# Quantitative Finance Books Citing My Papers

Dec 9, 2017 · 2 minute read · Commentsquant

I would have never really expected that when I started writing papers, but little by little there is a growing list of books citing my papers:

- Applied Quantitative Finance for Equity Derivatives by Jherek Healy: the most recent book on equity derivatives refers to several of my papers. In contrast with many other books, the author goes beyond and provides additional insights on the papers.
- Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling by Jörg Kienitz and Peter Casper. It refers to the paper “finite difference techniques for arbitrage-free SABR”, written in collaboration with Gary Kennedy.
- Interest Rate Derivatives Explained: Volume 1: Products and Markets by Jörg Kienitz. It refers to my paper on curve interpolation (there is a mistake in the actual reference given inside the book,about arbitrage-free SABR, which unrelated to the text). I like how this book gives real world market data related to the products considered.
- Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation by Marc Henrard. It refers to the paper about yield curve interpolation. This is one of the rare books to present curve construction in depth.

There are also some Springer books which are typically a collection of papers on a specific subject (which I find less interesting).

- Novel Methods in Computational Finance. Jörg Kienitz refers to my paper on arbitrage free SABR in chapter 4.
- Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation. Christian Fries refers to my paper on curve interpolation in chapter 10.