Mastering Value Risk: A step-by-step guide to understanding & applying VAR Review

Average Reviews:

(More customer reviews)Good Points:-
1) Simple math; good for beginners;
2) Practical; you can develop your own simple model;
3) Thin; it will only takes you three weeks to read and develop a model for yourself to see;
4) With simple examples to demonstrate key concepts; and
5) Most relevant concepts are included.
Bad Points:-
1) Not enough details for immediate/advanced learners;
2) Does not explain why each step is necessary & how the formula or assumptions behind each step; and
3) The question of "how a bank actually calculates a VaR" is left unanswered. That is, implementation part is not discussed.

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The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics) Review

Average Reviews:

(More customer reviews)Very useful book, particularly in what concerns alternative L-Stable distributions. True, not too versed in financial theory but I'd rather see the author erring on the side of more physics than mathematical economics. As an author I don't ask much from books, just to deliver what they indend. This one does.
Clear historical description of Einstein/Bachelier. Hopefully one day we will call derivatives pricing the Bachelier valuation.
The book in short provides an excellent perspective on the statistical approach to asset price dynamics. Very clear and to the point.
Nassim Nicholas Taleb

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