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Title: Market Models: A Guide to Financial Data Analysis by Carol Alexander ISBN: 0-471-89975-5 Publisher: John Wiley & Sons Pub. Date: 15 November, 2001 Format: Hardcover Volumes: 1 List Price(USD): $105.00 |
Average Customer Rating: 4.93 (14 reviews)
Rating: 5
Summary: MARKET MODELS
Comment: As a Ph.D candidate in finance at the University of Quebec at Montreal (specializing in hedge funds), I believe that Market Models is the leading text in the area of financial data analysis. Professor Alexander is considered as the leader by many in this field. Her many years of experience on both sides of the Atlantic (over 10 years) in consulting on risk management and investment analysis with positions in highly respected banking firms has put together this little gem of a book (long awaited). Professor Alexander's emphasis is based on understanding concepts and implementing solutions. Her past books have been best sellers and are extensively used both in academia and by financial institutions. This book is the only one of its kind that deals with key techniques for selecting and developing models, while using the latest insights into the pricing and hedging of options. At the same time the book focuses on a linear algebraic approach as an important tool for the anlaysis of financial systems. The book nicely deals with traditional time series analysis and is explained using 1)cointegration to long short equity hedge funds and 2) high frequency data prediction using neural networks. This book is a must read for academics, risk management specialists, money managers, analysts and others looking for a clear presentation of the subject. Congratulations on a great text. Hope a second volume is on the way.
Rating: 5
Summary: A buy you'll be happy you made.
Comment: I'm a student of Carol Alexander at the ISMA Centre. This could set a bias, but I have tried in my review to be as objective as I possibly can.
Having covered with academic rigor 9 out of the 13 chapters of "market models", the only way i could describe it is as an excellent toolbox for financial modelling and a precise application to these tools to Risk measurement.
One of the main features that make this book stand out of the crowd of similar books is the fact that it's paved with illustrations using real market data. You get a feel of the reality, not just some conceptual approach that might or might not work.
The other feature that gives this book a step ahead of others is how Carol managed to make it perfectly accessible to someone with little mathematical weapons, yet kept it absolutely worth for the Quant!
The constant but constructive analysis of the "practical" limitations and advantages of such and such models explained or mentioned, adds to keeping the whole scene of the book very realistic.
It's also a true solutions book; it doesn't just tell you what to do by presenting the theory behind the concept, but how to do it by applying it to real data.
Chapters like "principal components" and ["Non Normal Models" or Normal mixtures" as she likes to call them], bring forward some elegant, yet powerful and straightforward methods for modelling in finance.
Market Models should be a trader's must read and without a doubt, "THE" book of the modern Risk Manager.
Go get the book and learn what you need to know!
Rating: 5
Summary: Worth the money
Comment: 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 that keeps the basic assumptions of the models firmly in sight.
What tool fits when is nicely discussed.
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Title: Advanced modelling in finance using Excel and VBA by Mary Jackson, Mike Staunton ISBN: 0471499226 Publisher: John Wiley & Sons Pub. Date: 30 May, 2001 List Price(USD): $75.00 |
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Title: An Introduction to High-Frequency Finance by Michel M. Dacorogna, Ramazan Gençay, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet ISBN: 0122796713 Publisher: Academic Press Pub. Date: May, 2001 List Price(USD): $84.95 |
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Title: Analysis of Financial Time Series by Ruey S. Tsay ISBN: 0471415448 Publisher: John Wiley & Sons Pub. Date: 15 October, 2001 List Price(USD): $99.95 |
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Title: Monte Carlo Methods in Finance by Peter Jaeckel ISBN: 047149741X Publisher: John Wiley & Sons Pub. Date: 11 April, 2002 List Price(USD): $115.00 |
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Title: The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, Andrew Y. Lo, Archie Craig MacKinlay ISBN: 0691043019 Publisher: Princeton Univ Pr Pub. Date: 09 December, 1996 List Price(USD): $85.00 |
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