Biological Sequence Analysis: Probabilistic Models of Proteins and Nucleic Acids

Book Description

Probablistic models are becoming increasingly important in analyzing the huge amount of data being produced by large-scale DNA-sequencing efforts such as the Human Genome Project. For example, hidden Markov models are used for analyzing biological sequences, linguistic-grammar-based probabilistic models for identifying RNA secondary structure, and probabilistic evolutionary models for inferring phylogenies of sequences from different organisms. This book gives a unified, up-to-date and self-contained account, with a Bayesian slant, of such methods, and more generally to probabilistic methods of sequence analysis. Written by an interdisciplinary team of authors, it is accessible to molecular biologists, computer scientists, and mathematicians with no formal knowledge of the other fields, and at the same time presents the state of the art in this new and important field.

Customer Reviews:

Great reference.......2007-09-06

A great reference and a good introduction to many important concepts in sequence analysis. However, if you don't have a reasonable grounding in math you may struggle with the terse notation.

Borodovsky's companion book is an excellent partner for this book. Get both.

One of the best available.......2007-08-17

Although this book is based primarily on work that was completed in 1998, and therefore somewhat out of date, it is the best book I have found for teaching bioinformatics. I selected this as the best of the available books on the subject for use in my bioinformatics and numerical methods course which is to be taught in the fall of 2007 at Univ. of Conn. This course is an upper division undergraduate and first year graduate course. That is roughly the level of this text and the comparative advantage of this book is the excellent presentation and thorough discussion of the algorithms. A student armed with Matlab or MathScriptor can take this book and start writing algorithms for sequence alignment and Hidden Markov Method (HMM) analysis after only the first three or four chapters. This book is in its 11th printing and is nearly error free (I found only a few in the figures). This book is strongly recommended for both students and researchers, particularly those interested in protein alignment, phylogenic analysis or an introduction to Hidden Markov Methods.

Biological Sequence Analysis.......2006-03-07

This is a very good book. I got it for a class and it is very helpful and insightful.

Truly an Excellent Book.......2006-02-18

I will agree and submit: this is an invaluable introduction to the field of bioinformatics. With introductions to everything from sequence analysis to hidden markov models and even a primer on grammars, this is a useful introduction both to biological applications for computer scientists *as well as* computational methods for biologists.

I am in a joint graduate-level biology/computer science class and we are using this book as a foundation to bring both groups up to speed and it seems to be working out nicely.

However, one criticism is that sometimes Durbin et al jump into subjects without an adequate introduction or with one that is overcomplexified. In other words, they sometimes break Einstein's the rule of "make everything as simple as possible but not simpler". Durbin et al do not always make things as simple as possible. And it is annoying when they do not. Especially when I see them confusing the bejebus out of the biology people over computer science concepts that are really not that complicated through overly technical jargon.

But this is rare and they provide many insightful diagrams to clear up their algorithms as well as lucid ways to introduce biological concepts. Sometimes the introduction of an algorithm/theory *and* a biological concept molds together beautifully such that the reader is simultaneously being infused with both. An example of this phenomenon is their dual introduction to CpG islands and markov models.

Excellent book ... a little boring to read ..........2005-09-30

I bought "Biological Sequence Analysis" for my introductory bioinformatics course. AS the course covers almost everything mentioned in the book I have (almost) finished reading and studying it.

I find this book an excellent textbook but wouldn't consider it a classic. There are some important topics missing or some topics are just briefly touched upon. (e.g. heuristic pairwaise alignment) Maybe it's just because of my theoretical background, but I find that the book does a poor job in explaining/proving the intuition behind certain aspects of the algorithms (e.d. why does a convex gap penalty lead to a different complexity than a strictly increasing gap penalty ...) . On the other hand, the probabilistic foundations of the different techniques is well written.

My final remark is that the book is not fun to read at all. The authors have made no effort to spice up the content with some historical background, some explanations of how the theory fits in the bigger picture ...

Summarized: an excellent textbook for anyone taking a course in bioinformatics but do not use this book to wet your appetite for the field ...

C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)

Average customer rating:

An excellent short course in OOP
Benchmark book on Computational Finance
Full of OOP Wisdom!
depends what you are looking at
From particular to general: design patterns in c++

C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk)
Mark S. Joshi
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

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The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk)
Designing and Implementing Software for Financial Instrument Pricing (The Wiley Finance Series)
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
Modeling Derivatives in C++ (Wiley Finance Series)
Options, Futures and Other Derivatives (6th Edition)

ASIN: 0521832357

Book Description

Combining mathematical finance with C++ and object-oriented programming (00P), M. Joshi demonstrates the relevance and use of OOP in financial mathematics by describing how to use price derivatives to obtain reusable and extensible code. A large part of the book is devoted to designing reusable components which are then combined to build a Monte Carlo pricer for exotic equity derivatives. Readers knowing the basics of C++ and mathematical finance, but are unclear how to use OOP to implement models, will welcome this analysis.

Customer Reviews:

An excellent short course in OOP.......2007-10-04

Do not be put off by the above-average price/page-count multiple: it will take a lot of time and work to go through the book's 200 pages, and you won't regret the effort. This is not one's introduction to C++, nor is it a collection of ready-to-use code. Instead, the book sets out to demonstrate why you need OOP, and does that in the context of a single, progressively expanding, exercise.

Benchmark book on Computational Finance.......2006-06-26

Mark has produced a marvel. The book introduces practical C++ programming with such spontaneity. The author sets the pitch beautifully with a step-by-step introduction of the need of advanced computing. It handholds reader as it expands from basic oops programming to designs and patterns in computing while mentioning rare tips on efficiency requirements when pricing derivatives versus robust programming.

The book is elegantly written with precise explanations and very concise (and very practical). It comes with the code as well.

As the other reviewer pointed out, the book has written for specific purpose and the focus is not diluted throughout (for example, it did not expand on quantitative issues which could have taken the book out of bounds which is a very big plus point). Even though the book is concise, it would require quite a lot of time to get the best out of it, because it is very dense on issues.

A must have book for anyone who is interested in Computational Finance (Quantitative Analyst/Developers, Financial Engineers, and Risk Managers). It filled a very big gap in this arena.

And this is written by a Practitioner Quant. Very well done Mark.

Full of OOP Wisdom!.......2005-10-15

In terms of programming concepts and OOP design for financial engineering, this book has no equals. We have Daniel Duffy's Financial Instrument Pricing Using C++, but it takes a different approach (i.e. generic programming based in STL). All through the book, the author introduces improvements sequentially and doesn't start from the best design from the outset in order to demonstrate the flaws of a less general/useful/reusable program. In this sense, this is mainly a conceptual book, not an example book. For example, it deals with and develops vanilla-option pricing using Monte Carlo simulation over the first five chapters. A reader looking for a cookbook that gives programs to implement a large number of financial-derivative models would be well-advised to look elsewhere (e.g. Justin London's Modeling Derivatives in C++). However, someone looking for OOP wisdom would be generously rewarded for buying this book.

depends what you are looking at.......2005-10-13

This small book (192 pages) is pretty expensive but if it brings you a lot it is OK.

It depends what you are looking at:

If you want a book "how to write a clean C++ program", this book is for you. The authors enhance the formal (and correct) writing you should have when coding.

If you are interested in understand and solve the various problems you encounter implementing derivatives with numerous examples, it is not the good book for you. There are few programs so few examples and solutions. Moreover I have to dig in his classes to understand them. I would have preferred static functions, even if I have to do a little work to implement them in my library.

However from my point of view, the biggest reproach to this book is that it does not treat the interest rate derivatives at all, which is really problematic.

So it was not really interesting. The Clewlow was much better for me.

From particular to general: design patterns in c++.......2005-08-23

In principle, it seems that this book is a very specialized one: design patterns in derivatives pricing. However, Mark Joshi has been able to give ideas that are generalizable to many other fields. For example, I have developed a trading simulator in c++ using several of the ideas of the book. The ideas in the book are so general, that very often one can do simply a copy and paste and just change the names of the classes and variables.

The only complaint to the writer is that he does not supply the answers to the questions of the book. This is standard practice in academia (and there is a good reason for it), but this book is designed mainly for practitioners, that probably do not have too much time to solve difficult questions.

The writer is widely known in forums like nuclearphynance and wilmott for his deep comments about derivatives pricing.

Disclosure: I only know Mark Joshi because I have sent him an email with some questions about the book. He very kindly has replied to me. I do not have any other kind of relation with him.

Well Logging and Formation Evaluation (Gulf Drilling Guides)

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Well Logging and Formation Evaluation (Gulf Drilling Guides)
Toby Darling
Manufacturer: Gulf Professional Publishing
ProductGroup: Book
Binding: Hardcover

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Petrophysics: Theory and Practice of Measuring Reservoir Rock and Fluid Transport Properties
Cased Hole and Production Log Evaluation
Well Logging in Nontechnical Language
Elements Of Petroleum Geology
Essentials of Modern Open-Hole Log Interpretation

ASIN: 0750678836

Book Description

This hand guide in the Gulf Drilling Guides series offers practical techniques that are valuable to petrophysicists and engineers in their day-to-day jobs. Based on the authors many years of experience working in oil companies around the world, this guide is a comprehensive collection of techniques and rules of thumb that work.

The primary functions of the drilling or petroleum engineer are to ensure that the right operational decisions are made during the course of drilling and testing a well, from data gathering, completion and testing, and thereafter to provide the necessary parameters to enable an accurate static and dynamic model of the reservoir to be constructed. This guide supplies these, and many other, answers to their everyday problems.

There are chapters on NMR logging, core analysis, sampling, and interpretation of the data to give the engineer a full picture of the formation. There is no other single guide like this, covering all aspects of well logging and formation evaluation, completely updated with the latest techniques and applications.

Â· A valuable reference dedicated solely to well logging and formation evaluation.
Â· Comprehensive coverage of the latest technologies and practices, including, troubleshooting for stuck pipe, operational decisions, and logging contracts.
Â· Packed with money-saving and time saving strategies for the engineer working in the field.

System Reliability Theory: Models, Statistical Methods, and Applications, Second Edition

Average customer rating:

System Reliabiility Theory

System Reliability Theory: Models, Statistical Methods, and Applications, Second Edition
Marvin Rausand
Manufacturer: John Wiley & Sons
ProductGroup: Book
Binding: Hardcover

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Practical Reliability Engineering
Basic Reliability: An introduction to Reliability Engineering
Statistical Methods For Reliability Data (Wiley Series in Probability and Statistics)
Reliability Engineering And Risk Analysis: A Practical Guide (QUALITY AND RELIABILITY)
Introduction to Reliability and Maintainability Engineering

ASIN: 047147133X

Book Description

Find in-depth discussions of dependability management and reliability centered systems as well as functional safety issues—matters critical to the new IEC standards. Of note in this new second edition are:

New chapters on Reliability of Maintained Systems and Reliability Assessment of Safety-Critical Systems
Introduction and discussion of basic assessment methods for operational availability and production regularity
An FTP site for solutions, overheads, and supplementary information

Customer Reviews:

System Reliabiility Theory.......2000-03-02

This is an excellent text for learning reliability analysis. It contains just the right mixture of material to be useful for a practicing engineer that must learn the reliability business in a hurry.

The book is very clear and fairly concise. There are worked examples to demonstrate how the theory should be applied and the examples are also clear and concise.

Book Description

The main thrust is to provide students with a solid understanding of a number of important and related advanced topics in digital signal processing such as Wiener filters, power spectrum estimation, signal modeling and adaptive filtering. Scores of worked examples illustrate fine points, compare techniques and algorithms and facilitate comprehension of fundamental concepts. Also features an abundance of interesting and challenging problems at the end of every chapter.

Customer Reviews:

This is an excellent book for advanced DSP topics.......2006-06-12

This book has great material on least squares filtering and spectral estimation techniques. And with Hayes providing the Matlab code to implement the formulas, it is a great help to the student in being able to run the code and see what the outputs should look like. The book reads well and is very easy to use. But it is not a substitute for an intro DSP book like Oppenheim/Schafer or Proakis.

Clear, concise, and clean.......2005-05-28

This book very clearly explains advanced topics in DSP. The notation is consistent and very clean, as well as the book layout and the writing. The examples are useful and the review section is very helpful. This is how a technical book should be written.

awesome book.......2003-10-18

Clear examples, clean derivations, and easy to understand style has Monson Hayes' his signature written all over it. I have his schaum's outline on DSP, and its just as good. I haven't finish perusing this book; i am currently on signal modeling (ch.3, i think) where pade, shank and other methods are derived, and i've already found plenty of application to work on.

homework problems include both mathematical and computer (matlab) exercises that help cement understanding the material at the end of each chapter.

applicable, yet theoretically appealing, this book is best for those who has had an introductory DSP course, although it is very much self-contained - the author starts with a comprehensive review of linear algebra and random processes - it will serve the serious student with an interest on statistical description of signals and system very well.

Examples ! Examples! Examples.......2001-03-24

The book is beautiful, really neat. It contains all the essential topics that you will expect in a Spectral Analysis book. I stumbled across it in library and was impressed with the treatment that the author gave this subject. I now have a copy of my own. The topics range from basic to advanced including a few topics on adaptive filter theory.

Each treatment is almost immediately followed by an example, simple but powerful way to introduce you to this topic. I found this one feauture made the topics covered really enjoyable. Linear algebra review captures the essence of the style of this book. It is a welcome addition to this area in DSP. The one by Stocia is too mathematical to be called an introductory book. This one is way much above Stocia's mathematical nightmare.

Jack of all trades, master of some.......2000-10-03

I used this book to learn nearly all the topics covered in a hurry, in order to take the prelim exam at Berkeley. While it was a humbling experience, it made me truly learn to appreciate and love this book, and its great presentation and organization.

It starts off with a very good introduction to linear algebra and probability theory for engineers, which should give you a taste of the effective way that this book is laid out. The format is excellent, and the important points clearly highlighted. This is a real joy to read!

The magic doesn't wear off into the later chapters, which include topics in signal modeling, least-squares methods, MMSE estimation, Levinson algorithm, spectral estimation, and adaptive filters.

I find this book to be a great source for both learning and reference, and as a bonus it includes Matlab codes for all the algorithms mentioned here.

One complain is that there are certain topics that could be covered more effectively. For example, the relationship between the different signal models and filtering is not mentioned, and this could help understand the motivation of the different signal models in the first place.

Book Description

This book brings the practice of petroleum geostatistics into a coherent framework, focusing on tools, techniques, examples, and guidance. It emphasizes the interaction between geophysicists, geologists, and engineers. Intended as a reference text for practitioners, the book is also appropriate for "short courses" and advanced undergraduate or graduate courses in reservoir characterization.

Customer Reviews:

Direct to the point.......2007-07-11

This book talks about what is used currently by 3-D geological modelling software, helps to understand what the computers do and what should be the numerical representation of geological concepts for good modelling practices.

Practising Reservoir Engineer.......2004-01-19

This is an excellent book. Covers the details of how geostatistical models are put together. Readable.

Essentials of Stochastic Finance: Facts, Models, Theory

Average customer rating:

Shiryaev knows his stuff!
Excellent Monograph
Bravo

Essentials of Stochastic Finance: Facts, Models, Theory
Albert N. Shiryaev
Manufacturer: World Scientific Publishing Company
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Probability (Graduate Texts in Mathematics)
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)
Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6)
Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)

ASIN: 9810236050

Book Description

This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.

Customer Reviews:

Shiryaev knows his stuff!.......2006-09-13

This book is typical of Shiryaev, who is a representative of the Russian school of probability theory. Not only the book explains the technical details clearly, but also it explains the "bigger picture" as to why this particular mathematical set-up makes sense and it is a good approximation of reality. The book reflects the (admirable) Russian style of teaching: explain the origins of theory, which are usually some specific problem; then carefully develop a mathematical theory tailor-made for the given problem; finally, disclose the essence of the problem and produce a beautiful result.

Before reading this book, I have been quite familiar with stochastic calculus and semi-martingale theory. What interests me most (sometimes puzzles me most) is the way how theory is applied to financial math problems, esp. the justification of certain "conventions" (e.g. we always start with discounted process, play with martingale measures, and do certain standard "rituals" in pricing and hedging). Sometimes people abuse those conventions when the theory's set-up is not quite appropriate. Shiryaev's book shows the justification and limitation of theory, by clearly explaining the origins and specific contexts of theory. This is especially helpful to getting a true understanding of the subject. I would say after reading his book, my mind has achieved a harmony.

I read Shiryaev's book on probability (GTM 95) many years ago. It was a pleasant experience. Now I'm happy to have this kind of experience again. From lines of the book, you can see the author's passion and deep understanding of financial math.
I only regret I didn't read this book much earlier.

Excellent Monograph.......2005-07-21

This monograph starts from the very basics and develops as it progresses. Its historical notes found all over the book makes it unique and entertaining. As a mathematician aspiring to break through the STREET, I found it very accessible and comprehensive. If you have Brownian Motion and Stochastic Calculus at Shever/Kaaze's (how ever you spell their name) level, you will skim through this book with in weeks. But if you don't, don't panic, you will still be fine with some introductory level measure theoretic probability course.

You will enjoy it as I did.

Bravo.......2001-11-14

The Essentials of Stochastic Finance: Facts, Models, Theory by Albert N. Shiriaev, et al offers a clear treatment of both theoretical and emperical Finance. Shiryaev presents not only the essentials of probability as it is applied to finance,but he also covers recent develpoments in Mathematical Finance. It is very well written and it can be covered in one year (depending on the audience). Each topic moves from the specific to the general, beginning with one or more examples to lead into the theoretical results. This is the most comprehensive book out there. It covers Mathematical Finance, Martingale, Markov Thoery... to Econometric ARCH GARCH FGARCH ...to theory of Finance CAPM APT... PART II of the book requires a good knowledge of Stochastic Calculus at Karatzas and Shreve level...
Outstanding...

Reliability and Risk: A Bayesian Perspective (Wiley Series in Probability and Statistics)

Average customer rating:

The product of clear thinking and experience
Excellent Textbook from a student's point of view
A great book by Nozer Singpurwalla

Reliability and Risk: A Bayesian Perspective (Wiley Series in Probability and Statistics)
Nozer D. Singpurwalla
Manufacturer: John Wiley & Sons
ProductGroup: Book
Binding: Hardcover

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Bayesian Computation with R (Use R)
Data Analysis Using Regression and Multilevel/Hierarchical Models
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Bayesian Core: A Practical Approach to Computational Bayesian Statistics (Springer Texts in Statistics)

ASIN: 0470855029

Book Description

We all like to know how reliable and how risky certain situations are, and our increasing reliance on technology has led to the need for more precise assessments than ever before. Such precision has resulted in efforts both to sharpen the notions of risk and reliability, and to quantify them. Quantification is required for normative decision-making, especially decisions pertaining to our safety and wellbeing. Increasingly in recent years Bayesian methods have become key to such quantifications.

Reliability and Risk provides a comprehensive overview of the mathematical and statistical aspects of risk and reliability analysis, from a Bayesian perspective. This book sets out to change the way in which we think about reliability and survival analysis by casting them in the broader context of decision-making. This is achieved by:

Providing a broad coverage of the diverse aspects of reliability, including: multivariate failure models, dynamic reliability, event history analysis, non-parametric Bayes, competing risks, co-operative and competing systems, and signature analysis.
Covering the essentials of Bayesian statistics and exchangeability, enabling readers who are unfamiliar with Bayesian inference to benefit from the book.
Introducing the notion of “composite reliability”, or the collective reliability of a population of items.
Discussing the relationship between notions of reliability and survival analysis and econometrics and financial risk.

Reliability and Risk can most profitably be used by practitioners and research workers in reliability and survivability as a source of information, reference, and open problems. It can also form the basis of a graduate level course in reliability and risk analysis for students in statistics, biostatistics, engineering (industrial, nuclear, systems), operations research, and other mathematically oriented scientists, wherein the instructor could supplement the material with examples and problems.

Customer Reviews:

The product of clear thinking and experience.......2007-01-12

You know that this is a book with a difference from the start, when the second and third chapters devote themselves entirely to justifying why probability, utility, exchangeability and indifference are the fundamental ideas behind risk and reliability.

Never heard of utility or exchangeability? If you do any Bayesian statistics at all, then shame on you and read Chapters 2 and 3 immediately! If you do not, then do not let this put you off reading further. This is a book on reliability with impressive intellectual weight. It not only tells you the what and how of reliability and risk analysis using Bayesian methods, but also the why. The why is a philosophical and a mathematical argument. For example, you think you know what the failure rate is? Prof. Singpurwalla begs to differ and spends 10 pages to convince you that there is a lot more to the failure rate once you start to think about it. You think you know why the exponential or the Weibull should be used? Well, the simplest assumption that you can make about any set of objects is that you are indifferent between them and such indifference can lead you to use the exponential or Weibull as models for reliability. This is the idea behind exchangeability and Prof. Singpurwalla argues why it is the simplest way to think about modelling and why it then justifies using Bayesian statistical methods.

The rest of the book is a plethora of probability models and inference methods for different problems in risk and reliability. Those models and problems are a summary of the author's work in reliability over 4 decades. There are chapters on stochastic models of failure (including the discussion on failure rates), on how to do Bayesian statistical inference for the common lifetime models such as exponential and Weibull, as well as common topics like accelerated tests and dose-response experiments and a chapter on signature analysis that describes the analysis of the power spectum for reliability. Then there are chapters look at survival in dynamic environments, point processes for events and non-parametric Bayes methods; technically more advanced topics that require a good knowledge of probability theory but, as always, clearly developed and explained. The last two chapters look at relatively new and 'hot' topics, those of the reliability of co-operative, competing and vague systems, and the use of reliability in econometrics and finance.

If you're looking for a book of reliability analysis recipes that you can follow without thinking, then this is not the book for you. If you want a book that carefully lays out a logical approach to risk and reliability modelling, inference and prediction, at a good yet clearly explained technical level and that illustrates the approach with applications to many different reliability problems, then this is the book that you've been waiting for.

Excellent Textbook from a student's point of view.......2006-10-18

This is the prescribed textbook for my Reliability & Risk Analysis class. I found this book to be very student-friendly and each topic is well motivated.

For beginners (like me), this book is a Gold Mine !!!

A great book by Nozer Singpurwalla.......2006-10-15

The book by Nozer Singpurwalla provides a clear introduction to the definition of "Probability", and the foundations on which the Probabilistic Framework is built. In almost every facet of today's life, Probability is dominant as a used concept. Although seemingly trivial to define in some simple cases such as cards or flipping a coin, much controversy prevailed over centuries on the topic of what is exactly meant by "Probability". The author Singpurwalla provides an extremely clear and abundant discussion of the subject, that is relevant at the introductory level as well as at the top level of the scientific community. This introduction is done in the context of Reliability and Risk Analysis, which makes it even easier to comprehend than in a more abstract setup. The book is worth buying on the basis of the second chapter alone "The Quantification of Uncertainty".

For the reader that is more versed into the subject, the author takes it to the highest level by introducing "Exchangeability and Indifference", a much specialized topic.

The author Nozer D. Singpurwalla being an expert authority in the subject of "Reliability", the crux of the book comes in chapters four (4) to ten (10) that offer a comprehensive review of the material in the field. The value of these chapters is in the author's expert selection of all the areas of value in Reliability and Risk Analysis. While many standard books present a linear listing of most techniques, Singpurwalla presents a collection of approaches that are classified through ther conceptual content and are meant to take a novice student to the expert level. While some of these concepts are explained in details, others are too complex to be detailed and are properly referenced. Of particular interest to an expert would be the part on the use of stochastic processes for modelling reliability. Not that many have attempted such a road.

Finally the last chapter introduces some of the Risk notions to the finance world. Although such a world is terribly complex and not so easily prone to successful modelling, this chapter nevertheless will open the avenue to fresh minds on how the Probabilistic Framework can be applied in diverse areas.

Throughout the whole book, a decision theoretic approach is outlined either explicitly or implicitly, as prescribed by the Bayesian paradigm.

Definitely an excellent contribution by a top expert. I was not surprised at all that three top scientist, Lindley, AFM Smith and Kadane offered their view on the book cover. A top book.

Statistics of Financial Markets: An Introduction (UNIVERSITEXT)

Average customer rating:

Great intutive introduction to stochastic calculus
Great introduction to the Value at Risk measures

Statistics of Financial Markets: An Introduction (UNIVERSITEXT)
J. Franke
Manufacturer: Springer
ProductGroup: Book
Binding: Paperback

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Statistics and Finance: An Introduction
Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6)
Frequently Asked Questions in Quantitative Finance (Wiley Series in Financial Engineering)
Introduction to Stochastic Calculus with Applications

Accessories:

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
Interest Rate Models: Theory and Practice (Springer Finance)
Mathematics for Finance: An Introduction to Financial Engineering (SPRINGER UNDERGRADUATE MATHEMATICS SERIES)

ASIN: 3540216758

Book Description

Statistics of Financial Markets presents in a vivid yet concise style the necessary statistical and mathematical background for Financial Engineers and introduces to the main ideas in mathematical finance and financial statistics. Topics covered are, among others, option valuation, financial time series analysis, value-at-risk, copulas, and statistics of the extremes.

The underlying structure of the book, i.e. basic tools in mathematical finance, financial time series analysis and applications to given problems of financial markets, allows the book to be used as a basis for lectures, seminars and even crash courses on the topic.

A full set of transparencies can be downloaded using the registration card at the back of the book. The registration card also allows the use of the e-book version with links to world wide computing servers.

Customer Reviews:

Great intutive introduction to stochastic calculus.......2006-06-17

This book was such a relief after going through tens of books/lectures notes on stochastic calculus. Most math books give the theory behind Ito calculus (martingales, measure theory etc.), but fail to give the motivation and reasoning behind abstract definitions. This book does an excellent job in deriving many seemingly-complicated math formulas (or, theorems) using intuitive terms. It is an excellent read for people who have a reasonable background in probability theory, and are wishing to learn stochastic calculus (plus finance). I strongly recommend it to anyone who wants to learn the rudiments of Ito integral and see its applications in finance.

Great introduction to the Value at Risk measures.......2005-10-14

Got the friendly yellow paperback version. The book is in three major parts; Options, Time series and then Value at Risk.

The first section starts out well with an overview of Stochastic Processes and then moves on to Stochastic Integrals and Differential Equations. All of this is motivation to help with the pricing of Options, starting with European, then American and moving onto Exotics and Bond Options. It covers all the major points, though it is a little limited in the Exotics, it does have a good references to more thorough works.

The second section on time series works with ARIMA, ARCH and GARCH models.

The third section (labeled Selected Financial Applications) is mostly about the VAR though is has some really good commentary on the Volatility of Option Portfolios.

An added bonus is that you can download the PDF version of the book, and all the data for the examples from the web, with quite a neat one-time license.

I would recommend this book to people needing a good overview of the subjects listed above, and as a handy reference.

A Monte Carlo Primer: A Practical Approach to Radiation Transport

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A Monte Carlo Primer: A Practical Approach to Radiation Transport
Stephen A. Dupree
Manufacturer: Plenum Press
ProductGroup: Book
Binding: Hardcover

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Monte Carlo Primer: Volume 2
Monte Carlo

ASIN: 0306467488

Book Description

This book introduces the reader to the use of Monte Carlo methods for solving practical problems in radiation transport, and will also serve as a reference work for practitioners in the field. It assumes the reader has a general knowledge of calculus and radiation physics, and a knowledge of Fortran programming, but assumes no prior knowledge of stochastic methods or statistical physics. The subject is presented by a combination of theoretical development and practical calculations. Because Monte Carlo methods are closely linked to the use of computers, from the beginning the reader is taught to convert the theoretical constructs developed in the text into functional software for use on a personal computer. Example problems provide the reader with an in-depth understanding of the concepts presented and lead to the production of a unique learning tool, a probabilistic framework code that models in a simple manner the features of production of Monte Carlo transport codes. This framework code is developed in stages such that every function is understood, tested, and demonstrated - random sampling, generating random numbers, implementing geometric models, using variance reduction, tracking particles in a random walk, testing the thoroughness with which the problem phase space is sampled, scoring detectors, and obtaining estimates of uncertainty in results. Advanced topics covered include criticality, correlated sampling, adjoint transport, and neutron thermalization.
Monte Carlo codes can produce highly precise wrong answers. The probability of this occurring is increased if production codes are run as opaque, `black boxes' of software. This text attempts to make Monte Carlo into a comprehensible, usable tool for solving practical transport problems. It is suitable for advanced undergraduate and graduate students and researchers who wish to expand their knowledge of the Monte Carlo technique.

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