Book Description

Statistics is a subject of many uses and surprisingly few effective practitioners. The traditional road to statistical knowledge is blocked, for most, by a formidable wall of mathematics. The approach in An Introduction to the Bootstrap avoids that wall. It arms scientists and engineers, as well as statisticians, with the computational techniques they need to analyze and understand complicated data sets. ... Read more

Reviews (4)

A great book to learn the Bootstrap method from
This is the best book to learn about the bootstrap. Clear style, no empty verbiage, good problems, excellent examples are some of the qualities that make this exposition of Bootstrap great. The math level is minimal - some basic statistics (perhaps at the level of Wackerly et al's book) - is all that's required.

Not for Engineers
This book provides a good coverage of the very useful bootstrap method. However, post-graduation as an engineer, I find that the method is neither well known nor happily accepted by engineers outside of academia. In the corporate world, bootstrapping is left up to degreed statisticians, as this is what management trusts. As a mechanical engineer, I find that simpler statistical techniques, even if they include broad assumptions, are much more widely accepted. If you are an engineer, leave this up to the statisticians. If you are a statistician, this book is an acceptable source for learning bootstrap.

Great introduction by the originator of the bootstrap
Brad Efron wrote the key paper rediscovering the bootstrap and putting it in its proper place with other resampling techniques in his famous 1979 paper in the Annals of Statistics. His work was a breakthrough that has now led to hundreds of other publications and several books on the bootstrap and more general resampling procedures by himself, his students and many other statisticians. In fact I am working on a book with goals similar to what he and Rob Tibshirani achieve in this monograph. It is a concise and accurate presentation of the bootstrap and its wide variety of applications and is very much up to the state-of-the-art in this rapidly growing area of statistics. It is written in an intuitive fashion and avoids much of the mathematics (Edgeworth expansions etc.) which are needed to provide formal proof that the bootstrap does what it is intended to do. Provides most of the important references up through 1993. For a similar treatment that is more current, see Davison and Hinkley (1997). Bootstrap Methods and their Application. Those interested in the theory and formal mathematics should consult Hall (1992). The Bootstrap and Edgeworth Expansion.

wonderful, interesting book
that's a very simple and clear book about bootstrapping They consider bootstrapping as a way to estimate confidence intervals and other properties of a statistical distribution. Its mainadvantages are a) it requires no knolwedge of the actual distribution(e.g., it does not have to be normal) b) in principle, it can be used with any statistics method and any solution. ... Read more

Book Description

Since its inception, the market for credit derivatives has shown impressive growth and is expected to hit a volume of more than $4.8 trillion by 2004. Credit derivatives have begun to transform modern banking; they have become a standard instrument for the management of default risk; they are being used for risk management and hedging as well as for speculation, balance-sheet management and regulatory capital purposes.

Despite their great usefulness, even established professionals often feel insecure when it comes to the quantitative analysis of the prices and risks of credit derivatives. Confronted with a bewildering variety of fundamentally different pricing approaches, it can be very challenging to understand their relative advantages and disadvantages and to choose the "correct" one for the problem at hand.

In this book, the author carefully explains the different pricing models for credit derivatives in a very application-oriented way. Based on his wide experience in professional training for credit derivatives analysis, the models are developed with a view to their application to real pricing problems rather than just presenting the theory.

Philipp Schönbucher is one of the most talented researchers of his generation. He has taken the Credit Derivatives world by storm. In this book he carefully explains the concepts and the mathematics behind all of the most important and popular credit risk models. Professor Schönbucher has filled an important gap on the quantitative finance bookshelf. –Paul Wilmott

The reader is presented with a clear, concise and readable treatment of credit pricing models that will appeal to practitioners and academics. It provides a useful roadmap to the many daily challenges that face practitioners. It will become a standard reference.
–Stuart M. Turnbull, Senior Vice President, Fixed Income Research, Lehman Brothers, NY

"This is the most comprehensive, and also the clearest, book on the details of constructing credit risk models that I have read. Throughout, it is directly useful for general value-at-risk credit modelling as well as its stated focus of credit derivatives. Readability is greatly enhanced by its step-by-step organization across what has grown to be a large topic area and the focus of its single author, as opposed to a collection of disjointed papers. Alternative modelling frameworks are written in a common notation and the reader is given all the details needed for direct implementation. The author, Philipp Schönbucher, is clearly one of the top researchers in this area, even before the writing of this book." –Greg M Gupton, DefaultRisk.com

"Philipp addresses a wide range of modelling issues in the fast growing market of credit derivatives. He covers a broad spectrum of topics starting with the simple everyday trading tools while gradually building up to the more complex mathematical models. It successfully bridges the gap between academia and practice in an elegant and easy style, making it a valuable book for a wide audience"  –Ebbe Rogge, Product Development Group, Financial Markets, ABN AMRO
... Read more

Reviews (6)

Amongst the best of a bad lot
The state of theory is in such tremendous flux at present with a majority of research unpublished and a growing consensus that the state of the art is entirely inadequate. No book could possibly please industry researchers at this point, but Philipp contributes some ideas and clarification here and there and some leads which are valuable. He is perhaps a little dismissive and pessimistic when the theory wanders into hard mathematical problems, and to to a large extent his book ends where the fun stuff begins. Nontheless I would recommend, especially to those entering the field.

Academic's Imperfect Idea of the Market
This book on credit derivatives models is written by an academic without a feel for how the market trades in practice. Schonbucher presents the mathematical equations without expanding on the meaning of the models or their application.

There are some errors of fact when he discusses how certain products work, such as first-to-default baskets, a serious error in and of itself, but unfortunately there are additional similar errors which show the author has an imperfect understanding of the market he writes about. All in all this book was an unsatisfying treatment of the topic.

Models in theory
Nice equations, but hasn't kept up with Ph.D.'s who work on Wall Street and know the theory, thoroughly understand the products, and can apply practical but theoretically sound compromises to accommodate reality. Ph.D.'s at work in finance - including myself (physics) - are probably too busy to write the definitive modelling book. This book fails to address key ingredients such as daycounts, settlement conventions, documentation asymmetry, and more.

Informative, Rigorous, Excellent
The book covers the basics of credit risk modeling and derivative pricing (both structural and intensity type of models), explained in a clear style with enough detail to enable implementation (a rarity in financial literature!). Basics of the theory of stochastic processes and risk-neutral pricing are also covered. Calibration methods for the models are clearly explained. Due to the limited scope, some topics are given only cursory coverage (Copula function methods, role of interest-rates models etc.), but even then, enough references are provided. A very useful, concisely written tome!

Good Model Overview
This is a fine overview of credit derivatives modeling. The model explanations are good, but the book may have benefited from more disclosure about data limitations and the current sources of data. Value dislocations due to documentation language are not captured by the models, especially in the light of ISDA's 2003 language changes. More detail on applications and the need to deal with risks introduced by specific structures would also have been helpful.

Curiously, there are a few conventions inconsistent with market practice used in this book. For instance, the author defines credit risk as default risk, ignoring the standard definition of credit risk which includes general credit spread widening, and credit downgrades. It also seems the author is unfamiliar with how first-to-default baskets are traded, and seems to think that premiums of the survivors are paid after a first-to-default event (They cease.). These observations aside, this is a long-awaited reference for credit derivatives professionals.

For the above risks, I recommend two other sources. Applications and documentation risks are clearly explained in Tavakoli's "Credit Derivatives" (2nd Edition). For professionals who want to know how to apply derivatives in structured finance, I highly recommend Tavakoli's just released book: "Collateralized Debt Obligations and Structured Finance". ... Read more

Book Description

This eighth edition of McCall's well-respected book continues to present concepts in a way that students can easily understand. The new edition has been updated throughout and now includes recommendations by the APA Task Force on Statistical Inference. As in previous editions, McCall helps students see the many real applications of statistics to research in the behavioral sciences. Taking a traditional approach to teaching the basic statistical concepts and methods used in behavioral research. McCall emphasizes building an understanding of the logic of statistics rather than stressing the mechanics. In this exciting revision, McCall continues to keep the data for the computational problems simple, so your students can focus on the rationale and outcome of techniques rather on the calculations themselves. Using clear discussion, a wide variety of end-of-chapter exercises, and examples drawn from actual studies, McCall helps students learn how to choose appropriate statistical methods and correctly interpret the results. Also retained in this edition are the author's step-by-step explanations for each proof and his clear definitions of symbols--the essential vocabulary of statistics--that have been so successful in helping students master the material. ... Read more

Reviews (1)

The Joy of Statistics?
Although it is a rare segment of the human population who could claim to find scientific statistics "enjoyable", Robert McCall has somehow managed to take some of the pain out of what is generally deemed a horrifying experience. I thank Mr. McCall and the hands-on approach of his book for enabling me to make it through Stats this time with a passing grade! ... Read more

Book Description

* Contains additional discussion and examples on left truncation as well as material on more general censoring and truncation patterns.
* Introduces the martingale and counting process formulation swil lbe in a new chapter.
* Develops multivariate failure time data in a separate chapter and extends the material on Markov and semi Markov formulations.
* Presents new examples and applications of data analysis. ... Read more

Reviews (53)

Sets the stage for all information architects
This book will teach you some basics on how to most effectively present quantitative information using various sorts of graphs and charts. Afterwards you will know how and why you should get rid of chart junk (gridlines, tick marks, ornaments, etc.) or alternatively using some of the examples on bad design presented, you will see how to manipulate your audience using the "Lie Factor". Actually the advice given in this book could easily fit within just one piece of paper, but then: This book is simply beautiful. It is state of the art for printed books, you almost feel a passion for it. Mr. Tufte takes his own medicine: No words in this book are superfluous. Illustrations and examples are carefully selected and reprinted with the utmost care. It takes no more than some hours to read the book, but afterwards you can use more than just a few hours to study the examples of timeless graphic displays. The only reason why this book is short of five stars is the following: Mr. Tufte uses quite some space providing statistics about charts found in different publications (chart junk percentages, lie factor. Personally I find this information fairly irrelevant and would have preferred more examples of chart remakes. However this book is definately still a MUST have!

I'd give it 6 stars if they'd let me....
Instead I give this book regularly to my students & wish to goodness that more of my colleagues had copies. From the opening pages -where Tufte gives us 4 data sets that are statistically indistinguishable but graphicly at different points of the compass- through the beautifully rendered examples of classical and modern examples of meaningful graphics & "chartjunk" Tufte serves as a wry, witty, and informative guide to the perils & joys of informing or confusing an audience with charts and graphs.
Although in some ways a polemic against the misuse of graphical techniques, Tufte never loses his sense of humor & gives us plenty of really GOOD examples as well as a harsh deconstruction of some truly horrendous images. While this, the first in what has become a series, predates the muddy dawn of computer graphical "presentations" the basic principles outlined in its pages are every bit as applicable to the PowerPoint generation as they were to transparencies & posters. Buy it. read it Use it.

You'll Never Make a Chart the Same Way Again
Edward Tufte is a prophet of the Information Age come to warn us that we must repent or be consigned to oblivion.

One of the great advances which has made the Information Age possible has been the development of easy-to-use graphing software to swiftly create charts which used to take skilled draftsmen days to produce.

Unfortunately, the commoditization and automation of this once-dear skill set has resulted in the proliferation of lies, damned lies, and lousy statistics.

Tufte, a Princeton professor and polymath with passionate interest in statistics, information design, and public policy, offers up a thorough diagnosis of what ails our data-rich, information poor society:

- Poor graphical integrity, where the visual proportions are out of synch with the data's proportions

- Chartjunk, unnecessary clutter which reduces the proportion of data-ink in a graphic

- Poor labeling, which robs data of context

- Low-density presentations, where complex and nuanced data are "dumbed down" for the sake of a fleeting aesthetic

Fear not---Dr. Tufte also provides the reader with a course of treatment (called "Graphical Excellence") thoroughly illuminated with real-world examples drawn throughout history.

This is one of those rare works which feeds both your right and left brain. It is a closely-argued work on behalf of clean and clear communications. It is also a wonderful art book depicting the evolution of an often-misunderstood art form.

Whether you're an engineer, a statistician, a businessman, or a teacher, this beautifully-designed book will help you become a more effective communicator.

Superb Introduction to Quantitative Information Display
Prof. Tufte uses an excellent assortment of charts and graphics to illustrate his points. I found this book to be a quick read; and one I could return to for years to come, as the principles he describes are quite applicable to web site design. I would recommend this book, in fact, I was impressed enough to sign up for the design seminar.

Very Short on Substance; Has Essentially Only A Single Point
Other reviewers have mentioned a few negatives. To me, these mostly boil down to short-on-substance problems. The author is a bit pompous -- which wouldn't matter that much if he had a lot to say. Alas, he does not. In essence, the author makes one -- and only one! -- point with the whole book: eliminate "chart junk" (e.g. 3-D effect bars, etc). He is manically obsessive-compulsive about this point so that he takes it to extremes -- get this: computing "data ink" to "junk ink" ratios he even eliminates the axis line (to increase the ratio). While he's at it, just put tics and only where data are (thus giving marginal distributions of x and y) -- cute idea and it does increase "info"-to-junk ink to the max, but these ideas are nearly absurd extremes. If you really want to learn new techniques and real-value PRINCIPLES get William Cleveland's "Elements of Graphing Data" (original or revised). Don't be put off by publication date -- Cleveland's book is a superbly enjoyable read with eminently useful ideas. I've used principles from Clevelend's book to great effect. I've been graphing for decades, but with Cleveland's book I recently made a very large jump in the quality of my graphical communication. Skip the low-on-substance, one-note Tufte and go for the full-of-substance, emminently useful Cleveland. ... Read more

Book Description

In a family study of breast cancer, epidemiologists in Southern California increase the power for detecting a gene-environment interaction. In Gambia, a study helps a vaccination program reduce the incidence of Hepatitis B carriage. Archaeologists in Austria place a Bronze Age site in its true temporal location on the calendar scale. And in France, researchers map a rare disease with relatively little variation.Each of these studies applied Markov chain Monte Carlo methods to produce more accurate and inclusive results. General state-space Markov chain theory has seen several developments that have made it both more accessible and more powerful to the general statistician. Markov Chain Monte Carlo in Practice introduces MCMC methods and their applications, providing some theoretical background as well. The authors are researchers who have made key contributions in the recent development of MCMC methodology and its application. Considering the broad audience, the editors emphasize practice rather than theory, keeping the technical content to a minimum. The examples range from the simplest application, Gibbs sampling, to more complex applications. The first chapter contains enough information to allow the reader to start applying MCMC in a basic way. The following chapters cover main issues, important concepts and results, techniques for implementing MCMC, improving its performance, assessing model adequacy, choosing between models, and applications and their domains.Markov Chain Monte Carlo in Practice is a thorough, clear introduction to the methodology and applications of this simple idea with enormous potential. It shows the importance of MCMC in real applications, such as archaeology, astronomy, biostatistics, genetics, epidemiology, and image analysis, and provides an excellent base for MCMC to be applied to other fields as well. ... Read more

Reviews (3)

Applications for Experts and Interested Laymen
I have a graduate level physics and mathematics background and found that the real-world applications discussed in this book enhanced my understanding of Monte Carlo models. While I knew the math cold, this thought provoking book helped me make further model enhancements and allowances for the ambiguities in the models.

Monte Carlo experts who want to apply their knowlege to finance should also read: "Options, Futures, and Other Derivatives (5th Edition) by John Hull; and "Credit Derivatives" (2nd Edition) by Janet Tavakoli.

great collection of articles on applications
Gilks, Richardson and Spiegelhalter edited this marvelous collection of papers on applications of Markov Chain Monte Carlo methods. There has been a big payoff for Bayesians as this method has been a breakthrough for dealing with flexible prior distributions. Most (but not all) of the articles deal with Bayesian applications. The editors themselves start out with an introductory chapter that covers the basic ideas and sets the stage for the articles to come. They provide many references including several of the articles in this volume.

The list of authors is quite impressive and many interesting examples are presented. The editors themselves contribute to other chapters. Spiegelhalter and Gilks co-authored a chapter on a Hepatitis B case study with Best and Inskip. Gilks has a chapter on full conditional distributions and co-authors a chapter on strategies for improving the MCMC algorithms. Richardson contributes a chapter on measurement error.

George and McCulloch deal with the use of Gibbs sampling to choose variables in a model based on a Bayesian approach. Raftery also has a chapter on Bayesian approaches in hypothesis testing and model selection. Green covers image analysis. There are many others (25 chapters in all). This is a great reference for anyone interested in MCMC methods.

The BUGS (Bayesian inference Using Gibbs Sampling)software was developed by Spiegelhalter, Thomas, Best and Gilks to implement Gibbs sampling in a variety of contexts. They illustrate its use along with the diagnostic software CODA in the application in Chapter 2. It is also mentioned in various other chapters in the book. There is currently a version called winBUGS which is designed for Windows operating systems.

Before jumping into the use of MCMC a user would be well advised to study this book.

Very Useful.
We recommend this book to anyone who is interested in learning MCMC methods. Contains a excellent selection of practical examples. Christopher Gordon and Steve Hirschowitz ... Read more

Book Description

Why make statistics harder than it has to be?Lind/Marchal/Mason: STATISTICAL TECHNIQUES IN BUSINESS AND ECONOMICS, 11/e is a perennial market best seller due to its comprehensive coverage of statistical tools and methods delivered in a student friendly, step-by-step format.The text is non-threatening and presents concepts clearly and succinctly with a conversational writing style.All statistical concepts are illustrated with solved applied examples immediately upon introduction. Modern computing tools and applications are introduced, but the text maintains a focus on presenting statistics content as oppose to technology or programming methods, and the eleventh edition continues as a ‘students’ text with increased emphasis on interpretation of data and results.lts. ... Read more

Reviews (8)

Good Book
This was a useful book and had helpful examples using excel. I had hoped that it would have had examples using the TI83 calculator but other than that this was a good book for statistics.

GOOD Stats book
Many examples. The formulas were easily explainable and understandable. However, I had hoped that it would have provided additional uses on the calculator like the TI83 - but the CD that accompanies this book was well done to help you do additional excercises on excel. So I give this book 5 stars!

Not a bad book
First of all, I would like to say that this is not a bad book, but I personally found that many of the examples were a little hard to follow. I felt that in many cases steps seemed to be left out, and it was assumed that you would know how to get to these points in the examples that were shown in the book. Unfortunately in my case the professor teaching our statistics class really does not seem to care to follow the material in the book. He's not a bad buy, but I'm not so sure he should be teaching statistics. In addition we use Microsoft Excel and the Megastat add-in on some of the example problems. So what happens is that the answers I get vary depending on whether I follow the book, my professor, or the Megastat program. All of this adds up to massive confusion on my part, and on the part of my fellow classmates.

The Paperback, International Ed. is Great
The paperback international edition is the best deal out there! It will save you a load of cash and is EXACTLY the same content wise as the hardback USA edition. As far as the quality of the textbook goes I'm not exactly a math minded person and this book seems to explain stuff fairly well or at least as good as Quantitative Methods can be explained.

Excellent Book!
Reading this Book helps anyone understand all Basic Statistics; this allows continue with more advanced textbooks. I recommend it to all, who need to start up with essential statistics and need a friendly, introductory but very efficient approach! ... Read more

Book Description

This CDROM contains all the source code for the routines and examples from Numerical Recipes in C: The Art of Scientific Computing (Second Edition) and Numerical Recipes in C++: The Art of Scientific Computing (Second Edition) as well as the affiliated example books. The C++ routines, in ANSI/ISO C++ source code, can be used with almost any existing C++ vector/matrix class library, according to user preference.A simple class library for stand-alone use is also included.The ISO 9660 standard format CD-ROM can be used by Windows (all versions) and Macintosh compatible computers, using any Web browser to navigate among the program files. Included with the CD-ROM is a license to use all the copyrighted Numerical Recipes code on a single Windows or Macintosh compatible computer. Both scientific programmers new to C++, and experienced C++ programmers who need access to the Numerical Recipes routines, can benefit from this new version of a classic text. ... Read more

Reviews (2)

This is the one of the worst examples of coding I've seen
I just got my copy of the CD today. I was surprised to see that they had stripped off all the code comments provided in the books. All that is left is the terse library of routines with the single character variables we loved to use as a BASIC beginner.

Buy this CD for the licence rights, but download the PDF chapters from the NR web site to get the commented code.

The familiar Numerical Recipies routines without so much C
The numerical recipes books have always provided minimal but usable routines for most numerical applications. The C++ conversion supplies routines that have been barely changed from the C versions, but uses C++ to give you the minimum that C++ programmers demand: automatic memory management and freedom from scary macros and side effects . The authors also updated the code to support double precision floats and complex numbers where the C version does not. The implementation of vectors and matrices is so minimal that even matrix multiplication and addition are not supported. All manipulation is element by element. This may make the routines less readable but has one big advantage: you can plug any vector or matrix library into these routine in place of their built in ones and expect everything to work instantly.

This is NOT free software - the license is relatively friendly to commercial software but not to open source software.

While there are other libraries that seem to be much more friendly to open source development than the NR library, I still think the numerical recipes books and libraries are useful to people writing open source software. You can't use the library directly, but where else are you going to find examples of minimal implementations of numeric algorithms? The code is absolutely modular, so you do have some hope of being able to decipher it.

Anyway even the NR routines are based on older routines so the authors admit in the license that comes with the book that they can't claim to own the algorithms they use.

Basically the new version of the code has been improved to the point where there's no need to run screaming, and for quick and dirty math routines, that's good enough for my use anyway.

... Read more

Amazon.com

Good scientists learn early on not to do everything by the book. Respected statistician Gerald Van Belle has compiled the unpublished wisdom of his profession in the invaluable Statistical Rules of Thumb. Those mathematicians involved in statistical work will applaud its clarity and organization, while other scientists will find their experimental design and analysis vastly improved by its suggestions. Each of the 99 rules has a brief introduction, a simple statement of the rule, illustrations, theoretical underpinnings, and extensions. Topics covered include covariation, design, consultation, epidemiology, and data representation. Van Belle is providing Web support for this ongoing project, so we can expect to see even greater breadth and refinement as it develops. --Rob Lightner ... Read more

Reviews (5)

Practical advice
This is a useful book for the working statistician or consultant. Many questions arise in practice that are never covered in traditional textbooks, and with experience an applied statistician learns "rules of thumb". Here is a text that nicely organizes some of the most common questions and problems and design considerations, with solid practical advice. This is not a text for a course (unless a course in consulting), but would serve an applied researcher or statistician well.

Excellent Book - though not for the uninitiated
Excellent reference for statisticians. Only two complaints:
1) In many instances, wording is not clear - you have to really pick sentences apart to figure out what the author meant.
2) Reasons for a particular rule sometimes leave you wanting. But at least you're introduced to the concept and can look elsewhere for assistance in understanding.

Also, the title might lead some non-statisticans to think that they can pick this book up and learn how to plug and chug in all sorts of situations. This is not the case.

Superb!
What a great idea. Rather than write a comprehensive text, Dr. VanBelle writes about a large number of statistical topics, focussing on areas that are confusing, or frequently misunderstood. Some of his "rules of thumbs" are approximate formulae for doing quick (but approximate) analyses. Most are more general advice, based on decades of consulting. Topics range from designing studies to making graphs, but most are about data analysis. Something for everyone in a well-written book.

a must have
In the real world, statistical analyses are never as simple as multiple choices. There are a lot of things that have no clear cut between right and wrong. This book deals these "gray" areas. Wisdoms like the rules in this book are usually in an experienced statistician's mind. Now they are available to everyone doing statistics.

By the way, this book is so easy to read and does not have horrible equations.

more than just simple rules to apply
Gerald van Belle is a biostatistician and professor at the University of Washington. He has coauthored an excellent text on biostatistics with Lloyd Fisher. In this delightful and clearly written text van Belle provides 99 rules of thumb based on his vast experience as a consultant and researcher in statistics and biostatistics. For a statistician or a student of statistics along with the term "rule of thumb" one thinks of the three sigma rule or the use of range divided by sample size as a quick estimate of standard error of the mean. But this text is much more than a compilation of such simple rules. Professor van Belle organizes the book into topical chapters on sample size determination, covariation, epidemiology, environmental studies, design, conduct and analysis of experiments, tables and graphics, and consulting. Each rule is put into proper context and is justified with mathemetical theorems or empirical evidence.

Some of the rules are more like guidance for proper approaches to problems. For example in reviewing the basics in chapter 1 van Belle discusses the linear model in terms of the key assumptions of independence, equal variance and normality. The rule of thumb in section 1.4 states that assumptions should be considered in the order (1) independence, (2) equal variance and (3) normality. Van Belle explains this order by showing that the inferences are far more sensitive to violations in the independence assumption than in either the assumption of equal variance or the assumption of normality. As a statistician, I am aware of the sensitivity to correlation and the fact that variances need to differ by a factor of nearly four before results are seriously affected. Also when the data do not fit the normal distribution we have the nonparametric alternatives based on ranks. Nevertheless,in practice it is easiest and routine to test normality first, variances second and correlation becomes an afterthought. In some situations this may be okay since we may have good reason to believe that the observations were generated independently. But the rule is a good practical guidance. If you question all three assumptions it makes sense to test them in the order van Belle is suggesting.

Other practical advice of this type include the following rules of thumb:
1. Start with the Poisson to model incidence or prevalence.
2. Begin with the exponential model for time to event data.
3. Begin with two exponentials to compare two survival distributions.
4. Begin with the lognormal distribution in environmental studies.

These rules are not meant to suggest that simple models always work or even that they work in the majority of case. It is just that it is best to start simple and let the analysis and diagnostics tell you when more complicated models are needed.

This book will be a great guide for statistical practitioners and a terrific reference for professional and consulting statisticians. The references suppoting the rules are as valuable as the rules themselves. ... Read more

Book Description

Understandable Statistics is a thorough, yet manageable text for one-semester introductory statistics courses. The text's approachable style is designed to help students overcome their apprehension about statistics. To reinforce this approach, the book integrates graphing technology as well as real-life data from such sources as journals, periodicals, newspapers and the Internet. This real-world emphasis asks students to utilize real data to draw conclusions and interpret results, working on problems drawn from the sciences, business, medicine, archaeology, and consumer economics.

• Check Points at the beginning of each section list the concepts that will be covered in the section to prepare students for the material.
• Tech Notes, found in select section examples, provide general tips to guide students in the appropriate use of the TI-83 Plus, Minitab, and Excel. Denoted by an icon, the Tech Notes also incorporate display screens from each of these technologies to help students work through a statistical problem and better understand the solution.
• Chapter openers have been redesigned to include new pedagogical features: a brief Chapter Table of Contents and a set of Preview Questions with references to the appropriate section in the chapter. Also featuring compelling new photos, the chapter-opening material maintains the book's emphasis on real-world applications with quotes, commentary, and Focus Problems from the previous edition.
• Even and odd answers in text margins of the Instructor's Annotated Edition, located next to their respective exercises, offers instructors a time-saving convenience. For answers that contain art or tables too large to fit in the margin, a note directs instructors to the Appendices.
• Viewpoint boxes present a real-world situation and feature thought-provoking problems that help to humanize statistics.
• Data Highlights (Group Projects) at the end of each chapter help prepare students for collaboration in the workplace.
• Linking Concepts (Writing Projects) at the end of each chapter challenge students to extend their thinking and examine statistical concepts from a broader perspective by expressing their thoughts in essay form.
• Guided Exercises immediately follow selected examples to give students the opportunity to work with new concepts before more are presented. Completely worked out solutions are situated beside each exercise to offer immediate reinforcement.
• Detailed Examples show students how to select and apply appropriate procedures to solve problems.
• Chapter Focus Problems help prepare students for the concepts and skills to be covered and comprehensive Chapter Review Problems at the end of each chapter reinforce the material. Many problems synthesize material and concepts from several sections, asking students to decide what technique to apply to a problem.

Book Description

"There is no book on the market to compare with Dr Jäckel's. All the techniques, the tricks, the pitfalls of this important methodology are covered in detail and with great insight. This is no book on abstract theory, Dr Jäckel is a practitioner who has implemented every single one of these ideas. He has done all the hard work, so you don't have to." Paul Wilmott

"Few expert practitioners also have the academic expertise to match Peter Jäckel's in this area, let alone take the trouble to write a most accessible, comprehensive and yet self contained text. This book is a delight to read and contains a wealth of information that is essential for anyone involved with implementing Monte Carlo methods in finance." Professor Carol Alexander, ISMA Centre, University of Reading, UK

" This book is a very welcome addition to the growing literature on applied quantitative methods in finance. Dr Jäckel has done the field a service in combining both a thorough review of 'standard' material with techniques that were learned on the job as a quant at top financial institutions. Michael Curran, Quantin' Leap

Based on the author's own experience, Monte Carlo Methods in Finance adopts a practical flavour throughout, the emphasis being on financial modelling and derivatives pricing. Numerous real world examples help the reader foster an intuitive grasp of the mathematical and numerical techniques needed to solve particular financial problems. At the same time, the book tries to give a detailed explanation of the theoretical foundations of the various methods and algorithms presented.

Monte Carlo methods have been used in the financial community for many years for addressing complex financial calculations. Recent advances by both practitioners and academic researchers in the area of fast convergence methods, together with the improvements achieved by the manufacturers of computer hardware, make Monte Carlo simulations more and more frequently the method of choice. In this long needed book on modern Monte Carlo methods in finance, Peter Jäckel provides an introduction to many of the leading edge techniques available. ... Read more

Reviews (7)

for Quants only
if you're a quant, you might really love this book

if you're a person who wants to have a "basic" understanding how to use MC for consulting or product pricing with examples, you got the wrong book (not mentioning that your maths must be pretty good).

if you're looking for an Excel example on how to price some basic options, i highly recommend Jackson & Staunton or Wilmott.

Good book
This book is pretty good as it covers lots of different areas of Monte Carlo simulation and some of the newer stuffs, such as copulae, etc. The math presentation is brief but to the point as application of the mathematics to Monte Carlo methods is the emphasis. Intuitive ideas behind the formula is explained pretty well as it tells you where certain formula can be used for. It would be helpful to have taken an advanced course in Monte Carlo methods in Finance to appreciate the book. I would personally suggest Glasserman's course at Columbia U. Prof Glasserman is also writing a book on the subject that he uses for lecture notes now. It would turn out to be an even better book to read.

Competent Treatment of an Advanced Approach
This is an excellent resource for anyone already familiar with Monte Carlo modelling. Scientists making the transition to Wall Street will find this a needed supplement to Hull and other good resources. Product descriptions are also needed, especially for areas in which growth is exploding and therefore jobs are available. "Credit Derivatives" (Second Edition) by Janet Tavakoli is a great resource for getting up to speed on these products and for highlighting some of the data and modelling issues one will encounter. Although it is a product book and an applications book that helps the modeller understand how to approach the problem.

An advanced approach to math methods behind finance
Very interesting and well written book reviewing more advanced mathematical concepts which might be relevant for finance engineering - not limited to Monte Carlo methods. The author seems to have a firm background in theoretical physics. Definitely not for simpletons.

CD does not work
It is a book for mathematics lovers not financial oriented profesionals. I would not recomend this book for those looking to gain more practical knowledge on this subject. ... Read more

Reviews (6)

Masterpiece
This book is a masterpiece: it goes from the simple and straightforward (with examples of sequential equilibria) to technical and challenging material (such as the Mertens-Zamir type space). I own Fudenberg-Tirole and Osborne-Rubinstein, but it is Myerson that gets picked up the most. What I find most rewarding is that Myerson introduces everything gently, working from examples to build a general theory.

not bad
very comprehensive book. Covers pretty much everything. It's supposed to be a graduate text but undergrads can handle it as long as they know some math and aren't too scared by all the notation. Oh and Myerson is nice guy too.

still on the frontier because of disinformation
This book is not good only because it explains all well known difficult concepts which noone so far has been able to explain clearly and rigourosly in one book but for new important topics that are less known for the majority of game theorists. I'm refering to the idea of networks and cooperation structures and also cooperation under uncertainty with the idea of virtual utility.

The Best Book for Learning Pure Game Theory
Myerson's book is fantastic. For learning the *theory* of game theory, it is the best book available. Virtually every important topic in game theory is treated at some point in the book (though students are not always beaten over the head with their names).

The plan is well thought out and has some interesting innovations. For example, incomplete information is well integrated and permeates the text in many places, rather than one or a couple chapters. However, beacuse of this -- while the book is superb for learning and developing understanding -- it is not always the best reference. Some topics are not available in one easily indexed locations. (On the other hand, other topics like bargaining and zero sum games are treated in the usual discrete way.)

An Elegant and Deep Treatment
I just completed a game theory book (Game Theory Evolving, Princeton University Press, 2000). To find the best way to present various materials, I went through virtually every game theory book in existence. For the presentation of the basic material on normal and extensive form games, nothing even came close to this book in clarity of presentation and depth of understanding of the issues. Most textbooks, even highly touted ones that are mathematically challenging, do not even come close, and rarely even present the material in a coherent form at all.

I used to do a lot of carpentry, and I always knew the good carpenters from the run of the mill. The latter talk about how to build stuff. The good ones talked about how you choose, preserve, treat, and sharpen your tools. Myerson is, for game theory, like the good carpenter, and this book is more about the nature of the tools of game theory than their deployment--although it is certainly that, too.

The subtitle of this book is silly ("The Analysis of Conflict"). Game theory is the analysis of cooperation as much as conflict, and much, much else as well. So is this book. ... Read more

Book Description

Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.
This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets. ... Read more

Reviews (3)

From the experts in the field
Michel Dacorogna and the team at the former Olsen & Associates are well-known experts in the field of foreign exchange rate data analysis, and their book provides us with a vast, useful source of information. Unfortunately for students and other beginners, the book is written like a compilation of papers and review articles, the opposite of pedagogical, and with an awful choice of 'computerese' notation (MA(t,n)=sum(EMA(t',k)... etc) that makes Boudhaud-Potters look easy in comparison. More to the point, even their noncomputerese notation is difficult to follow. I hope for a very different second edition written pedagogically for students of this growing and important field. On the positive side, data analyses are performed using logarithmic returns, not price increments. Workers in the field who consult this text will find it helpful.

For the new millenium...that's what we need.
The book covers a wide range of topics related to high-frequency data in Finance. There is a very detailed approach to tackle a huge amount of data and to deal with its based stylized facts. The book triggers the reader's desire to update his knowledge in the field of finance.

More Than An Introduction
This one of the few books on high frequency finance is a most welcome to the literature. The book is useful not only for people who are new to the subject but also for researchers in the field since it is a most uniform treatment of many topics. From adaptive data cleaning (chapter 4) to intraday and weekly seasonality (chapter 6) and real time trading models (chapter 11), it covers a broad range of topics specific to high frequency financial time series analysis. Chapters on volatility modeling (Chapter 8), forecasting (chapter 9) and correlation and multivariate risk (chapter 10) are enlightening especially for risk exposure analysis and risk management purposes. Finally, the the extensive bibliography is a precious source for those who would like to explore certain topics in detail. I highly recommend it for practitioners as well as researchers in the field. ... Read more

Book Description

Knowledge spaces offer a rigorous mathematical foundation for various practical systems of knowledge assessment. An example is offered by the ALEKS system (Assessment and LEarning in Knowledge Spaces), a software for the assessment of mathematical knowledge. From a mathematical standpoint, knowledge spaces generalize partially ordered sets. They are investigated both from a combinatorial and a stochastic viewpoint. The results are applied to real and simulated data. The book gives a systematic presentation of research and extends the results to new situations. It is of interest to mathematically oriented readers in education, computer science and combinatorics at research and graduate levels. The text contains numerous examples and exercises and an extensive bibliography. ... Read more

Book Description

Chris Albright and Wayne Winston have brought their hallmark teach-by-example approach to the undergraduate spreadsheet modeling course. Renowned for their other successful texts in operations research/management science, Winston and Albright successfully show how spreadsheets are used in real life to model and analyze real business problems. By modeling problems using spreadsheets from the outset, SPREADSHEET MODELING AND APPLICATIONS prepares future managers for the types of problems they will encounter on the job. Real cases throughout the text further cement this book's status as the most relevant of its kind on the market. This text is also accompanied by Palisade Corporation's professional spreadsheet add-ins, DecisionTools® Suite. ... Read more

Book Description

This well-respected text gives an introduction to the modern approximation techniques and explains how, why, and when the techniques can be expected to work. The authors focus on building students' intuition to help them understand why the techniques presented work in general, and why, in some situations, they fail. With a wealth of examples and exercises, the text demonstrates the relevance of numerical analysis to a variety of disciplines and provides ample practice for students. The applications chosen demonstrate concisely how numerical methods can be, and often must be, applied in real-life situations. In this edition, the presentation has been fine-tuned to make the book even more useful to the instructor and more interesting to the reader. Overall, students gain a theoretical understanding of, and a firm basis for future study of, numerical analysis and scientific computing. A more applied text with a different menu of topics is the authors' highly regarded NUMERICAL METHODS, Third Edition. ... Read more

Reviews (22)

A good textbook and handbook for real analyzer
In my first year of graduate life, I implemented many algorithms
on this book, and made them workfairly well.

The pseudo code in the book is very clear while the proof of theorem and algorithm are easily to be understood.

To learn from the book is an enjoyment to me.
Frankly speaking,it took me into the field of Numerical Analysis.

Maybe you might thought the proof and convergence analysis
were a little dull,but please notice they are esscential to
a professional analyzer.

full of errors
I normally don't write reviews for books, but I felt compelled to say that this book has quite a few errors that I've personally found quite annoying. The errors aren't mentioned in the authors' online errata either, which covers only the 1st printing. I'd think you could iron out most bugs after 7 editions, but apparently not. The coverage of material itself, while not great, is acceptable, but there are random errors scattered throughout that threw me off. At least a few of the algorithms, when implemented, don't work properly. Some of the solutions in the back aren't accurate or are just wrong (e.g., some ask for what h you need to be below a certain error bound, then proceed to give a larger h than is really necessary). Just my two cents.

Numerical Analysis for Dummies its not...
This book covers all the topics a reader would expect of numerical analysis and comes with a CD of pre-built code for many of the analysis techniques. From my perspective, the authors' present theorem and proof with relatively few examples. I found myself referring to Gerald and Wheatley's Applied Numerical Analysis (among others) for the duration of my college course to attain the level of understanding expected by the university. Gotta love libraries! At $.., this is the most expensive math book I've purchased, and I can say that I wouldn't value it at this price if it had not been selected by the university. Best of luck to those who read it...

Review of Numerical Analysis, 7th edition
This is a numerical analysis book written from a mathematician's point of view, and requires from the reader a good background in calculus and linear algebra.

Even though the book has an initial chapter ("mathematical preliminaries"), reading this chapter is not enough if the student has not a good previous mathematical knowledge.

The book introduces modern approximation techniques and explains how, why and when these techniques are expected to work, and allows the reader to understand why one algorithm works better than other for a given problem.

The text contains many examples as well as application problems in various areas of science and engineering.

The book uses Maple as the standard software for symbolic and approximate calculus, even though Mathematica and Derive are mentioned too and could be used instead with small modifications.

The original English edition (7th edition) includes a CD-ROM with all the algorithms, expressed in different formats (C, Fortran, Pascal, Maple, Mathematica and MATLAB), although the Spanish translation (edited by Thomson Learning) does not include the CD-ROM. However, there is an Internet address in which the CD-ROM contents can be accessed.

To conclude, the book is a good text that requires a mathematical background from the reader and covers a broad range of modern approximation techniques. It is not a mere numerical methods cookbook, but a text that analyzes and applies the numerical methods instead.

Wordy, poor algorithms, worse code
Like other reviewers, I'm still struggling to find a decent advanced mathematics textbook.Some of the problems with Burden's book includes insufficient examples and explanations.He introduces strange and unnecessary notation in his algorithms; for example in chapter 7 (Iterative techniques for solving linear systems) many of his index loops run from 1 to n.If he set them from 0 to n-1, it would clean up much of his logic.He also apparently loves the variable XO to represent the initial approximation x naught.

Maybe due to my physics background, but his notation of representing indexes of variables as a _power_ is confusing:
Burden represents the i-th index of x as x^(i), not to be confused the i-th power of x: x^i.Modern typesetting includes subscripts, why not use them instead?Heck, use LaTeX and do the same thing (x_i)!

Finally, several of the codes on the included CD refused to run, and some of them didn't give correct answers.You will need some programming experience to edit, as none of the codes (at least all of the Matlab and possibly all of the C) adhere to any programming standards or formatting.Mr. Burden (or his programmer) is invited to purchase and use Steve McConnell's "Code Complete"--or hire someone who knows how to write maintainable code well.What is the purpose of supplying code if it cannot be used in other projects?"Gee Wiz, the book includes Code!" one might exclaim. "But what good is it?" is the inevitable response. ... Read more

Book Description

Sheldon Ross' Simulation, Third Edition introduces aspiring and practicing actuaries, engineers, computer scientists and others to the practical aspects of constructing computerized simulation studies to analyze and interpret real phenomena. Readers learn to apply results of these analyses to problems in a wide variety of fields to obtain effective, accurate solutions and make predictions about future outcomes.

This new edition provides a comprehensive, in-depth, and current guide for constructing probability models and simulations for a variety of purposes. It features new information, including the presentation of the Insurance Risk Model, generating a Random Vector, and evaluating an Exotic Option. Also new is coverage of the changing nature of statistical methods due to the advancements in computing technology. ... Read more

Reviews (1)

A reader from Saudi Arabia
This is an excelent textbook explaining what simulation means and how to deepen your knowalge. You have to be a good programmer in order to use this book (and simulation generally)and the author should have added an andex for such a language and how its connection with simualtion ( C or C++) although my experience would elect MATLAB as prefernce!! This text does not requir any prior experience regarding simulatin although taking a course in statistics and probability would be advantageous!! ... Read more

Book Description

A rigorous, systematic presentation of modern longitudinal analysis
Longitudinal studies, employing repeated measurement of subjects over time, play a prominent role in the health and medical sciences as well as in pharmaceutical studies. An important strategy in modern clinical research, they provide valuable insights into both the development and persistence of disease and those factors that can alter the course of disease development.
Written at a technical level suitable for researchers and graduate students, Applied Longitudinal Analysis provides a rigorous and comprehensive description of modern methods for analyzing longitudinal data. Focusing on General Linear and Mixed Effects Models for continuous responses, and extensions of Generalized Linear Models for discrete responses, the authors discuss in detail the relationships among these different models, including their underlying assumptions and relative merits. The book features:
* A focus on practical applications, utilizing a wide range of examples drawn from real-world studies
* Coverage of modern methods of regression analysis for correlated data
* Analyses utilizing SAS(r)
* Multiple exercises and "homework" problems for review
An accompanying Web site features twenty-five real data sets used throughout the text, in addition to programming statements and selected computer output for the examples. ... Read more

Book Description

Selling over 220,000 copies in its first edition, Schaum's Outline of Probability and Statistics has become a vital resource for the more than 977,000 college students who enroll in related probability and statistics courses each year. Its big-picture, calculus-based approach makes it an especially authoriatative reference for engineering and science majors. Now thoroughly update, this second edition includes vital new coverage of order statistics, best critical regions, likelihood ratio tests, and other key topics.

Reviews (6)

I don't want to give it any stars
As someone has stated earlier, this book doesn't go into details of how theorems or formulas are derived. They just state it - a sign of a bad book, in my opinion. Another example of this book's awfulness is the answers to the supplemental problems; some are WRONG(see 1.53, 1.66b, 2.43 just to name a few), this has driven me and my fellow clasmates crazy; making us believe that we're not doing it right. If you're a professor, please don't make this the required textbook, or even an optional book because it sucks.

Worst Statistics book I've ever seen
If you already know detailed stat theory, and are looking for a refresher for the formulae and theorems, this book will work, although I cannot imagine anyone needing a refresher book if they knew the material well anyway. This book might also work if you approach math by memorizing concepts without understanding them. For the rest of us, this book confuses more than it explains anything at all. Theorems are stated, not proven. Formulas are given, rarely drawn. The book looks like cheat sheets I used in class, not even like notes taken in class where you follow the proofs being drawn by the professor.

I have worked as a statistical process control engineer for 5 years, and as a fixed income bonds analyst for the last 3, and I also have extensive undergraduate and postgraduate education in this area. This is THE worst book I've ever come across on the subject matter. My recommendation is to get a college level intro to stat book like Milton and Arnold, or Weiss, if you want to learn the basics, or a Masters level book if you want to get into details, like Ripley or Kleinbaum.

Need a replacement
As per all Schaum's thjis is also excellent. Like many of the others I have, especially the Concrete Book, this one too, worn out. Since it was required for a course that I took for an elective, would you beleive Economic Statistics. An easy A for math majors and Engineers; no real hard core economics covered.

Had this course over thirty years ago; upon recomendation of a friend. Professor did ask one question regarding economics; "which one of these bell curves represents percent of total income". Most wrongly (as I did) the symettric one as opposed to the correctly skewed to the left one.

Nom more economics, then. Pure probability, Stats, and Fun. Since the prof was a sports and gaming fan, as am I, this is my favorite math.

The downside, was the prof was veiwed as biassed against women, because his one-point (out of 500) bonus question was always sports trivia. I actually usually hit them, although I remember, the one test before Memorial day 1970, that if were after I would have known that the Late Tony Hulman alwasys said "Gentlemaen, start your engines".

But I digress. Get this book, agree -- cheap thorough and worth it. My favorite and most practical branch of math; so buy, learn and beat the lotto, cards, horses, and slots.

Practical way to become proficient in problem solving
I have used this book to teach myself statistics and probability theory in a relatively short period of time.