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Tedypendah
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Posts: 147
Joined: May 26th, 2013, 10:11 am

Good book for the implementation of Quantitative Finane Models

January 10th, 2016, 6:38 pm

Hi all, I am looking for a good book that can be the go to in my implementation of models, I have seen "Financial Modelling: Theory, Implementation and Practice with MATLAB Source" but not sure how good it is. Kindly assist if you know any or comment on whether Kienitz is a good one.
 
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ExSan
Posts: 4648
Joined: April 12th, 2003, 10:40 am

Good book for the implementation of Quantitative Finane Models

January 19th, 2016, 10:52 pm

Justin London book, search in the forums. Memorable reviews
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Good book for the implementation of Quantitative Finane Models

January 20th, 2016, 7:30 am

QuoteOriginally posted by: ExSanJustin London book, search in the forums. Memorable reviewsI think searching the forum for it will mostly lead to recommendations against it. It's mostly risk focused but I quite like Jón Danielsson's book.
Last edited by Hansi on January 19th, 2016, 11:00 pm, edited 1 time in total.
 
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LocalVolatility
Posts: 128
Joined: May 27th, 2009, 10:07 am
Location: Amsterdam
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Good book for the implementation of Quantitative Finane Models

January 20th, 2016, 11:21 am

I own the book by Kienitz and Wetterau that you mention and can strongly recommend it - very hands-on.
 
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mtsm
Posts: 353
Joined: July 28th, 2010, 1:40 pm

Good book for the implementation of Quantitative Finane Models

January 20th, 2016, 12:57 pm

I don't think you will find what you are looking for in any book. The successful implementation of financial models is very much tied to the pricing and risk system it is being used in. The latest and greatest libraries are developed by some large investment banks, possibly certain buy side shops. So you would have to learn that on the spot somehow. I don't think that people writing textbooks know much about systems implementations, nor about industrial strength financial modeling for that matter. Put it another way, it is exceedingly rare that someone siting behind a system with good understanding, writes a book about it.
 
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Tedypendah
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Posts: 147
Joined: May 26th, 2013, 10:11 am

Good book for the implementation of Quantitative Finane Models

January 21st, 2016, 2:30 pm

I ordered Kienitz I downloaded his matlab sample codes and found them very handy.