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Books Most Referenced in Research Papers Overall

The goal in showing referenced books is to allow the 1,663 researchers to "vote" on what books they have found useful – and implicitly – what books would be useful for other people to read.  As of 3-September-2009, there were 3,915 book citations of 981 unique books within 1,583 research papers. The following are the Top 30 most cited books.

Cited in 114 papersCredit Risk: Modeling, Valuation and Hedging

Credit Risk: Modeling, Valuation and Hedging
by Tomasz R. Bielecki, Marek Rutkowski,
Springer, (March 5, 2004), Hardcover, 540 pages.
Amazon: Sales Rank= #1,094,013; Reviews= (2).

Cited in 104 papersCredit Derivatives Pricing Models: Model, Pricing and Implementation

Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher,
Wiley, (March 1, 2003), Hardcover, 600 pages.
Amazon: Sales Rank= #269,747; Reviews= (9).

Cited in 88 papersCredit Risk: Pricing, Measurement, and Management

Credit Risk: Pricing, Measurement, and Management
by Darrell Duffie, Kenneth J. Singleton,
Princeton University Press, (January 6, 2003), Hardcover, 464 pages.
Amazon: Sales Rank= #618,859; Reviews= (5).

Cited in 72 papersAn Introduction to Copulas

An Introduction to Copulas
by Roger B. Nelsen,
Springer, (January 13, 2006), Hardcover, 270 pages.
Amazon: Sales Rank= #57,806; Reviews= (3).

Cited in 69 papersStochastic Integration and Differential Equations

Stochastic Integration and Differential Equations
by Philip E. Protter,
Springer, (May 24, 2005), Hardcover, 302 pages.
Amazon: Sales Rank= #530,104; Reviews= (1).

Cited in 57 papersOptions, Futures and Other Derivatives

Options, Futures and Other Derivatives
by John C. Hull,
Prentice Hall, (May 18, 2008), Hardcover, 848 pages.
Amazon: Sales Rank= #12,301; Reviews= (72).

Cited in 55 papersCredit Risk Modeling: Theory and Applications

Credit Risk Modeling: Theory and Applications
by David Lando,
Princeton University Press, (June 1, 2004), Hardcover, 320 pages.
Amazon: Sales Rank= #374,189; Reviews= (5).

Cited in 52 papersMultivariate Models and Dependence Concepts

Multivariate Models and Dependence Concepts
by Harry Joe,
Chapman & Hall/CRC, (May 1, 1997), Hardcover, 424 pages.
Amazon: Sales Rank= #539,980; Reviews= (1).

Cited in 51 papersBrownian Motion and Stochastic Calculus

Brownian Motion and Stochastic Calculus
by Ioannis Karatzas, Steven E. Shreve,
Springer, (September 5, 2006), Hardcover, 470 pages.
Amazon: Sales Rank= #130,190; Reviews= (7).

Cited in 45 papersPoint Processes and Queues: Martingale Dynamics

Point Processes and Queues: Martingale Dynamics
by Pierre Bremaud,
Springer, (November 8, 2005), Hardcover, 354 pages.
Amazon: Sales Rank= #1,284,784; No customer reviews yet.

Cited in 42 papersQuantitative Risk Management: Concepts, Techniques, and Tools

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= #109,263; Reviews= (9).

Cited in 42 papersDynamic Asset Pricing Theory

Dynamic Asset Pricing Theory
by Darrell Duffie,
Princeton University Press, (November 1, 2001), Hardcover, 471 pages.
Amazon: Sales Rank= #504,429; Reviews= (6).

Cited in 41 papersAn Introduction to Credit Risk Modeling

An Introduction to Credit Risk Modeling
by Christian Bluhm, Ludger Overbeck, and Christoph K.J. Wagner,
Chapman & Hall/CRC, (September 27, 2002), Hardcover, 297 pages.
Amazon: Sales Rank= #454,503; Reviews= (7).

Cited in 36 papersCredit Risk Measurement: New Approaches to Value at Risk and Other Paradigms

Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms
by Anthony Saunders, Linda Allen,
Wiley, (February 1, 2001), Hardcover, 288 pages.
Amazon: Sales Rank= #912,558; Reviews= (4).

Cited in 30 papersEconometric Analysis

Econometric Analysis
by William H. Greene,
Prentice Hall, (August 17, 2007), Hardcover, 1216 pages.
Amazon: Sales Rank= #144,458; Reviews= (57).

Cited in 29 papersCredit Risk: Models and Management

Credit Risk: Models and Management
by David Shimko,
Risk Books, (April 1, 2004), Hardcover, 638 pages.
Amazon: Sales Rank= #895,019; Reviews= (1).

Cited in 29 papersRisk Management: Value at Risk and Beyond

Risk Management: Value at Risk and Beyond
by Michael A. H. Dempster,
Cambridge University Press, (December 15, 2001), Hardcover, 450 pages.
Amazon: Sales Rank= #2,423,364; No customer reviews yet.

Cited in 27 papersModelling Extremal Events for Insurance and Finance

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= #584,410; Reviews= (3).

Cited in 26 papersInterest Rate Models - Theory and Practice: With Smile, Inflation and Credit

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= #272,501; Reviews= (6).

Cited in 26 papersCorporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt

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= #76,518; Reviews= (2).

Cited in 23 papersManaging Credit Risk: The Great Challenge for Global Financial Markets

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= #340,610; Reviews= (1).

Cited in 23 papersNumerical Recipes 3rd Edition: The Art of Scientific Computing

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= #11,687; Reviews= (7).

Cited in 23 papersMathematical Finance - Bachelier Congress 2000

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= #2,859,048; No customer reviews yet.

Cited in 22 papersMathematics of Derivative Securities

Mathematics of Derivative Securities
by Michael A. H. Dempster, Stanley R. Pliska,
Cambridge University Press, (October 13, 1997), Hardcover, 600 pages.
Amazon: Sales Rank= #2,353,144; Reviews= (1).

Cited in 22 papersThe Essentials of Risk Management

The Essentials of Risk Management
by Michel Crouhy, Dan Galai, and Robert Mark,
McGraw-Hill, (December 14, 2005), Hardcover, 416 pages.
Amazon: Sales Rank= #63,122; Reviews= (9).

Cited in 21 papersSéminaire de Probabilités XLI

Séminaire de Probabilités XLI
by Catherine Donati-Martin (Editor), Michel Émery (Editor), Alain Rouault (Editor), Christophe Stricker (Editor),
Springer, (April 25, 2008), Paperback, 472 pages.
Amazon: Sales Rank= #3,174,674; No customer reviews yet.

Cited in 21 papersCopula Methods in Finance

Copula Methods in Finance
by Umberto Cherubini, Elisa Luciano, and Walter Vecchiato,
Wiley, (July 23, 2004), Hardcover, 310 pages.
Amazon: Sales Rank= #823,717; Reviews= (3).

Cited in 19 papersLimit Theorems for Stochastic Processes

Limit Theorems for Stochastic Processes
by Jean Jacod, Albert N. Shiryaev,
Springer, (December 16, 2002), Hardcover, 661 pages.
Amazon: Sales Rank= #791,553; Reviews= (1).

Cited in 19 papersHandbook of Mathematical Functions: with Formulas, Graphs, and Mathematical Tables

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= #68,771; Reviews= (15).

Cited in 18 papersMartingale Methods in Financial Modelling

Martingale Methods in Financial Modelling
by Marek Musiela, Marek Rutkowski,
Springer, (November 1, 2008), Hardcover, 636 pages.
Amazon: Sales Rank= #571,863; Reviews= (8).

 

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Last modified: July 18, 2009