Most helpful customer reviews
8 of 14 people found the following review helpful.
By A Customer
I rate this book with 5 stars for sheer sentimental value: Chi-fu Huang is/was one of the principals of Long Term Capital Management and one of its most senior traders (cf Nicholas Dunbar's book "Inventing Money"). Bob Litzenberger is head of Risk Management at Goldman Sachs, and was head of the team that was put in charge of liquidating LTCM's highly illiquid positions, after it collapsed, which must have been a very delicate task that had to be carried out in an orderly way -- something similar to clearing up a mine field (cf Dunbar's book again, and Risk magazine, page 112, August 1999). The way their careers have diverged since they co-authored their book is something to think about.
9 of 18 people found the following review helpful.
By Sami Järvinen
I totally agree with the previous reviewer, the book is not organized well, notations are horrible and contents are of second-level importance. We're in 2000 and it is still in use in our school, 60's technology static models. Naive portfolio mathematics and stupid martingale treatment. Today, the emphasis should be on dynamic models and martingales. This book's contents are more of historic value than financial economics of today. Duffie is good, but it is more advanced than this so it is not directly comparable. Waiting for a good, modern, intermediate level treatment of financial economics...
7 of 21 people found the following review helpful.
By A Customer
This book is used is several introductory courses on finance at MBA/Masters level, but it is a really mess: we don't know where we are, what we are doing and why. It confuses us. Sometimes the authors use summations, sometimes integrals on the same topic. The reader should be very cautious not to fall in its traps. In another words, the book has a bad notation and organization.
The last chapter, however, covers the econometric questions mainly on CAPM estimation problems. This is a very useful chapter.See all 3 customer reviews...