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Financ Mark Portf Manag (2009) 23: 331332 DOI 10.1007/s11408-009-0108-z
B O O K R E V I E W
Published online: 10 July 2009 Swiss Society for Financial Market Research 2009
It is highly doubtful whether there could be a more appropriate time to release this four-volume set, Market Risk Analysis, by Carol Alexander, since the current nancial crisis has demonstrated the need (and, sometimes, inability) to understand the risks resulting from adverse movements in the prices of nancial instruments. Even though the author of this impressive work often mentions and refers to risk management, the series is rightly called Market Risk Analysis because the focus is on mathematical ways to model and analyze market risks, a necessary prerequisite for managing such risks. The series consists of four books with many cross-references and consistent notation throughout, but each book is self-contained and can be purchased and read separately.
Volume 1 provides the essential mathematical and nancial background needed to understand the concepts introduced in the other three volumes. There are six chapters in Volume 1, one each on calculus, linear algebra (including a very enticing treatment of principal component analysis, or PCA), probability and statistics, linear regression, numerical methods, and portfolio mathematics. Of course,...