Princeton Series in Finance

Quantitative Risk Management: Concepts, Techniques and Tools - Revised Edition Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts

This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance...

Asset Pricing Theory Costis Skiadas

Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the...

Credit Risk Modeling: Theory and Applications David Lando

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools...

Credit Risk: Pricing, Measurement, and Management Darrell Duffie and Kenneth J. Singleton

In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice...

Financial Econometrics: Problems, Models, and Methods Christian Gourieroux and Joann Jasiak

Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the...

Dynamic Asset Pricing Theory: Third Edition Darrell Duffie

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset...