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, , 7th Edition, ISBN: 978-0-13-208023-1
FRE 6023 Economic Foundations in Finance
W. Bruce Allen, Neil Doherty et al.. Managerial Economics, 2009, W.W. Norton Company, 7th
Edition, ISBN: 978-0-393-93224-9

Professor Paul Biederman

FRE 6031 Money, Banking and Financial Markets
R. Glenn Hubbard, Money, The Financial System and the Economy, Addison Wesley, 6th 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, 7th Edition ISBN-10: 0314184236

Professor Gregg Fisher

FRE 6991 Special Topics: Fin Advising & Invest Management
Jean Brunel, Integrated Wealth Management, 2nd 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, 3rd Edition, Princeton University Press, Nov 2000

Professor Barry Guttenplan

FRE 6531 Financial Taxation
Ault/Arnold, Comparative Income Taxation, 2nd Edition, Aspen Publishers, ISBN: 0-7355-5195-2
Doernberg, International Taxation In A Nutshell, 8th 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 (3RD SECTION)
Duffie Darrell, Dynamic Asset Pricing Theory, 3rd 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, 2nd 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, 2nd 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, 4th 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, 4th Edition, ISBN: 0-07-146073
FRE 6591 Real Estate & Mortgage Backed Securities
Frank Fabozzi, Fixed Income Mathematics, 4th 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
http://www.amazon.com/Advances-Behavioral-Finance-Roundtable-
Economics/dp/0691121753

FRE 6511 Interm Deriva Valuation & Apps

No required or recommended textbook.
Supplemental: John Hulls 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
http://www.amazon.com/Investment-Strategies-Hedge-Funds-
Finance/dp/0470026278

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, 7th 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 Ttnc, 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 2nd Edition, Aspen Publishers
ISBN 0-7355-5195-2
Richard L. Doernberg, International Taxation In A Nutshell, 8th 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, 7th Edition ISBN 978-0136015864
Press, W. et al 3rd 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, 11th 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 OKane, 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