|Derivatives:||Forwards||Options||Put-Call Parity||Floors and Caps||Swaps|
|Risk Management:||Credit Risk||Credit Derivatives|
|Regulatory Framework:||Basel II Accord||Basel III Accord|
|Textbooks I studied||Curriculum Vitae|
Here are some comments regarding books that I have studied:
"Life Insurance Mathematics" by Hans. U. Gerber
A great introduction to life contingencies. It goes from a brief discussion of the theory of compound interest to the estimation of probabilities of death. Numerous exercises help in understanding the discussed topics.
"Elementos de cálculo actuarial" by José Gonzalez Gale (written in Spanish)
This old but very concise book discusses various topics for example a discussion of the Zillmer method. A lot of numerical examples are quite helpful.
"Group Insurance" by William F. Bluhm (Principal Editor)
This text (a very comprehensive treatment of all aspects of group insurance with emphasis on the actuarial aspects) is organized into eight sections, In these sections it describes various group coverages, discusses underwriting and risk management, covers such important topics as forecasting, trend analysis and financial reporting, and much, much more
"Stochastische Modelle in der Lebensversicherung" by Michael Koller (written in German)
The author models life insurance plans by markov chains. The book was written after a lecture Michael Koller held at the ETH Zurch.
"Mathematik und Technik betrieblicher Pensionszusagen" Herausgeber: Prof. Dr. Edgar Neuburger (written in German)
This textbook of applied mathematics is a complete description how to calculate pension benefits.
"Professional Risk Manager's Handbook" Herausgeber: PRMIA
A reference source for Risk Management with contributions from 40 leading authors in the field, the Handbook provides the knowledge and understanding of professional financial risk management.
"Grundlagen des Risikomanagements" by Robert Finke (written in German)
Fundamental Instruments of Risk Management, as for example the Monte-Carlo-Simulation or the CAPM. The author shows how you can price, measure and manage risks.
"Value-at-Risk" by Glyn A. Holton
This book takes readers from the basics of VaR to advanced techniques. These include variance reduction (control variates and stratified sampling) for MC VaR measures and the Cornish-Fisher expansion, just to name a few.
"Paul Wilmott Introduces Quantitative Finance" by Paul Wilmott
This book shows the classical side of quantitative finance. It includes chapters which gives the reader a thorough understanding of futures, options and numerical methods. The Black-Scholes model is discussed very profoundly.
"Study Manual: Probability" by Krzysztof Ostaszewski
An advanced script that serves as study material for the SOA examination P/1. The author discusses General Probability (Combinatorics), RVs and their distributions, Multivariate distributions, and Risk Management.
"TIA's Online-Seminar: Financial Mathematics" by James Washer (www.theinfiniteactuary.com)
The author discusses classical finance mathematics (Interest Theory, Annuities, Bonds, Duration and Immunization) and derivatives (Forwards, Futures, Options, and Swaps). Numerous worked exercises are given. This Online-Seminar serves also as study material for the FM/2 exam by SOA (Society of Actuaries)