Attilio Meucci's book Risk and Asset Allocation is a true gem. Clear and practical without sacrificing quality or detail. Meucci really sets the bar for scientific writing.
Note also the extensive amount of extra material at his homepage. Extra appendices, presentation slides covering the whole book, Matlab code.
Last but not least, Meucci donates heavily to charities from his book project and teachings. Just go buy the book. Now.
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