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Melbourne Business School


Financial modelling
Compilation date: May 2004
This bibliography is a selective listing of works held by the MBS Library. The selection reflects the teaching and research focus of the academic programs at MBS. For a fuller coverage of the subject, please refer to the catalogue. Accounting and the investment opportunity set / Ahmed Riahi- Belkaoui. Westport, Conn. ; London : Quorum Books, 2000. 658.15 BELK Active portfolio management : a quantitative approach for providing superior returns and controlling risk / Richard C. Grinold, Ronald N. Kahn. 2nd ed. New York : McGraw-Hill, c2000. 332.60151 GRIN Advanced fixed income valuation tools / Narasimhan Jegadeesh, Bruce Tuckman. New York ; Chichester : Wiley, c2000. 332.632044 JEGA An introduction to mathematical finance : options and other topics / Sheldon M. Ross. Cambridge : Cambridge University Press, 1999. 332.60151 ROSS Applied linear statistical models : regression, analysis of variance, and experimental designs / John Neter, William Wasserman, Michael H. Kutner. 3rd ed. Homewood, IL : Irwin, c1990. 519.536 NETE Arbitrage pricing of contingent claims / Sigrid Muller. Berlin ; New York : Springer-Verlag, c1985. 332.60724 MULL
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Arbitrage theory in continuous time / Tomas Bjork. Oxford ; New York : Oxford University Press, 1998. 332.645 BJOR Asset management and investor protection : an international analysis / Julian Franks, Colin Mayer, and Luis Correia da Silva. Oxford ; New York : Oxford University Press, 2003. 332.6 FRAN Asset pricing / John H. Cochrane. Princeton, N.J. : Princeton University Press, 2001. 332.6 COCH Asset pricing under asymmetric information : bubbles, crashes, technical analysis, and herding / Markus K. Brunnermeier. Oxford : Oxford University Press, 2001. 332.63222 BRUN Beyond value at risk : the new science of risk management / Kevin Dowd. Chichester ; New York : Wiley, c1998. 658.155 DOWD Binomial option pricing with applications to exotic options / prepared for the 6th Annual Australasian Finance and Banking Conference, December 9-10 1993 by Mark Rubinstein. [Sydney : University of New South Wales], 1993. f 332.63228 RUBI


Capital budgeting : financial appraisal of investment projects / Don Dayananda ... [et al.]. New York : Cambridge University Press, 2002. 658.154 CAPI Capital budgeting : planning and control of capital expenditures / John J. Clark, Thomas J. Hindelang, Robert E. Pritchard. 3rd ed. Englewood Cliffs, N.J. : Prentice Hall, c1989. 658.154 CLAR Capital budgeting and long-term financing decisions / Neil Seitz, Mitch Ellison. 2nd ed. Fort Worth : Dryden Press, c1995. 658.154 SEIT (CF/DIBM) Chaos and order in the capital markets : a new view of cycles, prices, and market volatility / Edgar E. Peters. New York : Wiley, c1991. 332.0414 PETE Complete guide to option pricing formulas / Espen Gaarder Haug. New York ; London : McGraw-Hill, c1998. 332.63228 HAUG (CF/DIBM) Computer-aided financial analysis / Ross M. Miller. Reading, Mass. : Addison-Wesley, c1990. 332.60285 MILL Continuous-time Finance / Robert C. Merton ; foreword by Paul A. Samuelson. Rev. ed. Cambridge, M.A. : Blackwell, 1992. 332.0118 MERT Corporate hedging in theory and practice : lessons from Metallgesellschaft / edited by Christopher L. Culp and Merton H. Miller. London : Risk Books, c1999. f 332.63228 CORP Currency forecasting : a guide to fundamental and technical models of exchange rate determination / Michael R. Rosenberg. Chicago, Ill. : Irwin Professional Publishing, c1996. 332.45 ROSE Damodaran on valuation : security analysis for investment and corporate finance / Aswath Damodaran. New York : Wiley, c1994. 658.15 DAMO

Derivatives markets / Robert L. McDonald. Boston, MA : Addison Wesley, 2003. 332.645 MCDO CF/CD Do dividends matter? : a review of corporate dividend theories and evidence / by James S. Ang. [New York] : Salomon Brothers Center for the Study of Financial Institutions, Graduate School of Business Administration, New York University, [c1987]. 332.63221 ANG Dynamic asset pricing theory / Darrell Duffie. 3rd ed. Princeton, N.J. : Princeton University Press, c2001. 332.6 DUFF Dynamic choice and asset markets / Sumru Altug, Pamela Labadie. San Diego : Academic Press, c1994. 332.6015118 ALTU Dynamic hedging : managing vanilla and exotic options / Nassim Taleb. New York : Wiley, c1997. 332.645 TALE Efficient asset management : a practical guide to stock portfolio optimization and asset allocation / Richard O. Michaud. Boston, Mass. : Harvard Business School Press, c1998. 332.6 MICH Evaluating capital projects / Ahmed RiahiBelkaoui. Westport, Conn. ; London : Quorum Books, 2001. 658.154 BELK Finance theory / Robert A. Jarrow. Englewood Cliffs, N.J. : Prentice-Hall, c1988. 332.0724 JARR Financial analysis and the predictability of important economic events / Ahmed RiahiBelkaoui. Westport, Ct. : Quorum, 1998. 658.1554 RIAH Financial econometrics for researchers in finance and accounting / H. Russell Fogler, Sundaram Ganapathy. Englewood Cliffs, N.J. : Prentice-Hall, c1982. 330.028 FOGL

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Financial engineering and computation : principles, mathematics, algorithms / Yuh-Dauh Lyuu. Cambridge : Cambridge University Press, 2002. 332.60151 LYUU Financial modeling / Simon Benninga ; with a section on Visual Basic for Applications by Benjamin Czaczkes. 2nd ed. Cambridge, Mass. : MIT Press, c2000. 332.015118 BENN (CF/CD) Financial modelling / Pamela Angus-Leppan. Sydney : Butterworths, 1984. 658.150724 ANGU Financial modelling for business decisions / Bryan Kefford. London : Kogan Page, 1995. 658.1510113 KEFF Financial risk management : domestic and international dimensions / Phillippe Jorion, Sarkis Joseph Khoury. Cambridge, Mass. : Blackwell Publishers, 1996. 332.645 JORI Forecasting financial markets : exchange rates, interest rates and asset management / edited by Christian Dunis. Chichester [England] ; New York : J. Wiley, c1996. 332.0414 FORE Foundations for financial economics / Chi-fu Huang, Robert H. Litzenberger. New York : North-Holland, c1988. 332 HUAN Frontiers in fixed income management : the state-of-the-art in credit risk, derivatives valuation and portfolio strategies / Thomas S.Y. Ho, editor. Chicago, Ill. : Probus Pub., c1995. 332.632044 FRON Genetic algorithms and investment strategies / Richard J. Bauer, Jr. New York : Wiley, c1994. 332.6015118 BAUE Global portfolio diversification : risk management, market microstructure, and implementation issues / edited by Raj Aggarwal, David C. Schirm. San Diego : Academic Press, c1995. 332.673 GLOB

Handbook of asset/liability management : stateof-the-art investment strategies, risk controls, and regulatory requirements / Frank J. Fabozzi & Atsuo Konishi, editors. Rev. ed. Chicago, Ill. : Irwin Professional Pub., c1996. 332.10681 HAND Handbook of security analyst forecasting and asset allocation / edited by John B. Guerard, Jr., Mustafa N. Gultekin. Greenwich, Conn. : JAI Press, c1993. 332.6 HAND Implementing value at risk / Philip Best. Chichester, England : J. Wiley & Sons, c1998. 332.17540681 BEST CF/CD Information evaluation in capital markets / Volker Firchau. Berlin ; New York : Springer-Verlag, c1986. 332.60724 FIRC Interest-rate option models : understanding, analysing and using models for exotic interestrate options / Riccardo Rebonato. Chichester ; New York : Wiley, 1996. 332.6323 REBO International capital budgeting / Adrian Buckley. London ; New York : Prentice Hall, 1995. 658.154 BUCK Introduction to futures and options markets / John C. Hull. 3rd ed. Upper Saddle River, N.J. : Prentice Hall, c1998. 332.644 HULL CF/DIBM Investment science / David G. Luenberger. New York : Oxford University Press, 1998. 332.60151 LUEN Management of corporate financial assets : applications of mathematical programming models / J.S.H. Kornbluth, G.R. Salkin. London ; Orlando : Academic Press, 1987. 658.150724 KORN Market risk amendment : understanding the marking-to-model and value-at-risk / Dimitris N. Chorafas. New York : McGraw-Hill, c1998. 332.632 CHOR

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Mathematical methods in finance and economics / Sarkis J. Khoury, Torrence D. Parsons. New York : North Holland, c1981. 330.0151 KHOU Mathematical modelling : a source book of case studies / edited by I.D. Huntley and D.J.G. James. Oxford [England] ; New York : Oxford University Press, 1990. 511.8 MATH Mathematical techniques in finance : tools for incomplete markets / Ales Cerny. Princeton, N.J. : Princeton University Press, 2004. 332.0151 CERN [2004] Mathematics of money management : risk analysis techniques for traders / Ralph Vince. New York : Wiley, c1992. 332.60151 VINC Mean-variance analysis in portfolio choice and capital markets / Harry M. Markowitz. Oxford ; New York : B. Blackwell, 1987. 332.6 MARK Measuring and controlling interest rate and credit risk / Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry. 2nd ed. Hoboken, New Jersey : Wiley, 2003. 332.632 FABO [2003] Microscopic simulation of financial markets : from investor behavior to market phenomena / Moshe Levy, Haim Levy, Sorin Solomon. San Diego : Academic Press, c2000. 332.041011 LEVY Modelling financial time series / Stephen Taylor. Chichester [England] ; New York : Wiley, c1986. 332.632220724 TAYL Modern portfolio theory and the capital asset pricing model : a user's guide / Diana R. Harrington. Englewood Cliffs, N.J. : Prentice-Hall, c1983. 332.6 HARR New corporate finance : where theory meets practice / edited by Donald H. Chew. 3rd ed. Boston : McGraw-Hill/Irwin, c2001. 658.15 NEW [2001]

New methods in financial modeling : explorations and applications / Houston H. Stokes and Hugh M. Neuburger. Westport, Conn : Quorum Books, c1998. 332.6015118 STOK Numerical techniques in finance / Simon Benninga. Cambridge, Mass. : MIT Press, c1989. 658.150285 BENN Optimal dynamic investment policies of a value maximizing firm / Peter M. Kort. New York : Springer-Verlag, c1989. 658.152 KORT Paradox of asset pricing / Peter Bossaerts. Princeton, N.J. : Princeton University Press, 2002. 332.6 BOSS Paul Wilmott introduces quantitative finance. Chichester; New York : John Wiley, 2001. 332 WILM CF/CD Portfolio indexing : theory and practice : investing in the twilight zone / Harold Hutchinson. Chichester ; New York : Wiley, c1999. 332.6 HUTC Practical applications of approximate equations in finance and economics / Manuel Tarrazo. Westport, Conn. ; London : Quorum Books, 2001. 330.0151 TARR Pricing corporate securities as contingent claims / Kenneth D. Garbade. Cambridge, Mass. ; London : MIT, c2001. 332.632 GARB Principles of financial economics / Stephen F. LeRoy, Jan Werner ; foreword by Stephen A. Ross. Cambridge : Cambridge University Press, 2001. 332 LERO Project flexibility, agency, and competition : new developments in the theory and application of real options / edited by Michael J. Brennan, Lenos Trigeorgis. New York : Oxford University Press, c2000. 658.152 PROJ Psychology of risk : mastering market uncertainty / Ari Kiev. New York ; [Chicester] : Wiley, c2002. 332.6019 KIEV

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Quantitative analysis for investment management / Robert A. Taggart, Jr. Upper Saddle River, NJ : Prentice Hall, c1996. 332.6 TAGG Quantitative financial economics : stocks, bonds, and foreign exchange / Keith Cuthbertson. Chichester, England ; New York : John Wiley, c1996. 332.6 CUTH A quantitative framework for financial management / by D. E. Peterson, with the collaboration of R. B. Haydon. Homewood, Ill., R. D. Irwin, 1969. 658.15 PETE Quantitative methods for finance and investments / John L. Teall and Iftekhar Hasan. Oxford ; Malden, MA : Blackwell Publishing, 2002. 332.015118 TEAL Rational expectations and efficiency in futures markets / edited by Barry A. Goss. London : Routledge, 1992. 332.645 GOSS Real options : managerial flexibility and strategy in resource allocation / Lenos Trigeorgis. Cambridge, Mass. : MIT Press, c1996. 658.154 TRIG Review of quantitative finance and accounting. Boston, U.S.A.; Dordrecht, Netherlands : Kluwer Academic Publishers, c1991P REVI Risk budgeting : portfolio problem solving with Value-at-risk / Neil D. Pearson. New York : J. Wiley, 2002. 332.6 PEAR Risk management : value at risk and beyond / edited by M.A.H. Dempster. Cambridge : Cambridge University Press, 2002. 658.155 RISK Risk management and analysis / edited by Carol Alexander. Chichester, England ; New York : Wiley, c1998. 332.645 RISK

Risk management and regulation in banking : proceedings of the International Conference on Risk Management and Regulation in Banking (1997) / edited by Dan Galai ... [et al.]. Boston : Kluwer, c1999. 368.1068 INTE Security markets : stochastic models / Darrell Duffie. Boston : Academic Press, c1988. 332.6320724 DUFF Seeing tomorrow : rewriting the rules of risk / Ron S. Dembo, Andrew Freeman. New York : John Wiley & Sons, c1998. 332.6 DEMB Sequential binary investment decisions : a Bayesian approach / Werner Jammernegg. Berlin ; New York : Springer-Verlag, c1988. 658.1520724 JAMM A simple binomial no-arbitrage model of the term structure : with applications to the valuation of interest-sensitive options and interest- rate swaps / by Thomas J. O'Brien. New York, N.Y. : New York University Salomon Center, Leonard N. Sterm School of Business, [c1991]. 332.113 OBRI Simple rules of risk : revisiting the art of financial risk management / Erik Banks. New York : J. Wiley, 2002. 658.155 BANK Statistical methods in finance / edited by G.S. Maddala, C.R. Rao. Amsterdam ; New York : Elsevier, 1996. 332.015195 STAT Stochastic methods in economics and finance / A.G. Malliaris ; with a foreword and contributions by W.A. Brock. Amsterdam ; New York : North-Holland Pub. Co. ; New York : Sole distributors for the U.S.A. and Canada, Elsevier/North-Holland, c1982. 330.0724 MALL Stochastic models and option values : applications to resources, environment, and investment problems / edited by Diderik Lund and Bernt ksendal. Amsterdam ; New York : North-Holland ; New York, NY, U.S.A. : Distributors for the United States and Canada Elsevier Science Pub., 1991. 332.015118 STOC

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Strategic asset allocation : portfolio choice for long-term investors / John Y. Campbell, Luis M. Viceira. Oxford : Oxford University Press, 2002. 332.6 CAMP The valuation of Shares and the efficientmarkets theory / Michael Firth. London : Macmillan, 1977. 332.6322 FIRT Theory of financial decision making / Jonathan E. Ingersoll, Jr. Totowa, N.J. : Rowman & Littlefield, 1987. 332.60724 INGE Trading on the edge : neural, genetic, and fuzzy systems for chaotic financial markets / Guido J. Deboeck, editor. New York : Wiley, c1994. 332.60285 TRAD Valuation of interest-sensitive financial instruments / David F. Babbel, Craig B. Merrill. Schaumburg,Ill. : Society of Actuaries, 1996. f 332.6450151 BABB Value at risk : the new benchmark for managing financial risk / Philippe Jorion. 2nd. ed. New York : McGraw-Hill, c2001. 658.155 JORI Visual IFPS/Plus for business / Paul Gray. Upper Saddle River, NJ : Prentice Hall, c1996. f 658.150285536 GRAY

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