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Applied Quantitative Finance
by Wolfgang K. Härdle (Editor), Nikolaus Hautsch (Editor), Ludger Overbeck (Editor), Springer, September 1, 2008, Hardcover, 448 pages
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The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM | Sponsor:
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| | Top Ten 20 Most Cited Books within Credit Derivative PapersUsing the same citations database used to compile the overall Most Referenced Books list, I then condition on just the subset of research papers listed within Credit Derivatives. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a credit derivative researcher. Updated as of 28-September-2008. | Cited in 20 CrDrv papers |  | Credit Risk: Modeling, Valuation and Hedging
by Tomasz R. Bielecki, Marek Rutkowski,
Springer, (March 5, 2004), Hardcover, 540 pages.
Amazon: Sales Rank= #757,242; Reviews=  (2). | | Cited in 11 CrDrv papers |  | Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher,
Wiley, (March 1, 2003), Hardcover, 600 pages.
Amazon: Sales Rank= #160,986; Reviews=  (9). | | Cited in 11 CrDrv papers |  | Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
by Damiano Brigo, Fabio Mercurio,
Springer, (September 26, 2007), Hardcover, 981 pages.
Amazon: Sales Rank= #38,786; Reviews=  (6). | | Cited in 9 CrDrv papers |  | Credit Risk Modeling: Theory and Applications
by David Lando,
Princeton University Press, (June 1, 2004), Hardcover, 320 pages.
Amazon: Sales Rank= #368,011; Reviews=  (4). | | Cited in 8 CrDrv papers |  | Credit Risk: Pricing, Measurement, and Management
by Darrell Duffie, Kenneth J. Singleton,
Princeton University Press, (January 6, 2003), Hardcover, 464 pages.
Amazon: Sales Rank= #535,073; Reviews= (5). | | Cited in 8 CrDrv papers |  | Options, Futures and Other Derivatives
by John C. Hull,
Prentice Hall, (May 18, 2008), Hardcover, 848 pages.
Amazon: Sales Rank= #2,597; Reviews=  (69). | | Cited in 7 CrDrv papers |  | Point Processes and Queues: Martingale Dynamics
by Pierre Bremaud,
Springer, (November 8, 2005), Hardcover, 354 pages.
Amazon: Sales Rank= #1,216,103; No customer reviews yet. | | Cited in 6 CrDrv papers |  | Stochastic Integration and Differential Equations
by Philip E. Protter,
Springer, (May 24, 2005), Hardcover, 302 pages.
Amazon: Sales Rank= #452,104; No customer reviews yet. | | Cited in 5 CrDrv papers |  | Brownian Motion and Stochastic Calculus
by Ioannis Karatzas, Steven E. Shreve,
Springer, (September 5, 2006), Hardcover, 470 pages.
Amazon: Sales Rank= #73,855; Reviews= (7). | | Cited in 5 CrDrv papers |  | Mathematics of Derivative Securities
by Michael A. H. Dempster, Stanley R. Pliska,
Cambridge University Press, (October 13, 1997), Hardcover, 600 pages.
Amazon: Sales Rank= #1,842,630; Reviews= (1). | | Cited in 5 CrDrv papers |  | Credit: The Complete Guide to Pricing, Hedging and Risk Management
by Angelo Arvanitis (Editor), Jon Gregory (Editor),
Risk Books, (April 1, 2001), Hardcover, 424 pages.
Amazon: Sales Rank= #1,426,056; Reviews=  (6). | | Cited in 4 CrDrv papers |  | Mathematical Finance - Bachelier Congress 2000
by Helyette Geman (Editor), Dilip Madan (Editor), Stanley R. Pliska (Editor), and Ton Vorst (Editor),
Springer, (February 5, 2002), Hardcover, 521 pages.
Amazon: Sales Rank= #2,702,868; No customer reviews yet. | | Cited in 4 CrDrv papers |  | Lévy Processes
by Jean Bertoin,
Cambridge University Press, (December 28, 1998), Paperback, 276 pages.
Amazon: Sales Rank= #451,547; No customer reviews yet. | | Cited in 4 CrDrv papers |  | Paris-Princeton Lectures on Mathematical Finance 2003
by Tomasz R. Bielecki, Tomas Björk, Monique Jeanblanc, Marek Rutkowski, José A. Scheinkman, Wei Xiong,
Springer, (December 3, 2004), Paperback, 250 pages.
Amazon: Sales Rank= #2,427,528; No customer reviews yet. | | Cited in 4 CrDrv papers |  | Derivatives Trading and Option Pricing
by Nicholas Dunbar,
Risk Books, (March 1, 2005), Hardcover, 415 pages.
Amazon: Sales Rank= #1,491,437; No customer reviews yet. | | Cited in 3 CrDrv papers |  | Quantitative Risk Management: Concepts, Techniques, and Tools
by Alexander J. McNeil, Rudiger Frey, and Paul Embrechts,
Princeton University Press, (September 26, 2005), Hardcover, 608 pages.
Amazon: Sales Rank= #138,427; Reviews= (8). | | Cited in 3 CrDrv papers |  | Martingale Methods in Financial Modelling
by Marek Musiela, Marek Rutkowski,
Springer, (June 11, 2007), Hardcover, 636 pages.
Amazon: Sales Rank= #117,355; Reviews= (7). | | Cited in 3 CrDrv papers |  | Advanced Credit Risk Analysis
by Didier Cossin, Hugues Pirotte,
Wiley, (June 9, 2000), Hardcover, 400 pages.
Amazon: Sales Rank= #921,396; Reviews= (9). | | Cited in 3 CrDrv papers |  | Lévy Processes and Infinitely Divisible Distributions
by Ken-iti Sato,
Cambridge University Press, (November 13, 1999), Hardcover, 498 pages.
Amazon: Sales Rank= #370,229; No customer reviews yet. | | Cited in 3 CrDrv papers |  | Monte Carlo Methods in Financial Engineering
by Paul Glasserman,
Springer, (August 7, 2003), Hardcover, 602 pages.
Amazon: Sales Rank= #44,588; Reviews= (20). |
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