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Giuseppe Paleologo Reading List

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626 views13 pages

Giuseppe Paleologo Reading List

Uploaded by

andrm123
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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The Western Gappy Canon

Here are some semi-random book recommendations I have given on X, both in public
and private messages, with a short explanation of why. They are highly
idiosyncratic. I spent time with these books.

Optimization, Approximation and Basic


Analysis

D. Luenberger, Optimization by Vector Space Methods (hardcopy, kindle [much


cheaper])

This was an outgrowth of Luenberger's PhD thesis. It is a very friendly


introduction to basic concepts of functional analysis, and a treatment of
optimization in abstract spaces. A masterful example of great exposition, and
extremely useful.

-1-
S. Boyd and L. Vandenberghe, Convex Optimization (hardcopy/kindle, free copy)

Friendly, free, complete. It focuses on the theory of optimization, in a discursive


but rigorous way. Can be read back to back for self-instruction. Very good
reference.

B. Bollobas, Linear Analysis, 2nd ed. (hardcopy)


Undergraduate course material on functional analysis covering all the bases for
the working analyst. The easiest treatment I know of, written by another master
expositor.

-2-
E. W. Cheney, W. Light, A Course In Approximation Theory (Hardcopy)
You need to know approximation theory, especially in the era of overcomplete
models. This is a book about the theory of AT. It will open your mind to new
concepts.

-3-
Linear Algebra

L. N. Trefethen, Bau, Numerical Linear Algebra (paperback)


The best way to learn linear algebra is to learn numerical linear algebra. Great
introduction to matrix decompositions and computation of projections.

G. Golub, C. Van Loan, Matrix Computations, 4th ed. (hard/paper/soft)


The bible of numerical linear algebra. So clear and useful. Mostly useful as a
reference

-4-
P. R. Halmos, Finite Dimensional Vector Spaces (hardcopy)
How to get intuition about linear algebra. Undergraduate-level but not dumb

R. Bhatia, Matrix Analysis (hard/paper)


This is in equal parts linear algebra and functional analysis in finite spaces. It
is advanced and synthetic. If you know the contents of this book, you know linear
algebra.

-5-
Probability

R. Durrett, Probability, 5th ed. (hard/softcover)


I learned graduate probability on this book. Not easy. It has thoroughly
corrected typos. Self-contained. Interesting examples.

D. Williams, Probability with Martingales (softcover/ebook)


Breezy reading, the shortest book to quickly learn measure-theoretic
probability. It's funny, it's enlightening. It changed my life because it made me
fall in love with probability.

-6-
R. Vershynin, High-Dimensional Probability (hardcover/ebook, free softcopy)
Covers concepts that are relevant to machine learning, PAC bounds, concentration
results, geometry of convex bodies/norms in high dimensions. Very well-written
and friendly.

J. Nair, A. Wierman, B. Zwart, The Fundamentals of Heavy (hardcover/kindle)


This is the best short introduction to heavy-tailed phenomena. Relevant to
finance people.

-7-
T. Cover, J. Thomas, Elements of Information Theory, 2nd ed.
(hardcover/paperback/kindle)
A classic of exposition. Not really probability, I know. I use it mostly as a
reference.

-8-
Machine Learning

K. P. Murphy, Probabilistic Machine Learning: an Introduction (Kindle/hardcover)

K. P. Murphy, Probabilistic Machine Learning: Advanced Topics (Kindle/hardcover)


These two books are some of the best theoretical (but with an eye to applications)
intro to ML.

-9-
M. Mohri, A. Rostamizadeh, A. Talwalkar, Foundations of Machine Learning, 2nd ed.
(Kindle/hardcover)
I love this book because it is short, selective, elegant. It makes you understand
the concepts behind ML.

T. Hastie, R. Tibshirani, J. Friedman, The Elements of Statistical Learning, 2nd


ed (hard/softcover/kindle, free copy)
Dated, with a poor treatment of neural networks, and questionable ideas about
model selection. But unsupervised learning, PCA, ensemble methods are still
masterfully explained.

-10-
Finance

J. Cochrane, Asset Pricing (hardcover/kindle)


It has a very unique style: Cochrane uses "I" and "you" a lot. He focuses on
concepts, and explains factor models, empirical pricing and Generalized Method
of Methods like no one else.

L. Harris, Trading and Exchanges (hardcover/paperback/kindle)


Overlong but essential treatment of the institutional details of market
structure. A bit dated.

-11-
J.P. Bouchaud, M. Potters, Theory of Financial Risk and Derivative Pricing
(hard/soft/kindle)
Another old book, written when Bouchaud was relatively new to the game. It's full
of ideas and has aged well

M. Isichenko, Quantitative Portfolio Management (hard/kindle)


This is the best available book on quantitative investing written by an actual
practitioner. It's scattershot and in parts generic, but still worth reading.

-12-
J. Danielsson, The Illusion of Control (various formats)
The best (most intelligent, well written) book on broad, macro-level risk
management available. Very accessible, just a bit too long.

-13-

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