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A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation
A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation

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Top Ten 20 Most Cited Books within Testing/Validation Papers

Using the same citations database used to compile the overall Most Referenced Books list, I then condition on just the subset of research papers listed within Testing/Validation. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a testing/validation researcher. Updated as of 24-August-2008.

Cited in 5 TEST papersAn Introduction to the Bootstrap

An Introduction to the Bootstrap
by Bradley Efron, R.J. Tibshirani,
Chapman & Hall/CRC, (May 15, 1994), Hardcover, 436 pages.
Amazon: Sales Rank= #51,866; Reviews= (8).

Cited in 4 TEST papersValue at Risk, 3rd Ed.

Value at Risk, 3rd Ed.
by Philippe Jorion,
McGraw-Hill, (October 19, 2006), Hardcover, 600 pages.
Amazon: Sales Rank= #93,857; Reviews= (2).

Cited in 2 TEST 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= #455,974; Reviews= (5).

Cited in 2 TEST papersAn Introduction to Credit Risk Modeling

An Introduction to Credit Risk Modeling
by Christian Bluhm, Ludger Overbeck, and Christoph Wagner,
Chapman & Hall/CRC, (September 27, 2002), Hardcover, 297 pages.
Amazon: Sales Rank= #128,326; Reviews= (8).

Cited in 2 TEST papersCredit Risk: Models and Management

Credit Risk: Models and Management
by David Shimko,
Risk Books, (April 1, 2004), Hardcover, 638 pages.
Amazon: Sales Rank= #1,392,052; Reviews= (1).

Cited in 2 TEST papersAdvances in Neural Information Processing Systems 19: Proceedings of the 2006 Conference

Advances in Neural Information Processing Systems 19: Proceedings of the 2006 Conference
by Bernhard Schölkopf (Editor), John Platt (Editor), and Thomas Hofmann (Editor),
MIT Press, (September 30, 2007), Hardcover, 1690 pages.
Amazon: Sales Rank= #1,818,572; No customer reviews yet.

Cited in 2 TEST papersConstruction and Assessment of Classification Rules

Construction and Assessment of Classification Rules
by David J. Hand,
Wiley, (August 11, 1997), Hardcover, 232 pages.
Amazon: Sales Rank= #1,792,531; No customer reviews yet.

Cited in 2 TEST papersVAR Understanding and Applying Value at Risk

VAR Understanding and Applying Value at Risk
by Sue Grayling (Editor),
Risk Books, (August 1, 1997), Paperback, 397 pages.
Amazon: Sales Rank= #2,185,075; No customer reviews yet.

Cited in 2 TEST papersData Driven Statistical Methods

Data Driven Statistical Methods
by Peter Sprent,
Chapman & Hall/CRC, (December 1, 1997), Hardcover, 406 pages.
Amazon: Sales Rank= #2,750,173; Reviews= (2).

Cited in 2 TEST papersInnovations in Risk Management: Seminal Papers from The Journal of Risk

Innovations in Risk Management: Seminal Papers from The Journal of Risk
by Jorion Philippe (Editor),
Risk Books, (September 1, 2004), Hardcover, 560 pages.
Amazon: Sales Rank= #1,354,093; No customer reviews yet.

Cited in 2 TEST papersSignal Detection Theory and Roc Analysis in Psychology and Diagnostics: Collected Papers

Signal Detection Theory and Roc Analysis in Psychology and Diagnostics: Collected Papers
by John A. Swets,
Lawrence Erlbaum, (May 1, 1996), Hardcover, 328 pages.
Amazon: Sales Rank= #1,284,670; No customer reviews yet.

Cited in 2 TEST papersSignal Detection Theory and Psychophysics

Signal Detection Theory and Psychophysics
by David M. Green,
Peninsula Publishing, (January 1, 1989), Paperback, 521 pages.
Amazon: Sales Rank= #394,347; Reviews= (1).

Cited in 2 TEST papersProbability

Probability
by Alan F. Karr,
Springer, (August 13, 1993), Hardcover, 312 pages.
Amazon: Sales Rank= #868,612; No customer reviews yet.

Cited in 1 TEST papersStochastic Integration and Differential Equations

Stochastic Integration and Differential Equations
by Philip E. Protter,
Springer, (May 24, 2005), Hardcover, 302 pages.
Amazon: Sales Rank= #398,213; No customer reviews yet.

Cited in 1 TEST papersDynamic Asset Pricing Theory

Dynamic Asset Pricing Theory
by Darrell Duffie,
Princeton University Press, (November 1, 2001), Hardcover, 471 pages.
Amazon: Sales Rank= #387,137; Reviews= (6).

Cited in 1 TEST 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= #417,494; Reviews= (3).

Cited in 1 TEST papersAn Introduction to Probability Theory and Its Applications, Volume 2

An Introduction to Probability Theory and Its Applications, Volume 2
by William Feller,
Wiley, (January 1, 2001), Paperback, 702 pages.
Amazon: Sales Rank= #229,185; Reviews= (14).

Cited in 1 TEST papersHandbook of Heavy Tailed Distributions in Finance

Handbook of Heavy Tailed Distributions in Finance
by S.T Rachev,
North Holland, (February 1, 2003), Hardcover, 528 pages.
Amazon: Sales Rank= #1,559,094; No customer reviews yet.

Cited in 1 TEST papersThe Statistical Analysis of Failure Time Data

The Statistical Analysis of Failure Time Data
by John D. Kalbfleisch, Ross L. Prentice,
Wiley-Interscience, (September 9, 2002), Hardcover, 462 pages.
Amazon: Sales Rank= #275,046; Reviews= (1).

Cited in 1 TEST papersPrudential Supervision: What Works and What Doesn't

Prudential Supervision: What Works and What Doesn't
by Frederic S. Mishkin,
University Of Chicago Press, (January 1, 2002), Hardcover, 295 pages.
Amazon: Sales Rank= #482,535; No customer reviews yet.

 

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Last modified: September 05, 2008