Quant books for market risk people

markvarney47 · December 21st, 2002, 2:17 pm

Hi,I have worked in Market Risk for several years and would like to increase my knowledge on the quants side.I have just read a book by Rebonato on Volatilty and Correlation in Pricing assets.Can anybody recommend some other books that are not high level as far as the technical side goes but yet still add value to my understanding that I have gained from working in Market Risk.

Val · December 21st, 2002, 2:58 pm

Hi markvarney47,I can suggest the following great books:1) " Interest Rate Models, Theory and Prcatice", D. Brigo, F. Mercurio, Springer Finance;2) "Efficient Methods for Valuing Interest Rate Derivatives" A. Pelsser, Springer Finance;3) " Modelling and Hedging equity derivatives", Risk Books, written by quants from Deutsche Bank.They are well structured and with many valuable proofs.Hope, it will help.

bayes · December 21st, 2002, 5:17 pm

I wholeheatedly recommend Carol Alexander's "Market Models".

markvarney47 · December 28th, 2002, 2:46 pm

Bayes and Val,Many thanks for your suggestions.