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Financial Economics Books

Market Models, by Carol Alexander Market Models - A Guide to Financial Data Analysis
by Carol Alexander 
Chapters: 1. Understanding volatility and correlation. 2. Implied volatility and correlation. 3. Moving average models. 4. GARCH models. 5. Forecasting Volatility and Correlation. 6. Principle component analysis. 7. Covariance matrices. 8. Risk measurement in factor models. 9. Value-at-risk. 10. Modelling non-normal returns. 11. Time series models. 12. Cointegration. 13. Forecasting high-frequency data. Technical appendices: A1. Linear Regression. A2. Statistical inference. A3. Residual analysis. A4. Data problems. A5. Prediction. A6. Maximum likelihood methods.
Numerical Methods in Finance, by Paolo Brandimarte Numerical Methods in Finance - A MATLAB-Based Introduction
by Paolo Brandimarte 
The Econometrics of Financial Markets, by John Campbell, Andrew W. Lo, and A. Craig MacKinlay The Econometrics of Financial Markets
by John Campbell, Andrew W. Lo, and A. Craig MacKinlay 
Introduction to the Economics and Mathematics of Financial Markets, by Jaksa Cvitanic and Fernando Zaperto Introduction to the Economics and Mathematics of Financial Markets
by Jaksa Cvitanic and Fernando Zaperto 
MIT Press
Solutions Manual, by Jaksa Cvitanic and Fernando Zaperto Solutions Manual - Introduction to the Economics and Mathematics of Financial Markets
by Jaksa Cvitanic and Fernando Zaperto 
MIT Press
An Introduction to High-Frequency Finance, by Michel M. Dacorogna, et al. An Introduction to High-Frequency Finance
by Michel M. Dacorogna, et al. 
Financial Crises, by Barry Eichengreen Financial Crises - And What to Do About Them
by Barry Eichengreen 
Modern Portfolio Theory and Investment Analysis, by Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann Modern Portfolio Theory and Investment Analysis
by Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann 
Non-Linear Time Series Models in Empirical Finance, by Philip Hans Franses and Dick van Dijk Non-Linear Time Series Models in Empirical Finance
by Philip Hans Franses and Dick van Dijk 
The New Finance, by Robert A. Haugen The New Finance - The Case Against Efficient Markets
by Robert A. Haugen 
Value-at-Risk, by Glen Holton Value-at-Risk - Theory and Practice
by Glen Holton 
Foundations for Financial Economics , by Chi-fu Huang, Robert H. Litzenberger Foundations for Financial Economics
by Chi-fu Huang, Robert H. Litzenberger 
Prentice Hall
Puzzles of Finance, by Mark Kritzman Puzzles of Finance - Six Practical Problems and Their Remarkable Solutions
by Mark Kritzman 
This small book is loaded with insights to make better financial decisions. Much of what passes as common sense investment rules of thumb contain logical falacies or violate certain principles of financial mathematics and risk management. This book sets it straight, being clear to show the assumptions under that make the arguments hold together. Chapters: 1. Siegel's paradox; 2. Likelihood of loss; 3. Time diversification; 4. Why the expected return is not to be expected; 5. Half the stocks all the time or all the stocks half the time; 6. The irrelevance of expected return for option valuation; Primer: 7. Financial concepts and quantitative methods.
Computational Finance, by George Levy Computational Finance - Numerical Methods for Pricing Financial Instruments
by George Levy 
Modern Investment Management, by Bob Litterman Modern Investment Management - An Equilibrium Approach
by Bob Litterman 
Wiley
Fractals and Scaling in Finance, by Benoit B. Mandelbrot Fractals and Scaling in Finance
by Benoit B. Mandelbrot 
The Misbehavior of Markets, by Benoit B. Mandelbrot, Richard L. Hudson The Misbehavior of Markets
by Benoit B. Mandelbrot, Richard L. Hudson 
Mean-Variance Analysis in Portfolio Choice and Capital Markets, by Harry M. Markowitz, G. Peter Todd, William F. Sharpe Mean-Variance Analysis in Portfolio Choice and Capital Markets
by Harry M. Markowitz, G. Peter Todd, William F. Sharpe 
Wiley
Applied Computational Economics and Finance, by Mario J. Miranda and Paul L. Fackler Applied Computational Economics and Finance
by Mario J. Miranda and Paul L. Fackler 
Applied Computational Economics and Finance, by Mario Mirande and Paul L. Fackler Applied Computational Economics and Finance
by Mario Mirande and Paul L. Fackler 
MIT Press
Market Volatility, by Robert Shiller Market Volatility
by Robert Shiller 
Inefficient Markets, by Andre Shleifer Inefficient Markets - An Introduction to Behavioral Finance
by Andre Shleifer 
Analysis of Financial Time Series, by Ruey S. Tsay Analysis of Financial Time Series
by Ruey S. Tsay 
Paul Wilmott on Quantitative Finance, by Paul Wilmott Paul Wilmott on Quantitative Finance - 2 Volume Set
by Paul Wilmott