Dr. Risk's Bookshelf  Last revised: March 02, 2002

• Tavakoli, Janet M. Credit Derivatives: A Guide to Instruments and Applications (Wiley Series in Financial Engineering, 1998).

"It was interesting, informative, and worth the price. More readable than Das." – Dr. Risk

• Das, Satyajit (Editor). Credit Derivatives: Trading & Management of Credit & Default Risk (Wiley Frontiers in Finance, Hardcover, 1998.

"It was more technical than Tavakoli, and worth the price. – Dr. Risk

• Nelken, Israel. Implementing Credit Derivatives (New York: McGraw-Hill, Hardcover, 1999).

"More readable than Das, but doesn't quite have Tavokoli's voice of experience." – Dr. Risk

• Francis, Jack; Frost, Joyce; and Whittaker, Gregg. The Handbook of Credit Derivatives  (New York: McGraw-Hill, Hardcover, 1999).

"Much, excellent material: institutional stuff, equations, ... Excellent!" – Dr. Risk

• Chorafas,Dimitris. Credit Derivatives & The Management of Risk (2000). 

"An interesting survey with broad coverage and no equations that I saw". – Dr. Risk

• Saunders, Anthony. Credit Risk Management: New Approaches to Value-at-Risk and Other Paradigms (1999). 

"Dear Chris – I saw this book when I was browsing in the McGraw-Hill Bookstore, last week. It looked like a good survey of methods for credit risk measurement, with separate chapters on the KMV, CreditMetrics, McKinsey macro, KPMG, and CSFP approaches. so I bought it. I think it was a good purchase. It's moderately technical. It may overwhelm the less quantitative. System developers will find key ideas, but at some point they will want more technical details, some of which are on web sites for which links appear on this page. – Dr. Risk"

• Chorafas,Dimitris. Credit Derivatives & The Management of Risk (2000). 

"An interesting survey with broad coverage and no equations that I saw". – Dr. Risk"

• Arditti, Fred. Derivatives; A Comprehensive Resource ... Boston: Harvard Business School, 1996.

"Clearly written, covers a lot of ground without advanced mathematics." – Dr. Risk

• Gastineau, Gary L. and Kritzman, Mark P. Dictionary of Financial Risk Management (New York: Frank J. Fabozzi Associates, 1996).

"Authoritative. Excellent coverage." – Dr. Risk

• Konishi, Atsuo and Dattatreya, Ravi E., ed. The Handbook of Derivative Instruments: Investment Research, Analysis and Portfolio Applications (Chicago: Probus Publishing Company, 1991).

"Broad coverage in a collection of papers by many authors." – Dr. Risk

• Ludwig, Mary S. Understanding Interest Rate Swaps (New York: McGraw-Hill, 1993).

"An introduction to interest rate swaps. Slightly less advanced than Marshall & Kapner." – Dr. Risk

• Marshall, John F. and Kapner, Kenneth R. Understanding Swaps (New York; John Wiley & Sons Inc., 1993).

"An introduction to interest rate swaps. Slightly more advanced than Ludwig's." – Dr. Risk

• Pilipovic, Dragana. Energy Risk : Valuing and Managing Energy Derivatives  (Hardcover, 1997). 

"Not the last word in pricing and hedging energy products, but a good start for the conversation. – Dr. Risk"

• Malkiel, Burton G. A Random Walk Down Wall Street; Revised ed. (Hardcover,1999).
• Malkiel, Burton G. A Random Walk Down Wall Street: Including a Life-Cycle Guide to Personal Investing. (Paper,1996). 

"I bought the first edition of Random Walk while I was still earning my Ph.D. from the University of Chicago. It contained a lot of the important information I had nearly choked on, while learning it in the doctoral program. Here, it was easier to digest. Over the years I often assigned or recommended it to students. It's been selling steadily for more than 25 years, so it's clearly a classic." – Dr. Risk

• Sharpe, William F., et al. Investments 6th ed. (1998). 

"I discovered the first edition of this book about 20 years ago and immediately began assigning it in every investments class I taught. It was authoritative, as well as interesting reading. I've got the third edition on my shelf, today." – Dr. Risk

• Abramowitz, Milton, and Stegun, Irene A. Handbook of Mathematical Functions (New York: Dover Publications Inc., 1965).

"Every quant needs this on his bookshelf." – Dr. Risk

• Fishman, George F. Monte Carlo: Concepts, Algorithms, and Applications (New York: Springer-Verlag, 1996).

"A relatively comprehensive treatment of Monte Carlo." – Dr. Risk

• Press, William H., et al. Numerical Recipes in C : The Art of Scientific Computing; Second ed. (Hardcover, 1993). 
• Press, William H. , et al. Numerical Recipes in Fortran 77 : The Art of Scientific Computing. 
• Press, William H.(ed.), et al. Numerical Recipes in Fortran 90 : The Art of Parallel Scientific Computing (Fortran Numerical Recipes , Vol. 2).  

"If you can afford only one book on numerical analysis, this would be the one I'd recommend. It explains the theory and supplies listings of C code to do the work. Of course, it's more valuable if you program in C, but I have easily translated some of the code into other languages. Versions for other languages are also available." – Dr. Risk

• Vetterling, William T. (ed.) Numerical Recipes in C : The Art of Scientific Computing/Disk V 2.02   

 "Saves typing the extensive code you see in Numerical Recipes – also saves tipographycal errers." – Dr. Risk

• Vetterling, William T., et al. Numerical Recipes Example Book (C). 

"Particularly useful for seeing how to link their numerical routines into a larger application." – Dr. Risk

• Wolff, Michael. Burn Rate. 

"If you're starting a business, particular an Internet business, you ought to read this book. One man's story of winning and losing in Internet startup jungle fighting. Ultimately, as in Vietnam, the VC – here, venture capitalists –  were the enemy." – Dr. Risk

• Chriss, Neil A. Black-Scholes and Beyond: Option Pricing Models (Chicago: Irwin, 1997).

"Contains perhaps the most extensive coverage of binomial models." – Dr. Risk

• Hull, John C. Options, Futures, and Other Derivatives. Fourth edition. (1999). 

"Probably the standard, intermediate textbook for derivatives."  – Dr. Risk

• Hull, John and White, Alan. Hull-White on Derivatives (London: Risk Publications, 1996).

"A collection of their articles." – Dr. Risk

• Haug, Espen Gaarder. The Complete Guide to Option Pricing Formulas (1998).

"Lots of pricing algorithms, code for VisualBasic macro add-ins, and Excel spreadsheet demos. Can be a real time-saver." – Dr. Risk

• Jarrow, Robert, and Turnbull, Stuart, Derivative Securities, Cincinnatti, South-Western, 1996

"Highly theoretical and up-to-date. It includes a detailed, textbook discussion of pricing and hedging vulnerable derivatives – i.e., derivatives plus default risk." – Dr. Risk

• Merton, Robert C. Continuous-Time Finance. Cambridge, MA: Basil Blackwell, 1990.  

"Largely, a compendium of the master's great works. The fact that some of his articles from 30 years go are just as relevant and fresh as they were he first published them is both exciting and disconcerting. Most risk professionals and financial engineers will be playing catch up with this man for their entire careers. Here's a chance to accelerate that process." – Dr. Risk

• Rebonato, Ricardo. Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (New York: John Wiley and Sons Inc., 1996).

"An introduction to interest rate option models." – Dr. Risk

• Amram, Martha, and Nalin Kulatilaka. Real Options : Managing Strategic Investment in an Uncertain World (Financial Management Association Survey and Synthesis Series). Cambridge, MA: Harvard Business School, 1998.  

"Readable. Makes key ideas easily accessible. A lot more like a book length Harvard Business Review article than the books by Trigeorgis and Dixit-Pindyck. The toughest equation was
pu² + (1-p)d² - [pu + (1-p)d]² = s²
– not that there's anything wrong with that. I'm glad I've got it on my bookshelf." – Dr. Risk

• Copeland, Tom, and Antikarov, Vladimir. Real Options: A Practitioner's Guide. New York: Texere, 2001. 

"For a couple of decades Tom Copeland has been making financial theory -- the whole enchilada, not just some sugary jujube -- accessible to an audience that ranges from doctoral students to college business students. With this book he brings also much personal experience, as a consultant in the field." – Dr. Risk

• Dixit, Avinash K., and Robert S. Pindyck. Investment Under Uncertainty. Princeton, NJ: Princeton, 1994.  

"More from a mathematical economist's perspective, than from a financial economist's. It's got optimal stopping, smooth pasting, the solution to Kummer's Equation – a confluent hypergeometric function with a series representation! – and much, much more. Maybe even more than some people want, but a welcome resident of the serious student's library." – Dr. Risk

• Trigeorgis, Lenos. Real Options : Managerial Flexibility and Strategy in Resource Allocation. Cambridge, MA: MIT, 1996.  

"Comprehensive, 'soup to nuts' – introduction to the topic, extensive review of option theory, review of capital budgeting theory, real options theory, applications, numerical methods. From a financial economist's perspective." – Dr. Risk

• Trigeorgis, Lenos, ed. Real Options in Capital Investment : Models, Strategies, and Applications. Praeger, 1995.  

"Lots of applications." – Dr. Risk

• Natenberg, Sheldon. Option Volatility & Pricing. Chicago: Irwin Professional, 1994.  

"Option trading strategies from an experienced trader's – and master teacher's – perspective. Natenberg discusses extensively a variety of spread trades, which can be the basis for 'statistical arbitrage'." – Dr. Risk

• Taleb, Nassim. Dynamic Hedging; Managing Vanilla and Exotic Options. New York: Wiley, 1997.  

"Bridges the gap between what the best traders know and what the best scholars can prove." – Dr. Risk