Re:Quantitative Finance Reading List
by oddthink on Thursday April 25, 2013 @04:17PM
(#5609588)
#3. Definitely #3. I mostly model mortgage prepayments and defaults, the housing market, and do econometrics-style forecasts. That's not in any of those books.
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> That's not in any of those books.
For good reason!
Do you have any books that you'd suggest?
Not really. Lakhbir Hayre's Guide to Mortgage-Backed Securities isn't bad. Fabozzi's MBS book is okay, but a bit of a cut-and-paste job. I don't know of anything that deals with the post-2007 environment. Otherwise, just a combination of statistics (GLM, GAM, NLS, etc.) books, time series books (e.g. Durbin & Koopman, and econometrics books (Greene, etc.)
Thanks! I've been recommended Fabozzi's book before but with the caveat that it was quite dry (one person said that he felt like he now understood what ADD felt like).
I'll have to check out Guide to Mortgage-Backed Securities.
I don't think either of those books is very good, so try to borrow before you buy. The best of a bad bunch is still bad.
I never look at Fabozzi's book these days, but I still break out the Guide to MBS for its appendix on mortgage amortization formulas. That's a pretty weak recommendation.