Last quartile on the subject
This book used to be a must the first time it has been published but after ten years it is getting old and the topic is now better covered by some others authors. The arch/garch section is really weak and this book by its sole is not enough to implement advanced models.The authors also forgot to include practical implementation of the models with Splus or Matlab or whatever language, which is now almost a standard in many financial engineering related books.