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8 of 8 people found the following review helpful
5.0 out of 5 stars Comprehensive guide to model building
Targeted towards practitioners concerned with model development, the book addresses key issues in market risk measurement, quantitative trading and investment analysis in a very systematic and clear exposition. I find it particularly reassuring that someone with the author's academic background and hands-on expertise has decided to undertake the responsibility of...
Published on 19 Nov 2001

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4 of 11 people found the following review helpful
2.0 out of 5 stars A dissapointing bible of quantitative techniques
There is clearly a need for a book that combines many of the disparate modelling techniques currently used in the financial markets alongside real world examples. Whilst "Market Models" is a good attempt it ultimately fails to deliver. The coverage of the numerous statistical techniques is too brief to provide anything other than an introduction to the subject...
Published on 9 Nov 2001


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8 of 8 people found the following review helpful
5.0 out of 5 stars Comprehensive guide to model building, 19 Nov 2001
By A Customer
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
Targeted towards practitioners concerned with model development, the book addresses key issues in market risk measurement, quantitative trading and investment analysis in a very systematic and clear exposition. I find it particularly reassuring that someone with the author's academic background and hands-on expertise has decided to undertake the responsibility of putting-up a comprehensive guide to financial modelling, from the basic use of financial data to statistical techniques selection and model implementing. Particular attention is paid to supporting each subject with real-world examples, both within the text and in the associated CD. Moreover, the spreadsheets contained by the CD can always represent a useful reference for building your own models. As I find this book really helpful for applied but also academic model development, I recommend it highly.
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7 of 7 people found the following review helpful
5.0 out of 5 stars Great Book for Development of Financial Markets Models, 21 Nov 2001
By A Customer
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
Carol Alexander's book does an excellent job of combining many of the disparate modelling techniques currently used in the financial markets while also providing many helpful real world examples. It thus successfully combines theory and application. The book is accessible to different types of users as it includes both in-depth qualitative analysis as well as quantitative ones. I have found it very useful in my work when trying to understand different concepts in the financial market models. Personally, I believe the book is a helpful tool one does not want to pass up--not only for the ones involved in risk measurement, but also for those in the more general field of investment banking (as myself). I find it puzzling and a pity that one of the previous commentators has given the book such a mean assessment--an unfounded judgment, in my opinion. I would recommend that other readers judge for themselves.
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5 of 5 people found the following review helpful
5.0 out of 5 stars The best reference on real market dynamics yet., 23 Nov 2001
By A Customer
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
Finally we have a comprehensive book on the modelling of financial securities and their volatilities. The book is throughout geared towards the implementation of models that realistically represent the dynamics of financial markets as they can actually be observed in the real world. This is the first publication that not only covers virtually all modern areas of the theory of market movements, but also explains the mathematics and motivation behind the theory, and makes it easily accessible. The chapter on GARCH models is probably the most complete exposition on the matter available. This is not surprising since, after all, Carol Alexander herself contributed greatly to the development of orthogonal GARCH models. In short: I like the book and anyone who is interested in the analysis of market dynamics, be it for the purpose of risk assessment or for strategic decisions of portfolio management, would be well advised to buy it. In my humble opinion, that is.
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4 of 4 people found the following review helpful
5.0 out of 5 stars Mandatory reading for financial boffins, nerds, and geeks!, 20 Nov 2001
By A Customer
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
Alexander's new book is essential reading for intellectual risk managers, quant traders, and quantitatively minded market analysts; Ph.D students in finance would probably also find the book both useful and inspiring.
The book has two outstanding qualities that set it apart from its benchmark, ie the 'average' of serious finance books.
#1. The book is refreshingly well written. Considering that the topics of finance and risk management are not that conducive to stylistic efforts, this book is a marvel of clarity.
#2. Market modeling is a topic that in most financial institutions on both the sell and the buy sides does not receive as much attention as it deserves and requires. Don't we all know of seemingly sophisticated risk management departments that actually are quite simplistic in how they generate volatility scenarios? Or what about the often mindless cranking out of historically based VaR estimates without considering the risk characteristics of the current regime? The beauty of this book is that it discusses market modeling in relation to its uses in other risk analytical areas such as derivatives modeling and VaR analysis.
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3 of 3 people found the following review helpful
5.0 out of 5 stars A financial Bible for both profesionals and researchers, 28 Nov 2001
By 
Manuel (University Jaume I, Castellon, Spain) - See all my reviews
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
Market Models is an essential tool for practioners who would like to gain fundamental expertise on financial modeling. Aside from the practical view, Alexander's book has got such a clear and comprehensive reading that even the most inexpert individuals can get enthusiastically involved in learning issues related to risk management, investment analysis and financial forecasting. Recent econometric techniques on time series are brilliantly applied with real examples on the finance field. The book demonstrates that the author has a great knowledge on both a theoretical as well as a practical basis on market modeling and knows how to combine the two aspects in a very intelligent way. I considered this book to be a fundamental reference for either financial profesionals and academics.
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2 of 2 people found the following review helpful
5.0 out of 5 stars All in one guide to statistical models in finance at a steal, 19 Nov 2001
By A Customer
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
Allmost 500 pages of packed information on major statistical methods used in modern finance. So many books are predictable; this one is different. It manages to cover each topic in the original style of the author: motivating, practical and full of examples with comments on the pitfalls of implementation.
The highpoints are (i) a comprehensive and illuminating review of GARCH models, (ii)new applications of PCA to the generation of robust, positive semi-definite covariance matrices (orthogonal GARCH) and to the analysis of volatility smiles and (iii) cointegration models with application to the design of hedge fund strategies. These are three areas where Carol Alexander not only shows her deep knowledge of previous research but has also made her own original contributions.
This book should be a must for MSc students in finance and economics. It should also be a useful intoductory guide to seasoned practitioners who will benefit from its numerous and up to date references. The CD alone with its databases and numerous working examples is worth ten times the price of the book.
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3 of 3 people found the following review helpful
5.0 out of 5 stars A solid guide of the field, 19 Nov 2001
By A Customer
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
This book contains the essentials for anyone interested in learning financial modelling in all the disparate aspects it has taken over the years. It is well grounded in theory, and has enough real world knowledge to keep practitioners busy as well. All in all, a solid guide to the field.
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2 of 2 people found the following review helpful
5.0 out of 5 stars A very valuable insight into quantitative analysis, 18 Nov 2001
By A Customer
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
This is an excellent book which covers a very wide range of tools and techniques. It's emphasizes not just the theory, but practical implementations of that theory through worked examples on the accompanying CD -- which vitally includes real-life data. An invaluable book for everyone in this field. Having both the theory and the practice in one place is what practitioners actually want.
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4 of 5 people found the following review helpful
5.0 out of 5 stars MARKET MODELS HAS NO COMPETITOR, 13 Dec 2001
By 
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
As a Ph.D candidate in finance at the University of Quebec at Montreal (specializing in hedge funds), I believe that Market Models is the leading text in the area of financial data analysis. Professor Alexander is considered as the leader by many in this field. Her many years of experience on both sides of the Atlantic (over 10 years) in consulting on risk management and investment analysis with positions in highly respected banking firms has put together this little gem of a book (long awaited). Professor Alexander's emphasis is based on understanding concepts and implementing solutions. Her past books have been best sellers and are extensively used both in academia and by financial institutions. This book is the only one of its kind that deals with key techniques for selecting and developing models, while using the latest insights into the pricing and hedging of options. At the same time the book focuses on a linear algebraic approach as an important tool for the anlaysis of financial systems. The book nicely deals with traditional time series analysis and is explained using 1)cointegration to long short equity hedge funds and 2) high frequency data prediction using neural networks. This book is a must read for academics, risk management specialists, money managers, analysts and others looking for a clear presentation of the subject. Congratulations on a great text. Hope a second volume is on the way.
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5 of 6 people found the following review helpful
5.0 out of 5 stars An excellent book!, 12 Feb 2002
This review is from: Market Models: A Guide to Financial Data Analysis (Finance & Investments) (Hardcover)
As a Professor of Finance at a University in Belgium, I can highly recommend this book. It is well written, clear and the wealth of empirical applications is one of its major assets as these directly motivate the practical use of all the models. An excellent book for practitioners, academics and advanced students!
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