HiJust got an email from a forum user asking me to post some accurate information about my books. Unfortunately Wiley gave Amazon.com incorrect information, in particular these books are NOT a radical update on Market Models - they are completely different. I have been working for 5 years to create a new type of book - well, MARKET RISK ANALYSIS had to be 4 interlinked books in the end - Vol I: Quantitative Methods in Finance;Vol II: Practical Financial Econometrics; Vol III: Pricing, Hedging and Trading Financial Instruments; Vol IV: Value-at-Risk Models. Almost everything is illustrated with interactive Excel workbooks without VBA - so every formula is totally transparent and you can create as many examples as you want. I think I mjst have done about 100 spreadsheets a year for 5 years....Highlights include statistical models like GARCH, copulas, PCA, etc and simple option pricing models such as BS and European exotics (about 20 of them) and a vast number of pretty advanced VaR models (eg Monte Carlo with Student t marginals and normal mixture copula -- all in interactive Excel with no VBA -- I must be mad). Only some advanced models (Markov switching, calibration of Heston, Heston-Jump, SABR etc) couldn't be done in Excel, but my wonderful PhD student Andreas Kaeck allowed his code to be included in the CD-ROM (Matlab and EViews). If you want more information please look on Amazon.co.uk (just search under Carol Alexander: Market Risk Analysis) The .co.uk site (and the ones that feed off this, eg in Europe) DOES have accurate information on all four books, and you can find all sorts of stuff including, a long synopsis, extracts, lists of contents, search inside etc. Wiley are offering a 30% discount until 31 May, if you quote the code HGV. Please note that Vol IV will not be available until November because I am still writing it but if you order the whole set of 4 you get the discount for that too (so, £126 instead of £180 for all 4). I've subscribed to this forum so will be notified of questions or comments posted here,Best wishes, Carol
Last edited by coalexander
on May 23rd, 2008, 10:00 pm, edited 1 time in total.