Thursday, April 12, 2007

Some interesting books on risk and probability

My holiday reading in India is two books I have been planning to read for a while now, but never really found the time.

One is "Against the Gods: The Remarkable Story of Risk" by Peter Bernstein. People who have read Peter Bernstein will know what to expect. Very detailed coverage of fairly arcane concepts without getting into too many technicalities. A good jumping board to get into the actual academic papers. (Something I love doing is to pick these books and then search for the bibliography, esp. academic papers. Very interesting exercise and highly encouraged for those amongst us who want to know a little more.). I should post a review of the book in the next few weeks. For those who want to read another quality book from Peter Bernstein, try "Capital Ideas".

Second is a book called "Chances are: Adventures in Probability" by Kaplan and Kaplan. I am midway through this book. Again very informative and entertaining. The underpinnings of insurance is particularly interesting. (Bayes is coming up in the next chapter. I am super excited!)

A third book I really enjoyed was "When Genius Failed" by Roger Lowenstein. Hope to start a discussion about the book very soon, as I see very immediate application with what LTCM went through and my current line of work. (No, I don't work with a hedge fund.)

Even while I am adding stuff about these books, do try and grab them from the local library or better still, own them. They will give make for pleasurable reading for many many years, I promise. For those living in Fairfax County in Virginia, USA, the library system has all of these books.

1 comment:

Rusen said...

Another good one that I just picked up is "Fooled by Randomness" by Nassim Nicholas Taleb. I think you'll find the idea described in it fascinating, Krish.