References

1. Portfolio Management
BKM:

Bodie, Kane and Marcus, Investments, McGraw-Hill, International 2008,

7th edition

SAB:

Sharpe, Alexander and Bailey, Investments, Prentice-Hall, 1999, 6th

edition

SOLNIKM: Bruno Solnik and Mcleavey, International Investments, AddisionWesley, 2004, 5th edition
GK:

Grinold and Kahn, Portfolio Management, Probus Publishing, Chicago,

Cambridge (U.K.)

B:

Blake, D. (2006): Pension Finance.

S:

Scherer, B. (2003): Asset and Liability Management Tools

F:

Fabozzi, F.J. (1999): Investment Management

LBK:

Leibowitz, M.L.; L.N. /Bader & S.K. Kogelman (1996): Return Targets
and Shortfall Risks.

M:

Muralidhar, A.S. (2001): Innovations in Pension Fund Management.

2. Equity Valuation and Analysis

SAB:

Sharpe, Alexander and Bailey, Investments, Prentice-Hall, 1999, 6th

edition

BMA:

Brealey and Meyers Allen, Corporate Finance, McGraw-Hill,

International 2006, 8th edition

BKM:

Bodie, Kane and Marcus, Investment, McGraw-Hill, International 2008,

8th edition

SOLNIKM: Solnik and Mcleavey, International Investment, Addision-Wesley,

International 2004, 4th edition

Exam Guide

3. Bond Valuation and Analysis

SAB:

Sharpe, Alexander and Bailey, Investment, Prentice-Hall, 1999, 6th

edition

BKM:

Bodie, Kane and Marcus, Investments, McGraw-Hill, International, 2008

7th edition

FAB:

Fabozzi Frank, J., Bond Markets, Analysis and Strategies, Prentice-Hall,

International 2007 6th edition

HULL(f): Hull, Fundamentals of Futures and Options Markets, Prentice-Hall, 200,

6th edition
HULL

Hull, Options, Futures and Other Derivatives, Prentice-Hall, International

2006, 6th edition

FEL:

Felsenheimer, Jochen, Gisdakis, Philip and Zaiser, Michael, Active Credit

Portfolio Management, A practical guide to credit risk management
strategies, Wiley, 2006

4. Derivative Valuation and Analysis

HULL(f): Hull, J., Fundamentals for Futures and Options Markets, Prentice-Hall,
International 2008, 6th edition
SAB:

Sharpe, Alexander and Bailey, Investments, Prentice-Hall, 1999, 6th

edition

BKM:

Bodie, Kane and Marcus, Investments, McGraw-Hill, International 2008,

7th edition

FAB:

Fabozzi Frank, J., Bond Markets, Analysis and Strategies, Prentice-Hall,

2007, 6th edition

ESM:

Eiteman, Stonehil and Moffett, Multinational Business Finance,

Addison-Wesley, International 2007, 11th edition

HULL

Hull, J. , Options, Futures & Other Derivatives, Prentice-Hall,

International, 2006, 6th edition

5. Corporate Finance

BMA:

Brealey and Meyers and Allen, Principle of Corporate Finance,

McGraw-Hill, International 2006, 6th edition

ESM:

Eiteman, Stonehil and Moffett, Multinational Business Finance,

Addison-Wesley, International 2007, 11th edition

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Exam Guide

6. Financial Accounting and Financial Statement Analysis

WSF:

White, Sondhi and Fried, The Analysis and Use of Financial Statements,
John Wiley & Sons Inc., 1994

ESM:

Eiteman, Stonehil and Moffett, Multinational Business Finance,

Addison-Wesley, 1995, 8th edition

REES:

Bill Rees, Financial Analysis, Prentice-Hall, 1995

PENMAN Stephen, Financial statement analysis and security valuation, McGrawHill, International edition, 2001.
ABJ:

Alexander David, Anne Britton and Ann Jorissen,

International financial reporting and analysis, Thomson, 2005.

PHB:

Palepu Krishna, Paul Healy and Victor Bernard, Business

analysis and valuation using financial statements, Thomson Learning,
2nd edition, 2000.

BENNINGA Simon and Oded SARIG, Corporate finance: A valuation approach,

McGraw-Hill, 1997
IFRS/IAS Accounting Standards
7. Economics
KO:

Krugman and Obstfeld, International Economics, Theory and Policy,

Addison-Wesley, 2003, 6th edition

Mankiw:

Mankiw, Macroeconomics, Worth Publishers, 2007, 6th edition

Blanchard: Blanchard, Macroeconomics, Pearson Prentice Hall, 2006, 4th edition

Dornbusch: Dornbusch, Fischer and Startz, Macroeconomics, McGraw-Hill, 2003,
9th edition

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Exam Guide

Further Readings
1. Portfolio Management
-

Elton, E. and Gruber, M., Modern Portfolio Theory and Investment Analysis,
New York, John Wiley & Sons Inc. 1991
Margin, J.L., Tuttle, D. L. (ed)., Managing Investment Portfolios, Warren,
Gortham & Lamont, 1990, 2nd edition
Farell, Portfolio Management, Theory and Applications, McGraw-Hill, 2nd
edition
Chopra & Ziembra, The effect of errors in means, variance and covariance on
optimal portfolio choice, JPM, 1993
Fischer & Statman, The mean-variance optimization puzzle: security portfolios
and food portfolio, FAJ, 1997
Perold & Sharpe, Dynamic Strategies for Asset Allocation, FAJ, 1988
Odier & Solnik, Lessons for International Asset Allocation, FAJ, 1993
Jorion, Risk, Measuring the risk in value at risk, FAJ, 1996
Beckers, Manager Skill and Investment Performance: How strong is the link?,
JPM, Summer 1997
Kahn, R., What Practicioners need to know about backtesting, FAJ, 1990

2. Equity Valuation and Analysis

3. Bond Valuation and Analysis

-

Douglas, L., Bond Risk Analysis, New York, Institute of Finance, 1990.
Elton, E. and M. Gruber, Modern Portfolio Theory and Investment Analysis,
Wiley, 1991, chap. 18-20
Fabozzi, F. (ed)., Bond and Mortgage Markets, Probus, 1989
Fabozzi, F. (ed)., The Handbook of Fixed Income Securities, Irwin, 1991.
Joel Stem and Donald H Chew, Jr (eds), The Revolution in Corporate Finance,
Blackwell, 1998
London, J. Modelling Derivatives Applications, FT Press, 2007
Neftci, Salih N. Principles of Financial Engineering, Elsevier Academic Press,
2004
Elton, Edwin J. Gruber, Martin J. Agrawal, Deepak and Mann, Christopher,
Expaining the rate spread on corporate bonds, Journal of Finance, Feb 2001
Dynkin, Lev, Gould, Anthony, Hyman, Jay, Konstantinovsky, Vadim, Phelps
Bruce, Quantitative Management of Bond Portfolios, Princeton University Press,
2007

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Exam Guide

Duffie, D. Singleton, Kenneth J. Credit Risk, Pricing, Meaurement and

Management, Princeton University Press, 2007
Deutsche Bundesbank(BUBA), Credit Default Swaps-Funktionen, Bedeutung
und Informationsgehalt, Monatsbericht, Dec 2004
Das, Sanjiv R., Hanouna, P. Credit Defaualt Swap Spreads, working paper,
Santa Clara University , California, 21 June 2006
Bank fr internationalen Zahlungsverkehr (BIZ) Indextranchen von Credit
Default Swaps und die Bewertung von Kreditriskokorrelaionen, BIZQuartalsbericht, Mrz 2005

4. Derivative Valuation and Analysis

-

Hull, J., Options, Futures and other Derivatives and Securities, 4th edition, 1997
Chriss, N., Block-Scholes and beyond; option pricing models, 1997
Rebonato, R., Interest-Rate Option Models, 1997
Galitz, L., Financial Engineering, 1995
Natenberg, S., Option Volatility and Pricing, 1994

5. Corportate Finance
-

Clifford W. Smith, Raising Capital: Theory and Evidence (in JS & DC)
Yakov Amihud and Haim Mendelson, Liquidity and Cost of Capital: Implication
for Corporate Management (in JS & DC)
Barr Rosenberg and Andrew Rudd: The Corporate Uses of Beta (in JS & DC)
S.P. Kothari and Jay Shanken, In Defence of Beta (in JS & DC)
Stewart Myers, The Search for Optimal Capital Structure (in JS & DC)
Stewart Myers, Still Searching for Optimal Capital Structure (in JS & DC)
Merton Miller; The Modigliani Miller Propositions after Thirty Years
Randal Woolridge and Chinmoy Gosh, Dividend Cuts: Do They Always Signal
Bad News?
Michael Jensen, The Takeover Controversy: Analysis and Evidence
Allen Michel, Israel Shaked, RJR: A Case Study of a Complex Leveraged
Buyout, FAJ, September-October 1991
Mike Wright and Ken Robbie, Corporate Restructuring, Buy-outs and
Managerial Equity, The European Dimension
Clifford Smith and D. Skyes Wilford, Managing Financial Risk
Philippe Jorion, Risk: Measuring the Risk in Value at Risk, FAJ,
November/December, 1996
Joel Stem and Donald H Chew, Jr (eds), The Revolution in Corporate Finance,
Blackwell, 1998

ACIIA August 2008

Exam Guide

6. Analysis of Financial Reports and Accounts

-

Elliot and Elliot, Financial Accounting and Reporting, Prentice-Hall, 2nd

edition, 1996
Foster, Financial Statement Analysis, 2nd edition, Prentice-Hall, 1986

7. Economics
-

Krugmann, Paul R. & Obstfeld, Maurice (1994), International Economics:

Theory and Policy, 3rd edition, HarperCollins College Publishers (Scott,
Foresman & Co), New York
Samuelson, Nordhaus (1998), Economics, 16th edition, Irwin McGraw-Hill, New
York
Solnik, Bruno (1996), International Investment, 3rd edition, Addision-Wesley,
Reading, MA

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