NuclearPhynance Archive

Any of you guys have an opinion of Fabozzi book? Similar to Grinold-Kahn? Thanks.



Edit: i guess technoquant already recommended it as Kolm is one of the authors.

Forgot to mention the scherer-martin book if you have splusnu-opt

is a very good book as well. I like the style where there is a sample dataset and examples that makes it DIY. The big negative for this book is the requirement for having splus and nuopt to use it and is not R-friendly. If you buy the book you can download a 3month trial of splus and nuopt.