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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.

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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.

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

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

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