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Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment 1 review
Kenneth J. Singleton
Princeton University Press, 2006
A good choice
A fantastic book. It's build in three parts: I-Numerics and Econometrics, II- preference based valuation and III-Arbitrage Valuation. Very useful for finance researchers.
Moreover is not an expensive book (compared with similars).
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Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) 16 reviews
Fabrice Douglas Rouah, Gregory Vainberg
Wiley, 2007
Good practical option pricing book
+ Course Text Recommendation
+ A staple in my cubicle
+ Good Contents, Good Writing, Bad VBA Codes
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Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance) 4 reviews
Riccardo Rebonato
Wiley, 2004
very informative and reader friendly
+ Amazing book
+ Excellent
for the first time I really understood risk neutral probability, explanations are excellent. unfortunately I am only read about 10 chapters int he book, should spend more time with it.
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Time Series Analysis27 reviews
James Douglas Hamilton
Princeton University Press, 1994
Excellent Book
+ time series for econometricians especially
+ Excellent book in time series
+ No complaints.
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Statistical Analysis of Financial Data in S-PLUS 7 reviews
Rene A. Carmona
Springer, 2004
A Great Tool to get an Intuitive Feel for Statistics
+ as described
+ this is a great book for who are not familiar with S plus
+ Dataset available now Prof Carmona's site
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Bootstrap Methods and Their Application (Cambridge Series in Statistical and Probabilistic Mathematics , No 1)7 reviews
A. C. Davison, D. V. Hinkley
Cambridge University Press, 1997
you get your money's worth
+ worth the price
+ A Clear Introduction to the Bootstrap & Applications
+ It is a very good book
+ Exceptionally clear, concise and practical
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Dynamic Asset Pricing Theory. Second edition6 reviews
Darrell Duffie
Princeton University Press, 1996
Finance for economists
+ Demanding but rewarding!
+ best intro of finance for math guys
+ A tricky book
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The Complete Guide to Option Pricing Formulas29 reviews
Espen Gaarder Haug
McGraw-Hill, 2006
Every desk should have a copy: by a practitioner for practitioners
+ Very nice book
+ The Ultimate Book on Option Prices
+ Excellent Book
+ A fundamental source in a pricing area
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The Treasury Bond Basis (Mcgraw-Hill Library of Investment and Finance)8 reviews
Galen Burghardt, Terry Belton
McGraw-Hill, 2005
THE textbook for basis trading
+ Great book
+ Yet another masterpiece for the doctor
+ Yet another masterpiece for the doctor
+ Top class reference
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Empirical Modelling in Economics: Specification and Evaluation2 reviews
Clive Granger
Cambridge University Press, 1999
One of the most interesting book I have ever read!
+ Good Introductory Stuff
This is probably the first and the last econometrics book I will have read just for fun! Although the title of the book sounds daunting, I found it very easy to read. If you are interested in intutions behind building econometric models, you should consider reading this book. A word of caution: if ...
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Stochastic Differential Equations: An Introduction with Applications22 reviews
Bernt K. Oksendal
Springer, 2002
A very good book!
+ Very good book
+ A bit dense for non-Math Quants...but worth pursuing
+ The best book for a first grad course on Stochastic Calculus.
+ Excellent introduction on Stochastic Differential Equations
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Principles of Real Analysis, Third Edition4 reviews
Charalambos D. Aliprantis
Academic Press, 1998
One of the best
+ Something you can really work on.
+ Excellent Coverage plus a wealth of problems
An ideal text for a first-year graduate students in mathematics studying Real Analysis. The exposition is complete and very clear, including a lot of optional material for the curious. A detailed introduction to Functional Analysis is also included. Those needing the infamous Radon-Nikodym theorem ...
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Bayesian Computation with R (Use R)4 reviews
Jim Albert
Springer, 2008
more practicality added to Bayesian inference
+ Excellent book for self-starters
+ Fantastic Resource
Jim Albert is a great teacher and an excellent writer. The R language is becoming one of the most used languages by statistical researchers. This is because it has many similarities to S and can be used freely, Jim makes R easy to learn for statisticians in this book. One of the big ...
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Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)7 reviews
Ioannis Karatzas, Steven E. Shreve
Springer, 2004
The best introduction
+ Excelent
+ A Superb Book
+ A Must
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Energy and Power Risk Management: New Developments in Modeling, Pricing and Hedging5 reviews
Alexander Eydeland, Krzysztof Wolyniec
Wiley, 2002
Excellent subject treatment
+ Good overview
+ excellent book
Until now there were a handful of papers, precious few books, and mostly inside proprietary models and experience that dealt with the complex subject of power trading and all its flavors. This book provides a nice summary of many of the present issues. The treatment of the subject is somewhat ...
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Inside Volatility Arbitrage : The Secrets of Skewness7 reviews
Alireza Javaheri
Wiley, 2005
Cool !
+ Excellent Book
+ A Masterpiece
+ Finally !
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Modeling Financial Time Series with S-PLUSŪ8 reviews
Eric Zivot, Jiahui Wang
Springer, 2006
Great applied econometrics book, even without FinMetrics!
+ Indispensible
+ Good summary of models and live examples
Zivot and Wang have done a phenomenal job of covering intermediate to advanced topics in econometrics along with the S programming language. Extensive literature reviews are coupled with robust examples and mathematics, and topped off with S code. I am a quantitative hedge fund manager, and I use ...
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Credit Derivatives Pricing Models: Model, Pricing and Implementation 9 reviews
Philipp J. Schönbucher, P.J. Schonbucher
Wiley, 2003
Excellent intermediate book
+ read this before going for it
+ excellent book but hard to understand
The book is a look at credit risk through the glasses of mathematics, and is not a beginner's book. It is a bit dry in the beginning, yet after that I discovered lots of valuable intuitive explanations. While it does require a certain level of probability knowledge, the author walks you through ...
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Analysis of Integrated and Cointegrated Time Series with R (Use R)3 reviews
Bernhard Pfaff
Springer, 2005
Excellent Short Book
+ a user manual for R
The UseR! series from Springer aims to be a series of short, focused books on implementation topics using the R statistical environment. Bernard Pfaff does a good job of presenting a good though brief overview that covers ARMA, stationarity, and cointegration. The math is not too heavy for the ...
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Market Models: A Guide to Financial Data Analysis17 reviews
Carol Alexander
Wiley, 2001
Worth the money
+ Nice book
+ Nice book
If you are looking for detailed rigorous mathematical development then look elsewhere, that is not the reason to purchase this book. It is targeted towards application and there it excels. I have not seen any other book on this topic that so effectively presents a level-headed applied approach ...
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