《时间序列分析:单变量和多变量方法(第2版)》不仅对单变量与多变量时间序列的时域和频域分析提供了一个全面介绍，而且在书中包含了许多单变量和多变量时问序列模型的新进展，如逆自相关函数、扩展样本自相关函数、干预分析及干预探测、向量自回归移动平均模型、偏滞后自相关矩阵函数、局部过程、状态空间模型、卡尔曼滤波、非季节和季节模型的单位根检验等许多内容。《时间序列分析:单变量和多变量方法(第2版)》结合大量的应用实例说明时间序列分析方法的应用，极大地方便了读者对这些方法的学习和理解。

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.

In Volatility and Correlation 2 nd edition: The Perfect Hedger and the Fox , Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.… The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion…A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School

《金融数学教程(英文版)》：诺贝尔经济学奖已经至少3次授予以数学为工具分析金融问题的经济学家。金融数学这门新兴的交叉学科已经成为国际金融界的一枝奇葩。金融数学的发展曾两次引发了“华尔街革命”。今天，金融数学家已经是华尔街最抢手的人才之一。目前国内金融行业最紧缺的就是掌握现代金融衍生工具的应用、能对金融风险做定量分析的、既然懂金融又懂数学的高级复合型人才。 本书是牛津大学金融数学教材，含有大量的习题和例子，面向有一定数学基础的读者。并被斯坦福大学、芝加哥大学、加州大学亚圣迭戈分校等名校选用。书中介绍了一些基本概念和二叉树、鞅、布朗运动、随机积分及Black-Scholes期权定价公式及一些复杂的金融模型和金融产品。

本书主要介绍金融工程中级技术操作方法，内容涉及奇异合约和路径依赖、固定收益建模与衍生品以及信用风险。书中作者主要探讨了奇异和路径依赖合约、障碍期权、强路径依赖衍生品、亚式期权、回溯期权、衍生品和随机控制、单因子利率建模、收益率曲线拟合、利率衍生品、可转债、按揭支持证券、多因子利率建模、瞬时利率的实证表现、HJM和BGM模型、固定收益产品说明书、公司价值和违约风险、信用衍生品、RiskMetrics和CreditMetrics、CrashMetrics以及衍生品灾难案例。

Mandelbrot is world famous for his creation of the new mathematics of fractal geometry. Yet few people know that his original field of applied research was in econometrics and financial models, applying ideas of scaling and self-similarity to arrays of data generated by financial analyses. This book brings together his original papers as well as many original chapters specifically written for this book.