Dash's "Quantitative Finance and Risk Management"

First of all, with regard to Quantitative Finance and Risk Management: A Physicist's Approach, one can inspect portions of the book here. And a forum discussion of the book can be found here at Wilmott.

As I've said elsewhere, the book is somewhere between a high-level survey and a monograph. It is not encyclopedic: it cover certain topics only, and those too in a manner not suited too those who haven't already had prior exposure to them. This is a book written by a quant for other pros, and for some topics those pros should ideally have a Ph.D. in the hard sciences (Dash discusses ideas such as path integrals and Green's functions). With these qualifications, the book can be recommended, and recommended strongly: it provides a terse and sophisticated coverage of the topics it deals with and that a quant will need in his day-to-day work. Let's take a quick glance at the contents.

The 800 pages are divided into six parts: Introduction, Risk Lab ("nuts and bolts of risk management"), Exotics, Quantitative Risk Management, Path Integrals and Green's Functions, and the Macro-Micro Model. Each part contains several chapters; altogether there are fifty-two chapters. The chapter titles can be seen in the link provided at the top of this post. Each chapter is given a "tech. index" varying from 0 to 10 (based on how demanding it is). According to the author, an 8,9, or 10 requires Ph.D+ sophistication; and anything less than or equal to 5 can be taught to MBA students. I think this is overly optimistic. Even if it were used for such a purpose, such students would need supplementary reading material to fill in the holes the author has no space or patience in filling. And to reiterate an earlier point, I'm not convinced this book is the best place to learn such material. There are better and more systematic books to learn interest-rate swaps, interest-rate swaptions, and VaR from. Where the book shines is its discussion of advanced material, for example, inter alia, that pertaining to barrier options, average-rate options, equity volatility skew, and correlation matrix formalism.

In summary, if one has had top-notch schooling and is working as a quant in a hub such as London or New York, the book will be useful, maybe even extremely useful. It might also be used for Ph.D. and practitioner seminars at leading quant schools. Everyone else should probably leave the book alone.