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FRE Textbook List MS in Financial Engineering & Certificate Programs

Professor Sassan Alizadeh FRE 6411 Valuation of Fixed Income Securities and Basic Interest Rate Derivatives Jarrow, Modeling Fixed income Securities, 2nd Edition, 2002, Stanford University Press, ISBN 0-

8047-4438-6.

Professor Fransizka Berger & Brian Lessing FRE 6163 Life Contingencies I Louis J. Lombardi, FSA, MAAA, “Valuation of Life Insurance Liabilities,” 4 th Edition, 2006, second printing, ISBN: 978-156698-560-4

Professor Barry Blecherman FIN 2003 Economic Foundations of Finance Robert Pindyck, Daniel Rubinfeld , Microeconomics, , 7 th Edition, ISBN: 978-0-13-208023-1 FRE 6023 Economic Foundations in Finance

W. Bruce Allen, Neil Doherty et al Edition, ISBN: 978-0-393-93224-9

Managerial Economics, 2009, W.W. Norton Company, 7 th

Professor Paul Biederman FRE 6031 Money, Banking and Financial Markets R. Glenn Hubbard, Money, The Financial System and the Economy, Addison Wesley, 6 th edition, ISBN: 0321426703. FRE 6391 Mergers, Acquisitions & Corporations Patrick Gaughan, Mergers, Acquisitions & Corporate Restructurings, 4th Edition, Wiley

Professor Raphaele Chappe FRE 6111 Investment Banking & Brokerage Michel Fleuriet, Investment Banking Explained, McGraw Hill, 2008 ISBN-10: 0071497331 FRE 6211 Financial Market Regulation William A. Lovett, Banking and Financial Institutions Law, West, 7 th Edition ISBN-10: 0314184236

Professor Gregg Fisher FRE 6991Special Topics: Fin Advising & Invest Management Jean Brunel, Integrated Wealth Management, 2 nd Edition, Euromoney Institutional Investor, ISBN:

1843742667, ISBN13: 9781843742661

Professor Roy Freedman FRE 6071 Derivatives, Financial markets and Technology Roy Freedman. An Introduction to Financial Technology, 2006, Technology Academic Press, ISBN 0-

123-70478-2

FRE 6151 - Foundations of Financial Technology Roy Freedman. An Introduction to Financial Technology, 2006, Technology Academic Press, ISBN 0-

123-70478-2

FRE 6431 - Electronic Market Designs Roy Freedman. An Introduction to Financial Technology, 2006, Technology Academic Press, ISBN 0-

123-70478-2

Professor Sebastien Galy

Updated as of 8/3/2010

FRE 6311 Dynamics Assets & Options Charles Tapiero, Financial Engineering and Risk Asset Pricing, Wiley, 2010 Duffie Darrell, Dynamic Asset Pricing Theory, 3 rd Edition, Princeton University Press, Nov 2000

Professor Barry Guttenplan FRE 6531Financial Taxation Ault/Arnold, Comparative Income Taxation, 2 nd Edition, Aspen Publishers, ISBN: 0-7355-5195-2

Doernberg, International Taxation In A Nutshell, 8 th Edition, Thomson West, ISBN: 978-0-314-19424-

4

Professor Thomas Hutchinson FIN 2203 Corporate Finance and Financial Markets

Professor Andrey Itkin FRE 6311 Dynamics Assets & Options (3 RD SECTION) Duffie Darrell, Dynamic Asset Pricing Theory, 3 rd Edition, Princeton University Press, 2001 I. Karatzas and S. Shreve, Methods of Mathematical Finance, Spring Verlag, New York, 1999

FRE 7851 Computational and Algorithmic Finance

D. Tavella, Quantitative Methods in Derivative Pricing: An introduction to Computational Finance,

Wiley 2002

R.

Seydel, Tools for Computational Finance, with Pseudocode, 2 nd Edition, Springer, 2004

P.

Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2003

Professor Mirela Ivan FRE 6083 Quantitative Methods TBA FRE 6223 Actuarial Models TBA

Professor Frank Juan FRE 6631 Applied Derivative Finance John Hull, Options, Futures and Other Derivatives, ISBN: 0136015867

Professor Andrew Kalotay FRE 6411 Fixed Income Securities Bruce Tuckman, Fixed Income Securities, 2 nd Edition, Wiley, 2002 ISBN 0-471-06317-704706377

Professor Maureen Koetz FRE 6931- Infrastructure & Projects Financial Topics TBA FRE 7801 Special Topics: Environmental Science Labatt and White, Environmental Finance: A Guide to Environmental Risk Assessment and Financial Products;

Professor Brian Lessing FRE 6143 Life Contingencies I Louis J. Lombardi, Valuation of Life Insurance Liabilities, 4 th Edition, 2006

Professor Victor Makarov FRE 6731 - Basel 2 & Value @ Risk

Updated as of 8/3/2010

Philippe Jorion. Financial Risk Manager Handbook, Fifth Edition, Wiley, ISBN: 978-0470-47961-2 Software: Financial CAD

Professor Steve Mandel FRE 6571 Asset Backed Securities Frank Fabozzi, Fixed Income Mathematics, 4 th Edition, ISBN: 0-07-146073 FRE 6591 Real Estate & Mortgage Backed Securities Frank Fabozzi, Fixed Income Mathematics, 4 th Edition, ISBN: 0-07-146073

Professor Ingrid Marshall FRE 6003 - Financial Accounting Financial Accounting, 14/e Jan R. Williams, University of Tennessee, Sue F. Haka, Michigan State University, Mark S. Bettner, Bucknell University, Joseph V. Carcello, University of Tennessee ISBN: 0073526983, Copyright year: 2010

Professor Philip Maymin FRE 6123 Risk Management & Asset Pricing Charles Tapiero, Risk Finance and Asset Pricing, (Available on Amazon) Wiley FRE 6451 Behavioral Finance

Richard H. Thaler Advances in Behavioral Finance, Volume II (The Roundtable Series in Behavioral Economics) (Paperback) Advances in Behavioral Finance, Volume II

FRE 6511 Interm Deriva Valuation & Apps No required or recommended textbook. Supplemental: John Hull’s Options, Futures and other Derivatives, any edition

FRE 7801 Special Topics: Trading and Hedge funds

Filippo Stefanini, Investment Strategies of Hedge funds, The Wiley Finance Series (Hardcover) Investment Strategies of Hedge Funds

Professor Fred Novomestky FRE 6083 - Quantitative Methods in Finance Salih Neftci. An Introduction to the Mathematics of Financial Derivatives, Second Edition, 2000, Academic Press, ISBN 0-125-15392-9. Rene Carmona, Statistical Analysis of Financial Data in S-Plus, Springer Texts in Statistics, 2004, ISBN 0-387-20286-2.

FRE 6091 Financial Econometrics Rene Carmona, Statistical Analysis of Financial Data in S-Plus, Springer Texts in Statistics, 2004, ISBN 0-387-20286-2

FRE 6711 - Portfolio Theory and Applications

Bernd Scherer, Portfolio Construction and Risk Budgeting, Third Edition, 2007, Risk Books, ISBN

1904339697

Updated as of 8/3/2010

R.H. Shumway, D.S. Stoffer, Time Series Analysis and Its Application with R Examples, Second Edition, Springer, ISBN 0-387-29317-5

Professor TBD FRE 6711 - Portfolio Theory and Applications (SECTION 2) TBD

Professor Anthony Pepenella FRE 6551 Accounting for Financial Products No text FRE 6271 Valuation of Equities, Securities and Finance Aswath Damodaran, Investment Valuation, Second Edition, Wiley ISBN: 0-471-41488-3

Professor Scanavinno FRE 6351 Advanced Financial Econometrics Carol Alexander Practical Financial Econometrics, John Wiley editions Tapiero Charles, Applied Stochastic Models and Control for Finance and Insurance, Kluwer Academic Press, 1998

Professor Ron Slivka FRE 6291 - Applied Derivative Contracts John Hull, Options, Futures and Other Derivatives, 7 th Edition, ISBN 9780136015864

Professor Nassim Taleb FRE 6041 Risk Management in the Real World Nassim Nicholas Taleb, The Black Swan, Random House, ISBN 9781400063512

Professor Charles Tapiero FRE 6123 Risk Management & Asset Pricing Charles Tapiero, Risk Finance and Asset Pricing, Volume I, (Handout can be picked up in the Department from Alla Vasserman for $15)

FRE 6051- Insurance Finance & Actuarial Science TBA

FRE 7811 Quant Topics in Finance & Financial Market II: Insurance Finance TBA

Professor Theodore Theodosopoulos FRE 6231 Stochastic Calculus and Financial Models R. Seydel, Tools for Computational Finance, 4th edition, ISBN: 978-3-540-92928-4 FRE 7801 Special Topics: High Frequency Finance Handouts FRE 6091 Financial Econometrics Christian Gourieroux, Joanna Jasiak, Financial Econometrics, ISBN: 0-691-08872-1 OR

9780691088723

Professor Daniel Totouom-Tangho

Updated as of 8/3/2010

FRE 6231 Stochastic Calculus and Financial Models TBA

Professor Richard Van Slyke FRE 6331- Finance Risk Management and Optimization Gerard Cornuejols and Reha Tütüncü, Cambridge, Optimization Methods in Finance, by University Press, 2007, ISBN-13 978-0-521-86170-0 and notes

Professor Barry Guttenplan FRE 6531 Financial Taxation Hugh Ault, Brian Arnold, Comparative Income Taxation 2 nd Edition, Aspen Publishers ISBN 0-7355-5195-2 Richard L. Doernberg, International Taxation In A Nutshell, 8 th Edition, Thompson West, ISBN 978-0-314-19424-4

Professor Andrew Pole FRE 6351 Advance Financial Econometrics FRE 6091 Financial Econometrics FRE 6083 Quantitative Methods Carol Alexander, Quantitative Methods in Finance ISBN 978-0-470-99800-7 Carol Alexander, Practical Financial Econometrics, ISBN 978-0-470-99801-4 Norman Draper and Harry Smith, Applied Regression Analysis, ISBN 0-471-02995-5 Analysis of Financial Time Series, Ruey Tsay, ISBN 0-471-69074-0 Time Series Analysis and Its Applications With R Examples, Robert H. Shumway and Davis S. Stoffer, ISBN 978-0-387-29137-2

Professor Edward Weinberger FRE 6251 - Number & Simulation Techniques in Finance FRE 6901- Spc. Tpcs: Monte Carlo Methods in Finance John Hull, Options, Futures and Other Derivatives, 7 th Edition ISBN 978-0136015864 Press, W. et al 3 rd Ed, Numerical Recipes in C++, ISBN-13: 978-0521880688 Glasserman, P, Monte Carlo Methods in Financial Engineering ISBN-13: 978-0387004518

Professor Anne Zissu FRE 6103 Corporate Finance Eugene F Brigham, Joel F Houston, 11 th Ed, Thompson South-Western, ISBN 032431900, ean:

9780324319804

Professor Jennifer Openshaw FRE 7851 Special Topics: Personal Finance Rachel Siegel and Carol Yacht, ISBN 13: 978-0-9823618-6-3, 978-1-936126-19-4

Professor Igor Halperin FRE 7831: Special Topics: Mathematical Techniques in Credit Derivatives. Dominic O’Kane, “Modeling single-name and multi-name credit derivatives, Wile 2008, ISBN 978-0-

470-51928-8

Professor Zhaoxia Xu FRE 6961 Financial Econometrics Lab Christopher F. Baum, An Introduction to Modern Econometrics Using State, Stata Press, Copyright 2006, ISBN: 10: 1-59718-013-0, ISBN: 13: 978-1-59718-013-9

Updated as of 8/3/2010