I read a couple of Tavakoli's books a few years ago

http://www.noelwatson.com/blog/PermaLink,guid,250a935d-ffc0-453d-bc2e-dd9218a4e767.aspx

and recently read the updated version of "Structured Finance and Collateralized Debt Obligations: New Developments in Cash and Synthetic Securitization"

http://www.amazon.co.uk/Structured-Finance-Collateralized-Debt-Obligations/dp/0470288949/ref=sr_1_1?ie=UTF8&s=books&qid=1226562802&sr=8-1

which contains a whole lot of new information since the last version was published five years ago, and I highly recommend it, even for people that had the prior version.

Very useful for understanding things like

http://www.noelwatson.com/blog/PermaLink,guid,19e80fd2-0f61-4650-8afe-142458df673b.aspx

Tavakoli arguing against the bailout

http://uk.youtube.com/watch?v=nkT6FR6IJZM

which has now been reversed

http://news.yahoo.com/s/afp/20081113/bs_afp/financeeconomyworld

I've ordered these from Amazon

• Credit Derivatives: Life after Copulas

http://www.amazon.co.uk/exec/obidos/ASIN/9812709495

• Credit Derivative Strategies: New Thinking on Managing Risk and Return

http://www.amazon.co.uk/exec/obidos/ASIN/1576601870

In the meantime I am rereading Tavokalis' Collateralized Debt Obligations and Structured Finance

http://www.amazon.co.uk/Collateralized-Debt-Obligations-Structured-Finance/dp/0471462209/ref=sr_1_2?ie=UTF8&s=books&qid=1204044324&sr=1-2

 - the recent subprime events make it worth a revisit!

http://www.amazon.co.uk/Frequently-Asked-Questions-Quantitative-Finance/dp/0470058269/sr=1-4/qid=1164651158/ref=sr_1_4/202-8567845-9211045?ie=UTF8&s=books

Similar to the credit derivative link

http://www.noelwatson.com/blog/PermaLink,guid,87315086-469d-4d8e-894c-9d0793c93fc3.aspx

I thought I would add a list off Credit derivative books that I own - this will be a work in progress (the list will be in chronological order of when I purchased them from Amazon).

For the books I use frequently I have added or will add a review, and I will link to them from here.

• The Credit Default Swap Basis: Moorad Choudry

http://www.amazon.co.uk/Credit-Default-Swap-Basis/dp/1576602362/sr=8-1/qid=1160645606/ref=sr_1_1/026-8787779-9446068?ie=UTF8&s=books

• Applied Derivatives: Markets, Valuation, Risk Management: Robert E Whaley

http://www.amazon.co.uk/Applied-Derivatives-Markets-Valuation-Management/dp/0471786322/sr=8-4/qid=1160635158/ref=sr_1_4/202-5458939-5705418?ie=UTF8&s=books

• Structured Credit Products: Credit Derivatives and Synthetic Securitisation: Moorad Choudhry

http://www.amazon.co.uk/Structured-Credit-Products-Derivatives-Securitisation/dp/0470821191/sr=1-2/qid=1160635434/ref=sr_1_2/202-5458939-5705418?ie=UTF8&s=books

Referenced: http://www.noelwatson.com/blog/PermaLink,guid,254c5d7e-fb73-4d19-9fe3-815c14d2955b.aspx

• Credit Derivatives: CDOs and Structured Credit Products: Satyajit Das

http://www.amazon.co.uk/Credit-Derivatives-CDOs-Structured-Products/dp/0470821590/ref=pd_bxgy_b_img_a/026-8787779-9446068?ie=UTF8

Referenced: http://www.noelwatson.com/blog/PermaLink,guid,254c5d7e-fb73-4d19-9fe3-815c14d2955b.aspx

• The Credit Market Handbook: Advanced Modeling Issues: H. Gifford Fong

http://www.amazon.co.uk/exec/obidos/ASIN/0471778621/026-8787779-9446068?%5Fencoding=UTF8

• Active Credit Portfolio Management: A Practical Guide to Credit Risk Management Strategies: Jochen Felsenheimer

http://www.amazon.co.uk/exec/obidos/ASIN/3527501983/026-8787779-9446068?%5Fencoding=UTF8

Referenced: http://www.noelwatson.com/blog/PermaLink,guid,c4fa6029-44b9-4ba6-bb69-b6e0236f1e5a.aspx

Referenced: http://www.noelwatson.com/blog/PermaLink,guid,20de1cad-79af-41b0-a513-48298b5d1d77.aspx

Review: http://www.noelwatson.com/blog/PermaLink,guid,f4c74c59-c315-4f07-a5c4-67a5928d10b7.aspx

• Credit Derivatives and Synthetic Structures: A Guide to Instruments and Applications: Janet M. Tavakoli

http://www.amazon.co.uk/exec/obidos/ASIN/047141266X/026-8787779-9446068?%5Fencoding=UTF8

• Collateralized Debt Obligations and Structured Finance: New Developments in Cash and Synthetic Securitization: Janet M. Tavakoli

http://www.amazon.co.uk/exec/obidos/ASIN/0471462209/026-8787779-9446068?%5Fencoding=UTF8

• An Introduction to Credit Risk Modeling

http://www.amazon.co.uk/exec/obidos/ASIN/158488326X/026-8787779-9446068?%5Fencoding=UTF8

• Credit Derivatives: Risk Management, Trading and Investing

http://www.amazon.co.uk/exec/obidos/ASIN/047002416X/026-8787779-9446068?%5Fencoding=UTF8

Referenced: http://www.noelwatson.com/blog/PermaLink,guid,254c5d7e-fb73-4d19-9fe3-815c14d2955b.aspx

Referenced: http://www.noelwatson.com/blog/PermaLink,guid,291085b3-206f-4248-9688-20dafb3b6ef8.aspx

Referenced: http://www.noelwatson.com/blog/PermaLink,guid,5c54efd9-9b42-480a-bb1a-01386a2c9d48.aspx

• Credit Derivatives: Application, Pricing, and Risk Management: Gunter Meissner

http://www.amazon.co.uk/exec/obidos/ASIN/1405126760/026-8787779-9446068?%5Fencoding=UTF8

Referenced: http://www.noelwatson.com/blog/PermaLink,guid,a5cd0517-0d1c-41e6-9bfc-f379327afb93.aspx

http://www.amazon.co.uk/gp/product/1861977905/026-8787779-9446068?v=glance&n=266239&s=gateway&v=glance

An interesting book, and worth reading after Taleb to compare the two

http://www.noelwatson.com/blog/PermaLink,guid,f783a888-3239-433a-a850-db28dcc1994e.aspx

Mandelbrot differs from Taleb in that he thinks share prices are not random. Where they both agree is that share returns are not normally distributed.

As one of the reviewers on Amazon points out, a lot of talking is done about multifractals and how they can be used to generate accurate share price histories, but using fractals to assist with modelling is not really covered.

Taleb has a blog on Wilmott

http://www.wilmott.com/blogs/kurtosis/index.cfm

and delivers a lot of lectures through 7city/Wilmott.

To summarise, Taleb proposes that success can be attributed to luck rather than skill. In theory, given enough investors, it is possible to produce another George Soros or Warren Buffett. When people fail, they put it down to bad luck, when people do well, they put it down to skill.

Futhermore, because the human mind tends to focus on the short term, people underestimate the risk of the "fat tail" event (one of LTCM's founders used this as an excuse for why the fund had failed). Taleb has a company, Empirica LLC, that takes advantage of this by buying options - on a typical day he will lose a small amount of money, but when a big market movement occurs (people selling the options underestimate this risk), he will make more than the amount he has lost, in theory.

http://www.amazon.co.uk/gp/product/0812975219/026-8787779-9446068?v=glance&n=266239

http://www.amazon.co.uk/exec/obidos/ASIN/1869710231/qid=1150960867/sr=8-2/ref=sr_8_xs_ap_i2_xgl/026-8787779-9446068

I ordered this book after reading about Marshall's altercation with Bobby Skinstad a few years ago. I've read several rugby autobiographies over the last few years including

• Willie John McBride

http://www.amazon.co.uk/exec/obidos/ASIN/0749950374/sr=1-2/qid=1150961209/ref=sr_1_2/026-8787779-9446068?%5Fencoding=UTF8&s=books&v=glance

• Mervyn Davies

http://www.amazon.co.uk/exec/obidos/ASIN/1845960319/sr=1-1/qid=1150961260/ref=sr_1_1/026-8787779-9446068?%5Fencoding=UTF8&s=books&v=glance

• Barry John

http://www.amazon.co.uk/exec/obidos/ASIN/1840183411/sr=1-3/qid=1150961465/ref=sr_1_3/026-8787779-9446068?%5Fencoding=UTF8&s=books&v=glance

Bill Beaumont

• http://www.amazon.co.uk/exec/obidos/ASIN/0007156693/sr=1-3/qid=1150961296/ref=sr_1_3/026-8787779-9446068?%5Fencoding=UTF8&s=books&v=glance

• Martin Johnson

http://www.amazon.co.uk/exec/obidos/ASIN/0755311876/sr=1-1/qid=1150961356/ref=pd_bowtega_1/026-8787779-9446068?%5Fencoding=UTF8&s=books&v=glance

• Jason Leonard

http://www.amazon.co.uk/exec/obidos/ASIN/000714444X/sr=1-3/qid=1150961393/ref=sr_1_3/026-8787779-9446068?%5Fencoding=UTF8&s=books&v=glance

And have found most of the modern ones a lot tamer than the older generation. However, this one is a lot more revealing and Marshall is honest about the players and people he has little respect for.

http://www.amazon.co.uk/exec/obidos/ASIN/0273704745/qid=1150275471/sr=8-1/ref=sr_8_xs_ap_i1_xgl/026-8787779-9446068

This book has been discussed on Wilmott, with a few people moaning that it puts their profession in a bad light despite having not read the book.

http://www.wilmott.com/messageview.cfm?catid=11&threadid=38376

Das claims to have been in the industry for 25 years and has published a number of books

http://www.amazon.co.uk/gp/search/026-8787779-9446068?search-alias=stripbooks&field-author=Das,%20Satyajit

After reading Liar's Poker a while ago

http://www.amazon.co.uk/exec/obidos/ASIN/0340839961/sr=1-2/qid=1150275862/ref=sr_1_2/026-8787779-9446068?%5Fencoding=UTF8&s=books&v=glance

I hoped we'd get another similar book to carry on where that one left off. I personally feel that Traders Guns and money has almost pulled it off. The material in this book is very up to date, even discussing the GM downgrade in May 2005.

http://www.financialpolicy.org/fpfspb26.htm

There are a few good quotes in the book, including

"Selling options is like eating like chickens and sh*tting like elephants"

I felt that the book was maybe slightly too long and it drifted a bit after in the second half, but certainly worth reading

http://www.amazon.co.uk/exec/obidos/ASIN/0471770574/qid=1148567945/sr=8-1/ref=pd_ka_1/203-6138512-1161516

Aaron Brown posts on Wilmott regularly

http://www.wilmott.com/tombstone.cfm?ProfileID=18

and the book was discussed on here

http://www.wilmott.com/messageview.cfm?catid=11&threadid=34004

This hasn't been reviewed on Amazon.co.uk yet, but has several reviews on the U.S. site

http://www.amazon.com/gp/product/0471770574/qid=1148567945/sr=8-1/ref=pd_ka_1/103-6532838-8605402?n=283155

Definitely a book worth reading - but it would be good to have a bit more written about his trading experiences rather than poker

http://www.amazon.co.uk/exec/obidos/ASIN/3527501983/026-0058056-7028455

I've read a number of Credit Derivative books and have learnt the following when looking at what to buy

• Get a recent book - It used to be the case that I would wait until a book had some reviews on Amazon before shelling out. With the rapidly evolving CDS market, this is impossible.
• You can't go wrong with Wiley.

This book was published in December 2005 and since I received it in January 2006 has been a constant reference. It has been the only book I've read that gives strategies currently used by traders, and replaces Chaplin as my previous favourite

http://www.amazon.co.uk/exec/obidos/ASIN/047002416X/qid=1142612078/sr=1-1/ref=sr_1_2_1/026-0058056-7028455

This book detailed Black's advanced thinking and how his ideas were rejected by the economic community at the time. Of particular interest to me was his discovery that a typical active fund doesn't beat a passive tracker, and that value (low beta) shares outperform growth shares over the long run. This was back in the 70's, yet active funds are still very popular today.

http://www.amazon.co.uk/exec/obidos/ASIN/0471457329/qid=1139387144/sr=8-1/ref=sr_8_xs_ap_i1_xgl/026-0058056-7028455

I read the SQL 7 and 2000 version several years ago (the 2000 version was very similar to 7)

http://www.microsoft.com/MSPress/books/4297.asp

and was interested to see that the new version will be broken down into three sections

http://www.microsoft.com/MSPress/books/8564.asp

http://www.microsoft.com/MSPress/books/9615.asp

http://www.microsoft.com/MSPress/books/7436.asp

The first two are written by Itzik Ben-Gan - more details can be found here

http://www.sql.co.il/books/insidetsql2005/

All books will be available in the first half of 2006

I've just finished Emanuel Derman's autobiography

http://www.amazon.co.uk/exec/obidos/ASIN/0471394203/026-8223383-2541264

I bought this book as I was interested to read about someone that was actually working with financial theory in the 80's and 90's on Wall Street. After discussion of his life as a physicist, the remaining half of the book talks about his time on Wall Street. Of particular interest is his discussion on the Black-Scholes model, and the problem with constant volatility and "the smile"

http://en.wikipedia.org/wiki/Black-Scholes

http://en.wikipedia.org/wiki/Volatility_smile

A recommended read - his site is good too.

http://www.ederman.com/new/index.html

Other non technical finance books that I recommend are

Liar's poker - discusses life in Salamon in the 80's - home of BSD's

http://www.amazon.co.uk/exec/obidos/ASIN/0340767006/qid=1138106679/sr=1-1/ref=sr_1_2_1/026-8223383-2541264

When Genius Failed - discusses the downfall of LTCM

http://www.amazon.co.uk/exec/obidos/ASIN/1841155047/026-8223383-2541264

Both books feature John Meriwether.

There aren't that many books discussing both .NET and Finance

http://www.apress.com/book/bookDisplay.html?bID=10033

http://www.amazon.co.uk/exec/obidos/ASIN/1590595645/qid%3D1137504778/026-8223383-2541264

Published March 2006

The original was one of the best books for .NET

http://www.amazon.co.uk/exec/obidos/ASIN/0735614229/qid=1137503273/sr=8-1/ref=sr_8_xs_ap_i1_xgl/026-8223383-2541264

the new version is out in the next couple of months

http://www.microsoft.com/MSPress/books/6522.asp

http://www.amazon.co.uk/exec/obidos/ASIN/0735621632/qid=1137503273/sr=8-2/ref=sr_8_xs_ap_i2_xgl/026-8223383-2541264

Stumbled across the following link

http://www.roadtowinfx.com/default.aspx

Also recommends a WinFX book

http://www.amazon.co.uk/exec/obidos/tg/detail/-/0596101139/qid=1128771463/sr=8-14/ref=sr_8_xs_ap_i13_xgl14/026-1408501-5707662?v=glance&s=books&n=507846

has been given good reviews on the UK and US site so have placed an order.

I have spent the last couple of weeks reading a couple of books on Credit derivatives. This market is moving very quickly, so I bought the most recent that I could find that had reviews either on UK or US Amazon.

I was impressed with both although I have forgotten a lot of Maths since my degree days.

http://www.amazon.co.uk/exec/obidos/ASIN/1405126760/qid=1127486152/sr=1-2/ref=sr_1_2_2/202-0617262-3706237

http://www.amazon.co.uk/exec/obidos/ASIN/047002416X/qid=1127486191/sr=1-9/ref=sr_1_2_9/202-0617262-3706237

Listed below are some of the work related books I have read, newest to oldest, over the last couple of years.

.NET

• Effective C#

http://www.amazon.co.uk/exec/obidos/ASIN/0321245660/qid=1122547865/sr=8-1/ref=sr_8_xs_ap_i1_xgl/202-1389977-0403848

I bought this one from after a recommendation from a colleague. Managed to read within a day and learnt a few things, such as CLSCompliant attribute

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpref/html/frlrfSystemCLSCompliantAttributeClassTopic.asp

• Customising the Microsoft .NET framework

http://www.amazon.co.uk/exec/obidos/ASIN/0735619883/qid=1122548063/sr=1-1/ref=sr_1_18_1/202-1389977-0403848

Not managed to read yet as other books have seemed more tempting

• Patterns of Enterprise Application Architecture

http://www.amazon.co.uk/exec/obidos/ASIN/0321127420/qid=1122548175/sr=1-1/ref=sr_1_3_1/202-1389977-0403848

A good read - helps you focus on reuse of code through identifying common problems and implmementing patterns.

• .NET Remoting

http://www.amazon.co.uk/exec/obidos/ASIN/0735617783/qid=1122549105/sr=2-3/ref=sr_2_3_3/202-1389977-0403848

Not that impressed. Maybe the book came out too early, but doesn't seem to follow best practice and isn't a patch on Rammer.

• Advanced .NET Remoting

http://www.amazon.co.uk/exec/obidos/ASIN/1590594177/qid=1122549105/sr=2-1/ref=sr_2_3_1/202-1389977-0403848

The remoting bible. Contains the vast majority of information you need on remoting. I have used code (encryption) from here in a production system. Supported by an excellent website.

http://www.thinktecture.com/

• .NET Components

http://www.amazon.co.uk/exec/obidos/ASIN/0596003471/qid=1122549335/sr=1-8/ref=sr_1_3_8/202-1389977-0403848

Read in conjunction with another O'Reilly C# book, Programming C#. Has been updated with 2.0 info

http://www.amazon.co.uk/exec/obidos/ASIN/0596007620/qid=1122549335/sr=2-1/ref=sr_2_3_1/202-1389977-0403848

• Programming C#

http://www.amazon.co.uk/exec/obidos/ASIN/0596006993/qid=1122549565/sr=2-3/ref=sr_2_3_3/202-1389977-0403848

A good introduction to C# and if you are a complete beginner, it may be worth reading the introduction book first

http://www.amazon.co.uk/exec/obidos/ASIN/0596003765/ref=pd_sim_b_dp_3/202-1389977-0403848

• Applied Microsoft .NET Framework Programming

http://www.amazon.co.uk/exec/obidos/ASIN/0735614229/qid=1122549739/sr=2-1/ref=sr_2_3_1/202-1389977-0403848

The .NET bible. This should be on every .NET developers bookshelf.

Finance

• Fixed Income Mathematics

http://www.amazon.co.uk/exec/obidos/ASIN/0786311215/qid=1122550071/sr=1-1/ref=sr_1_2_1/202-1389977-0403848

This book helps understand bond pricing calculations because it contains lots of examples with numbers. It is then easy to use the examples in code to arrive at the same result

• Paul Wilmott Introduces Quantitive Finance

http://www.amazon.co.uk/exec/obidos/ASIN/0471498629/qid=1122549959/sr=8-2/ref=sr_8_xs_ap_i2_xgl/202-1389977-0403848

Really easy to read - good introduction. Recommends the Fabozzi book in Chapter 14.