Reviews for Market Models: A Guide to Financial Data Analysis

The average rating for Market Models: A Guide to Financial Data Analysis based on 2 reviews is 3 stars.

Review # 1 was written on 2011-05-02 00:00:00 Shane Boyer Super knjiga s področja finančnih trgov. Snov je sicer pri nekaterih poglavjih precej matematična. Avtor zelo dobro opiše uporabo GARCH, ARCH in ostalih avtoregresivinih modelov za modeliranje časovnih serij (navdušil sem se predvsem nad asimetričnim GARCH-em-princip ročice, za modeliranje nestanovitnosti Forex trgov). Pri avtorju mi je bilo všeč tudi to, da je zelo kritičen do uporabe BSM opcijskih modelov. Izpostavlja namreč glavno pomanjkljivost teh modelov to je: predpostavka o konstantni nestanovitnosti. Posledično ugotavlja, da so t.i. volatility smile-i v največji meri posledica uporabe napačnega modela za vrednotenje opcij. Izpostavi tudi paradoks uporabe BSM modela za izračun implicitne nestanovitnosti. Skratka idealna knjiga za vse tiste, ki ne verjamejo slepo kar piše v standardni finančni literaturi.

Review # 2 was written on 2018-03-30 00:00:00 Barbara Benoy Reasonable treatment of monetary economics in a textbook way that could be used to accompany a course. Each chapter develops an idea about monetary economics and presents a model that can illustrate the point. The core model, however, is an overlapping generations model which is no longer the state-of-the-art nowadays. In fact, there is now a general perception that it is not overlapping generations that explain the need for money, with models of double-coincidence-of-wants taking the lead. Generally, I would say this is an interesting book for an undergraduate level, but if you want to understand more about monetary economics, you will have to proceed to other kinds of models. Specifically, I would advise you to read about the Fiscal Theory of the Price Level which for me is really the most coherent theory around.