Amsterdam. In this position he contributed to the global investment policy process, by providing strategic inputs for the investment committees. His main focus was on the Global Macro Group and the Global Fixed Income and Currency Committee. Daan, born 1972, holds a Master of Science degree in Economics, specialising in Financial Economics, from the Erasmus University Rotterdam and studied at the London School of Economics and Political Science. He is an Associate of the UK Society for Investment Professionals and a regular member of the CFA Institute and UKSIP. Daan is registered as a portfolio manager with the Dutch Securities Institute and is an FSA (UK) approved person. Chris Gould, ASIP is a Director and Head of Risk for Tactical Asset Allocation (TAA) at ABN AMRO Asset Management. Since December 2000 Chris has been in charge of the TAA risk team at AAAM. The risk team advises on active risk budget decisions and is responsible for the consistency of strategy implementation across portfolios. He has made a major contribution to the development of the investment process for the TAA team. Chris began his professional banking career at Western Asset Management in 1993. Having spent two years on Portfolio administration, he went on to join the fixed income Portfolio Management team, focusing on managing the money market portfolios and acting as the risk manager for fixed income portfolios. During this time, Chris also spent 9 months in secondment at the US head office. Chris is an Associate of the UK Society for Investment Professionals.
AuthorDaan Potjer,Chris Gould BindingPaperback
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By Jurgen Hakala,Uwe Wystup
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15,16700 9,10020
This title provides all the essential quantitative tools for foreign exchange options in an understandable and logical manner. It covers the financial management of foreign exchange risk together with analysis of different methods for mitigating and controlling cross-currency price differentials. The authors show how both market risk and model risk can be managed by choosing a suitable price model and highlight leading qualitative research concerned primarily with FX derivatives. Jurgen Hakala has been head of quantitative research at Commerzbank Treasury and Financial Products for four years. His research areas are models and products for FX derivatives and hybrid interest rate and FX models. Computational finance is a central element for all his research. He received a Master's degree in theoretical physics from the University of Karlsruhe and a PhD in mathematics from the University of Bonn at the Institute for Neural Networks. Uwe Wystup is a quantitative research specialist at Commerzbank Treasury and Financial Products, Frankfurt and is a founder and manager of the website MathFinance and the MathFinance newsletter. Uwe has a PhD from Carnegie Mellon University in valuing exotic options under short selling restraints. He also lectures on mathematical finance for Goethe University in Frankfurt and organizes the Frankfurt MathFinance Colloquium. Before that he worked for Deutsche Bank, Citibank, UBS and Sal. Oppenheim jr. & Cie. Uwe has given many presentations at both universities and banks around the world.
AuthorJurgen Hakala,Uwe Wystup BindingPaperback
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By Andrew Rozanov
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15,00000 12,50000
Andrew Rozanov is Managing Director and Head of Institutional Portfolio Advisory at Permal Group, responsible for advising sovereign wealth funds and other long-term institutional investors on various aspects of asset allocation, portfolio construction, risk management and alternative investments, with a particular focus on global macro and tail risk strategies. Before joining Permal, Andrew was at State Street, where he was Managing Director and Head of Sovereign Advisory, working closely with the Portfolio and Risk Management Group. Prior to that, he held various roles at State Street Corporation in London and Tokyo, and he also worked at UBS Investment Bank in Japan. Andrew is well known in the industry for having introduced the term 'sovereign wealth funds' in an article in Central Banking Journal in 2005. In 2012, he published a highly acclaimed book Global Macro: Theory and Practice. He is a Chartered Financial Analyst (CFA), a Financial Risk Manager (FRM), and a Chartered Alternative Investment Analyst (CAIA). He holds a Master's equivalent degree in Asian and African Studies from Moscow State University. Ryan McRandal is currently a Portfolio Manager at Peters Capital Group, a global macro firm that builds and implements bespoke investment portfolios for institutional clients. These portfolios are thematic in nature and cover a range of unique investment objectives including tail risk hedging in equities and interest rates. Ryan was formerly the Head of Thematic Portfolio Management at AXA Investment Managers. His focus was on creating customized solutions and building thematic portfolios for institutional clients, particularly in areas such as macro convexity and hedging equity risk. Ryan launched and managed the first institutional fund of tail hedging strategies in the world, the award winning AXA Alternative Tail Hedge fund. Ryan was also responsible for hedge fund allocation as well as private equity, impact investing and real estate solutions and oversight. Prior to joining AXA IM, he worked for four years as the Head of Research at Unifortune Asset Management, a multi-year award-winning hedge fund boutique. Prior to that role, he was a derivatives trader. At Swiss Re Capital Markets, London, he held a Vice President position on a fixed income treasury and trading desk. He has also been a derivatives trader at WestLB in London. At WestLB he was part of the Cross Market Derivatives Arbitrage Group and has multi-assetclass derivatives expertise having traded across interest rates, foreign exchange and emerging market credit derivatives. Ryan graduated with a first-class, honors, degree in International Securities, Investment and Banking from the ICMA Centre's specialist business school for financial markets, University of Reading.
AuthorAndrew Rozanov Author 2Ryan McRandal
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By Christian Meyer
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14,35500 10,92500
Christian Meyer is working as Quantitative Analyst in the Portfolio Modeling Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt where he is responsible for the development of portfolio models for credit risk in the banking book and incremental risk in the trading book. Prior to joining DZ BANK AG he was working for KPMG where he dealt with various aspects (audit and consulting) of market risk, credit risk, and economic capital models in the banking industry. He holds a diploma and PhD in Mathematics. Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. Prior to joining DZ BANK AG he was Manager at d-fine GmbH where he dealt with various aspects of risk management systems in the banking industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics.
AuthorChristian Meyer Author 2Peter Quell
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