More than a year after the event, with considerable hype, we have the story of Long-Term Capital Management put in the context of the history of financial engineering, in a new book published by John Wiley, Inventing money: the story of LTCM and the legends behind it, by Nicholas Dunbar. The best passage in the book is the introduction, which compares LTCM to Swift's flying island of Laputa: a country disappeared off the face of the earth - but it wasn't a real country, just a vast human construction, in its way a modern wonder of the world.
This nice conceit sets up the book, and for the serious student of financial engineering there's plenty about Fisher Black, Myron Scholes, Bob Merton, and how their science caused a devastating explosion.
Nick Dunbar concentrates on what Merton called the "productive interaction of financial theory and financial practice". These are academics involved in a cerebral war that nearly jeopardized the world financial system. There are nice explanations of financial models - the best being the image of a bluebottle tied to a piece of string.