SERVING THE QUANTITATIVE FINANCE COMMUNITY

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Chukchi
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Joined: December 15th, 2001, 3:43 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 22nd, 2008, 10:45 pm

Market Risk Analysis, Vol I: Quantitative Methods in Financeby Carol AlexanderMarket Risk Analysis, Vol II: Practical Financial Econometricsby Carol AlexanderMarket Risk Analysis, Vol III: Pricing, Hedging and Trading Financial Instrumentsby Carol AlexanderMarket Risk Analysis, Vol IV: Value-at-Risk Modelsby Carol AlexanderHardcover: 318 + 426 + 416 + 352 pages Publisher: Wiley (June 2, 2008) ISBNs: 0470998008, 0470998016, 0470997885, 0470997893 FinMath.com
Last edited by Chukchi on December 21st, 2008, 11:00 pm, edited 1 time in total.
 
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J
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Joined: November 1st, 2001, 12:53 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 23rd, 2008, 2:52 am

Actually there are 4 volumes of books in this series by CarolIt is costy to buy all of these books.
 
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Y0da
Posts: 387
Joined: August 7th, 2007, 4:48 pm

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 23rd, 2008, 8:14 am

Why are a bunch of rich quants in here always complaining about costs?Just eat one steak less, and afford the book you will.
 
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coalexander
Posts: 93
Joined: July 14th, 2002, 3:00 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 8:34 am

Market Risk Analysis, Vol I: Quantitative Methods in FinanceMarket Risk Analysis, Vol II: Practical Financial EconometricsMarket Risk Analysis, Vol III: Pricing, Hedging and Trading Financial InstrumentsMarket Risk Analysis, Vol IV: Value-at-Risk Models
Last edited by coalexander on May 23rd, 2008, 10:00 pm, edited 1 time in total.
 
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coalexander
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Joined: July 14th, 2002, 3:00 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 9:04 am

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.
 
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TraderJoe
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New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 11:50 am

Alexander is to Risk as Wilmott is to Derivatives, a real asset .
 
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J
Posts: 1798
Joined: November 1st, 2001, 12:53 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 12:02 pm

Hi Carol,It is quite common to see any typos or numerical errors in any books. To treat your readers well, do have you a web site to post any corrections of typos and numerical errors in your books?
Last edited by J on May 23rd, 2008, 10:00 pm, edited 1 time in total.
 
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coalexander
Posts: 93
Joined: July 14th, 2002, 3:00 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 12:17 pm

Hi JIndeed! I have been very careful about typos of course, but with 4 books at once there are bound to be some. And with 500 spreadsheets, many quite complex, there are also bound to be some typos in these. In fact I have found two typos in the spreadsheets, one typo in Vol I and two in Vol II so far. These are:Vol I: p100, the Excel TDIST function is for the standard not the standardIZED student t distribution Vol II: p183, Title of Table II.4.11 should read symmetric and Asymmetric GARCH simulationsVol II: p284, on simulation using conditional copulas, the next to last line, I put a superscript -1 on the marginal distributions by mistake.No doubt there will be more. Yes, there is supposed to be a website coming from Wileys. But I am not sure how soon this will be - they all seem to be terribly busy.Cheers, Carol
 
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coalexander
Posts: 93
Joined: July 14th, 2002, 3:00 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 12:17 pm

Thank you for this lovely complement Joe
 
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J
Posts: 1798
Joined: November 1st, 2001, 12:53 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 1:50 pm

Carol,You can post a list of typos in your web page as well.
 
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coalexander
Posts: 93
Joined: July 14th, 2002, 3:00 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 2:05 pm

Yes, and I intend to set this up as a matter of priority. But I just switched to a new machine, very fast but Vista - Excel 2007 is a terrible combination. I'm still battling with problems installing the matrix.xla add-in that I use for many calculations in the spreadsheets for my books. Readers with the same set up will have problems too, so resolving this takes proprity for my IT manager before setting up a new website. Any tips from Excel 2007 users most welcome!Cheers, C.
 
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MCarreira
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Joined: July 14th, 2002, 3:00 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 3:58 pm

Hi Prof. Carol Alexander,I just bought the first 3 books from Wiley's stand at the ICBI conference (it seems that the 4th was not ready yet). I'll let you know how the Vista and Excel 2007 combination works; the only complaint is that there is only code in Matlab and EViews ... no Mathematica ? And exactly on one of the parts I'm most interested in (calibration to Heston and SABR) ! Any hopes for this ?The books look nice, I'll surely benefit for studying them more carefully (I do not know statistics and econometrics as well as I should), and the decision of not using VBA seems a good one (it should be interesting to see the way that the spreadsheet is organized to compute things efficiently, that on itself is a good part of the learning process)I didn't see wavelets mentioned though, I was hoping that by now it would have been used more. I remember you using cointegration 4 years ago, is it being used more these days ?Regards,MCarreira
 
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coalexander
Posts: 93
Joined: July 14th, 2002, 3:00 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 4:49 pm

HiPlease call me Carol - Prof. is so formal!I'll see what I can do re Mathematica code, but you can see I'm pretty busy from my to do list:1. Try to get matrix.xla working in Excel 20072. Finish Vol IV3. Start website3. Fix any problems/typos in time for next printingI would much appreciate it if you (or anyone with Vista-Excel 2007 out there) tries to install the matrix.xla add-in and lets me know how it goes! I've contacted the Foxes team but no reply as yet, and its REALLY slowing me up with development of Excel stuff on Vol IV. Right now I'm doing an example on multi-step Monte Carlo VaR for a currency portfolio with multivariate GARCH, to capture volatility clustering - and this is not so straightword if you can't do matrix calculations!Cheers, C
 
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J
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Joined: November 1st, 2001, 12:53 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 24th, 2008, 9:46 pm

Carol,How are your books compared with Andrew Lo's econometrics of financial markets? I want to do more research in quant investment.
 
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coalexander
Posts: 93
Joined: July 14th, 2002, 3:00 am

New Books - 4 Vols. Market Risk Analysis: Quantitative Methods in Finance - Value-at-Risk Models by Carol Alexander

May 25th, 2008, 4:10 am

Hi JVol II is the only volume with anything in common with Lo's econometrics. See the links I posted earlier for detailed information about the contents of each book.Also, I write in a very different way to most other authors. So, comparing Vol II with Lo's econometrics:1. More concise, less attention to statistical details (although still a LOT)2. More practical - not just in the probems considered but also in the didactial approach with loads of interactive excel examples3. More up to date - would say there is nothing else like my chapters on GARCH and copulas Better stop before I start blowing my own trumpet.Ah well, Sunday 6am, back on Vol IV ...
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