Customer Reviews

New Directions in Mathematical Finance

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After you get over the sticker shock, you realize that this item is premium priced for the "trading desk bookshelf" expense account. And also now contains material that is eleven years old.

So with that said it is probably not worth acquiring on an individual basis unless you are a one-man Risk Management department.

Why?

Well, one of the utilities of this collection (and it is a "collection" not a single, coherent theme topic subject or focus) is its breadth. It is also a weakness: no one (except magazine editors or a few academics) follows or works in *all* of these topics.

"Risk management" itself is a topic with a library full of volumes and papers (all rapidly aging, including those included here), so if the latest technical papers form GARP or PRMIA don't fill you up, some of the selections here present alternative views on tails icebergs and jumps and liquidity (ands some prophetic ones, now that we are post 2009).

The bread and butter sections are on equity modeling, portfolio formation, and interest rate curves. All the papers are of a quality you would find in a solid refereed journal, but published a bit faster than the agonizingly slow process usually found in academic circles.

The authors are all well-known academics who also consult or are well known as contributing to the dialogue between pure researchers, researchers in profit centers, and traders. Their writing is honed by years of experience and most are direct and solid in demonstrating their points.

But the question for me remains, is there ONE audience member whom this volume is aimed for? Or is it just an ornament for the bookshelf of whatever suit is in charge of the risk management shop this month?