Market Models by Carol Alexander is a comprehensive review of modern tools & techniques in financial data analysis.  It truly bridges a gap in the literature between theory and practice (pardon the cliché).  There is no other book in the crowded financial engineering sector quite like it, especially because it is so strong pedagogically.

Market Models by Carol Alexander is a comprehensive review of modern tools & techniques in financial data analysis.  It truly bridges a gap in the literature between theory and practice (pardon the cliché).  There is no other book in the crowded financial engineering sector quite like it, especially because it is so strong pedagogically. Part I deals with the basic tools of volatility and correlation measurement and forecasting. The material is thoroughly covered elsewhere many places, including the author's chapter in "Risk Management and Analysis: New Markets & Products (Wiley Series in Financial Engineering)" (Alexander also edited that book).  But the writing here is fresh and should be especially accessible to non-advanced readers.