Ali’s blog

Mostly quant stuff with occasional digressions

Two new books

Posted by alifinmath on March 19, 2008

I shall be modifying and adding to this post with time. I’ve looked at a couple of new books recently: 1) Fusai and Roncoroni’s “Implementing Models in Quantitative Finance,” and 2) Strang’s “Computational Science and Engineering.” My first impressions are as follows:

1) Fusai and Roncoroni’s books provokes the usual reaction from me when encountering a typical financial engineering book: disgust. This is another hastily-written book which might be of some use to practitioners but is worthless pedagogically. The first half of the book is devoted to “methods”; this is essentially a cut-and-paste job from other books, with not a glimmer of genuine insight or lucid explanation. The second half looks at some case studies — this may conceivably be of use to practitioners who are already familiar with the terminology and concepts. Too many hastily-written financial engineering texts and monographs are hitting the market. A decade from now they’ll be found in the book sections of Salvation Army stores: they have no enduring value.

2) In contrast, Strang’s “Computational Science and Engineering” is a labor of love, and is based on Strang’s course on numerical analysis at MIT over a course of three decades. Like Strang’s book on calculus (arguably the best text on calculus in the market), the author strives to impart insight every step of the way. This book is of enduring worth and will be valued even a century from now.

Lest readers think I’m way too critical, there are excellent books in every area of mainstream mathematics: number theory, abstract algebra, topology, differential geometry, mechanics, complex analysis and so on. Why are there so few well-written texts in mathematical finance? There are occasional ones — such as Shreve’s two volumes on stochastic calculus for finance. But these are the exception rather than the rule.


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