













| | Books Most Referenced in Research Papers OverallThis site no longer makes commission on book sales. Highly cited books are (and will continue to be) tabulated as a service to researchers. The goal in showing referenced books is to allow the 1,803 researchers to "vote" on which books they have found useful - and implicitly - which books would be useful for other people. As of 29-September-2010, there were 4,214 book citations of 1,066 unique books within 1,672 research papers. The following are the Top 30 most cited books. | Cited in 124 papers | | Credit Risk: Modeling, Valuation and Hedging by Tomasz R. Bielecki, Marek Rutkowski, Springer, (March 5, 2004), Hardcover, 540 pages. Amazon: Sales Rank= #722,509; Reviews= (4). | | Cited in 103 papers | | Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher, Wiley, (March 1, 2003), Hardcover, 600 pages. Amazon: Sales Rank= #742,521; Reviews= (11). | | Cited in 93 papers | | Credit Risk: Pricing, Measurement, and Management by Darrell Duffie, Kenneth J. Singleton, Princeton University Press, (January 6, 2003), Hardcover, 464 pages. Amazon: Sales Rank= #267,373; Reviews= (5). | | Cited in 75 papers | | Stochastic Integration and Differential Equations: Version 2.1 by Philip E. Protter, Springer, (February 19, 2010), Paperback, 436 pages. Amazon: Sales Rank= #1,458,646; No customer reviews yet. | | Cited in 70 papers | | An Introduction to Copulas by Roger B. Nelsen, Springer, (January 13, 2006), Hardcover, 270 pages. Amazon: Sales Rank= #577,579; Reviews= (4). | | Cited in 60 papers | | Credit Risk Modeling: Theory and Applications by David Lando, Princeton University Press, (June 1, 2004), Hardcover, 320 pages. Amazon: Sales Rank= #591,273; Reviews= (5). | | Cited in 58 papers | | Options, Futures and Other Derivatives by John C. Hull, Prentice Hall, (February 12, 2011), Hardcover, 864 pages. Amazon: Sales Rank= #4,004; Reviews= (75). | | Cited in 52 papers | | Brownian Motion and Stochastic Calculus by Ioannis Karatzas, Steven E. Shreve, Springer, (September 5, 2006), Hardcover, 470 pages. Amazon: Sales Rank= #340,665; Reviews= (7). | | Cited in 52 papers | | Point Processes and Queues: Martingale Dynamics by Pierre Bremaud, Springer, (November 8, 2005), Hardcover, 354 pages. Amazon: Sales Rank= #1,580,496; No customer reviews yet. | | Cited in 50 papers | | Multivariate Models and Dependence Concepts by Harry Joe, Chapman & Hall/CRC, (May 1, 1997), Hardcover, 424 pages. Amazon: Sales Rank= #865,238; Reviews= (1). | | Cited in 49 papers | | Quantitative Risk Management: Concepts, Techniques, and Tools by Alexander J. McNeil, Rudiger Frey, and Paul Embrechts, Princeton University Press, (September 26, 2005), Hardcover, 608 pages. Amazon: Sales Rank= #99,055; Reviews= (9). | | Cited in 42 papers | | Introduction to Credit Risk Modeling, Second Edition by Christian Bluhm, Ludger Overbeck, and Christoph Wagner, Chapman & Hall/CRC, (June 2, 2010), Hardcover, 384 pages. Amazon: Sales Rank= #813,661; No customer reviews yet. | | Cited in 42 papers | | Dynamic Asset Pricing Theory by Darrell Duffie, Princeton University Press, (November 1, 2001), Hardcover, 471 pages. Amazon: Sales Rank= #501,849; Reviews= (7). | | Cited in 34 papers | | Credit Risk Management In and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms by Anthony Saunders, Linda Allen, Wiley, (May 3, 2010), Hardcover, 380 pages. Amazon: Sales Rank= #549,048; No customer reviews yet. | | Cited in 32 papers | | Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit by Damiano Brigo, Fabio Mercurio, Springer, (September 26, 2007), Hardcover, 981 pages. Amazon: Sales Rank= #182,307; Reviews= (6). | | Cited in 32 papers | | Credit Risk: Models and Management by David Shimko, Risk Books, (April 1, 2004), Hardcover, 638 pages. Amazon: Sales Rank= #2,284,353; Reviews= (1). | | Cited in 31 papers | | Modelling Extremal Events for Insurance and Finance by Paul Embrechts, Claudia Klüppelberg, and Thomas Mikosch, Springer, (October 15, 2004), Hardcover, 655 pages. Amazon: Sales Rank= #705,714; Reviews= (4). | | Cited in 31 papers | | Risk Management: Value at Risk and Beyond by Michael A. H. Dempster, Cambridge University Press, (December 15, 2001), Hardcover, 450 pages. Amazon: Sales Rank= #2,579,007; No customer reviews yet. | | Cited in 28 papers | | Econometric Analysis by William H. Greene, Prentice Hall, (August 17, 2007), Hardcover, 1216 pages. Amazon: Sales Rank= #143,372; Reviews= (61). | | Cited in 27 papers | | Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt by Edward I. Altman, Edith Hotchkiss, Wiley, (December 2, 2005), Hardcover, 368 pages. Amazon: Sales Rank= #151,644; Reviews= (2). | | Cited in 25 papers | | Mathematical Finance - Bachelier Congress 2000 by Helyette Geman (Editor), Dilip Madan (Editor), Stanley R. Pliska (Editor), and Ton Vorst (Editor), Springer, (February 5, 2002), Hardcover, 521 pages. Amazon: Sales Rank= #3,408,064; No customer reviews yet. | | Cited in 24 papers | | The Essentials of Risk Management by Michel Crouhy, Dan Galai, and Robert Mark, McGraw-Hill, (December 14, 2005), Hardcover, 416 pages. Amazon: Sales Rank= #131,386; Reviews= (11). | | Cited in 23 papers | | Managing Credit Risk: The Great Challenge for Global Financial Markets by John B. Caouette, Edward I. Altman, Paul Narayanan, Robert Nimmo, Wiley, (May 16, 2008), Hardcover, 656 pages. Amazon: Sales Rank= #609,295; Reviews= (1). | | Cited in 23 papers | | Financial Modelling with Jump Processes by Rama Cont, Peter Tankov, Chapman & Hall/CRC, (December 30, 2003), Hardcover, 552 pages. Amazon: Sales Rank= #253,763; Reviews= (5). | | Cited in 22 papers | | Mathematics of Derivative Securities by Michael A. H. Dempster, Stanley R. Pliska, Cambridge University Press, (October 13, 1997), Hardcover, 600 pages. Amazon: Sales Rank= #2,848,988; Reviews= (1). | | Cited in 22 papers | | Monte Carlo Methods in Financial Engineering by Paul Glasserman, Springer, (August 7, 2003), Hardcover, 602 pages. Amazon: Sales Rank= #182,824; Reviews= (21). | | Cited in 21 papers | | Séminaire de Probabilités XLII by Catherine Donati-Martin (Editor), Michel Émery (Editor), Alain Rouault (Editor), Christophe Stricker (Editor), Springer, (June 29, 2009), Paperback, 449 pages. Amazon: Sales Rank= #275,954; No customer reviews yet. | | Cited in 21 papers | | Numerical Recipes 3rd Edition: The Art of Scientific Computing by William H. Press, Saul A. Teukolsky, William T. Vetterling, and Brian P. Flannery, Cambridge University Press, (September 10, 2007), Hardcover, 1256 pages. Amazon: Sales Rank= #24,339; Reviews= (11). | | Cited in 21 papers | | Handbook of Mathematical Functions: with Formulas, Graphs, and Mathematical Tables by Milton Abramowitz (Editor), Irene A. Stegun (Editor), Dover Publications, (June 1, 1965), Paperback, 1046 pages. Amazon: Sales Rank= #163,069; Reviews= (17). | | Cited in 20 papers | | Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation by Michael Pykhtin (Editor), Risk Books, (December 14, 2005), Hardcover, 399 pages. Amazon: Sales Rank= #1,421,728; Reviews= (1). |
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