1
$\begingroup$

I am a Master’s student in Statistics who is interested in the field of Financial Modelling. I have very little experience or knowledge of Finance and have mostly worked on introductory projects in finance using CAPM and Event Study Methodology

I am interested in a quick introduction to financial theory which can help me in working with Financial Models. Any suggestions for a good book will be really appreciated.

Improve this question
$\endgroup$
1

2 Answers 2

Reset to default
3
$\begingroup$

Brooks - Introductory Econometrics for Finance is a very comprehensive, accessible overview of all the mainstream models for capturing non-normality, serial correlation, non-stationarity and other properties of financial returns, data, and volatility, bundled with plenty of reproducible examples.

Mills and Markellos - The Econometric Modelling of Financial Time Series is another accessibly technical financial econometrics textbook. A good continuation of the first as it moves into the territory of foreign exchange assets and commodities.

Improve this answer
$\endgroup$
1
  • $\begingroup$ I am going through the first one now and finding it to be very helpful ! Thank you for suggesting these books. $\endgroup$
    – napoleon
    Commented Jan 9, 2021 at 10:16
3
$\begingroup$

Other than the books described by @develarist, there are also some alternative considerations which I have grouped into overall subjects:

Financial econometrics/Financial modelling:

  • Analysis of Financial Time-Series by Ruey S. Tsay. The book gives you a comprehensive introduction to econometric modelling of financial time-series, including stylized facts of financial time-series, linear time-series modelling, volatility modelling, risk-management, high frequency econometrics and much more. Moreover, The author provide R code in the book, to further help your understanding on the implementation of the models. Amazon link.

  • Econometrics of Financial Markets by John Y. Campbell et al. This textbook is also a very good source for financial modelling. It also contains information about Event-Study analysis, CAPM, multifactor pricing models and much more. Personally, I have not used this book in any academical courses, but my supervisor recommended it to me as a good source of information. Amazon link.

  • Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau, Michael Rockinger and Ser-Huang Poon. This is another good alternative for financial modelling of asset returns. From personal experience, I believe that the book has a more in-depth view of volatility modelling for portfolio construction and risk-management than Ruey's book. Amazon link.

If you want to get an understanding of quantitative risk-management for a future project, you can always look at:

  • Quantitative Risk Management: Concepts, Techniques and tools - Revised edition by Alexander J. McNeil, Rüdiger Frey an Paul Embrechts. I believe this is a widely used textbook for quantitative risk-management courses issued by various universities around the world. Amazon link.

If you have knowledge within machine learning, you can also look at the book:

  • Advances in Financial Machine Learning by Marcos Lopez de Prado. Amazon link

Hopefully, this will get you started.

Improve this answer
$\endgroup$
1
  • $\begingroup$ I am still learning ML but will definitely check out the last book once I have had enough practice. Thanks! $\endgroup$
    – napoleon
    Commented Jan 9, 2021 at 10:19

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.