Feb

20

 In 2003 I extensively analyzed the movement of markets during weeks with scheduled Fed events. I have yet to find robust enhancements to that work, but I continue my reading and research, although my day job occasionally intervenes. I am finishing a book on CDO Investments by Fabozzie et. al., and Robust Statistics, by Maronna, Martin, and Yohai, published by Wiley, just arrived from Amazon, along with Neoclassical Finance, by Stephen Ross, the latest installment of The Princeton University Series of Lectures. I previously enjoyed Bill Sharp's book in this series. It neatly explained utility functions, and deals with issues the author had with his world famous models. I also recommend The Volatility Surface, by Jim Gatheral.


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