2/16/2012

QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIES: IN THE PRESENCE OF COUNTERPARTY CREDIT RISK FOR THE FIXED-INCOME MARKET Review

QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIES: IN THE PRESENCE OF COUNTERPARTY CREDIT RISK FOR THE FIXED-INCOME MARKET
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I am a junior quant, so let us not comparing with guru. Among the books I read, my opinion is Wilmott series more on maths, Baxter for good understandings until short rates, Jessica wide but not so deep concepts on models/methods, Rebonato's books are detailed, but I found the detailed explanations are not clear to me, Brigo&Mercurio's book is nice. A common drawback of all these books is they didnot talk much on practitioners' intuitions.
This QA+DM+TS book combines math, intuitions, traders' views. And they are explained in such a clear way. All the models are alive. Really hope I could have known about the book and read it in full before my interviews. Sigh...

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