Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

Book Description

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.

Customer Reviews:

Mathematics for Finance: A useful tool for the unskillled investor.......2007-03-19

I enjoyed reading the book and solving exercises in it. I have a Ph.D.in chemistry and my wife and I did our his and her's MBA in the 1990s. I wanted to learn more concepts in finance and needed an easy entry, something I could enjoy, and without spending much money. The book by Capinski came recommended from a friend who teaches Economics at Cal State. I can speak for myself: I feel reasonably informed and I feel the book gave me concepts I can use to handle my own portfolio.

In the future, this text should be offered with an interactive CD that contains Xls, matrix, calculus, and graphing capabilities so one (I) can visualize the outcomes of proposed solutions.

Incoherent.......2007-01-18

Anyone can scribble a bunch of equations on paper and call it a book. Without sufficient context, they are useless.

Insufficient and disappointing. Not even a good introductury text........2006-05-15

As a graduate student in Financial Engineering I have found this book useless.
The title of the book is "Mathematics for Finance", but can you find in it even an elementary introduction to the stochastic processes? No. Ditto for the Ito's lemma and many other topics. The derivation of the Black Scholes formula is just sketched, and the insight that you can get from it is very limited.

Nevertheless, I wouldn't mind these limitations if this book provided a clear introduction to more advanced topics: unfortunately this book is not good even in that. In comparison to other textbooks the theorems and definitions are convoluted and do not go straight to the point. For example, in Shreve's "Stochastic Calculus for Finance" or Baxter & Rennie "Financial Calculus" the Fundamental Theorem of Asset Pricing is stated in this way: "In a market with risk neutral probability there is no arbitrage". Can you find such a simple and explanatory definition in Capinski's book? Not at all. The theorem at page 83 (you can see it yourself by searching inside the book) basically says the same thing using 8 lines of text and little financial intuition.
The only good thing that I can say about this book is that all exercises are resolved.
Overall, "Mathematics for Finance" has been a big disappointment: it doesn't have either the mathematical depth of Shreve's books or the conciseness in explaining financial concepts of Baxter & Rennie.
Whatever is the level of education that you are pursuing, graduate or undergraduate, I don't see any point in using it.

Great Book for Undergrad Quants.......2005-08-29

Mathematics for Finance (An Introduction to Financial Engineering) is a book intended for undergrad students "IN MATHEMATICS" or other discipline with a relative high mathematical content.

The book assumes some basic notion of Calculus and Probability Theory and it is focused more on the mathematics than in its theory and application of Finance. If you are looking to dwell into the mathematics (Proof of Equations) this is a great book, but if you are looking for a book that is rich in theory and in application then you should consider "Option, Future and Other Derivatives" or "Quantitative Methods for Finance" as an alternative. Both books are "a most" for any finance student and are of great help. Now if you want an introduction into the mathematics behind Finance then this book is a perfect purchase.

Important to state that all the problems presented in this book are solved meaning that it is great for self teaching. Marek Capinsi and Thomas Zastawniak have done a great job on this book.

I gave it four stars, because it has room for impovement.

Joining the chorus.......2005-08-03

I can only echo the other reviewers. As far as I can tell this book has no serious competition. This is an excellent introduction to mathematical finance for those with a solid undergraduate level understanding of higher math but without graduate level exposure. I agree that it is ideal for self study as that is exactly what I am using it for. The price is right especially in contrast with its overpriced brethren. Five stars!

Market Models: A Guide to Financial Data Analysis

Average customer rating:

Very shallow
Comprehensive, lack in depth and poor organization
Worth the money
Nice book
Nice book

Market Models: A Guide to Financial Data Analysis
Carol Alexander
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk

ASIN: 0471899755

Book Description

Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage.

In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.

Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms.

Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.

Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.

Customer Reviews:

Very shallow.......2005-03-11

You can google in 10 minutes more relevant information than this book is able to provide. It's OK if you need to pick up some terminology and get a rough idea of what it all means before an interview. Totally useless if you need it for work.

Comprehensive, lack in depth and poor organization.......2005-01-23

For a starter, this book does offer a broad spectrum of subjects, volatility/variance measurement, PCAs, Factor Models, Time Series analysis, high frequency data modeling, etc, at the expense of rigor and depth.

Desipite the academic pedigree the author enjoys and the educational career she had, the book is rather poorly organized from a pedagogical point of view. She seems to have a tendency to refer to expressions, notions, ideas, data which appear much later than where the reference takes place. This makes first-timers cringe as they go through the chapters as they are laid out. It reads much like some published papers got dumbed down, and bundled together.

If you are looking for comprehensive introduction, without the gory details of mathematical mumblejumble, this book might be of help. But it may not be used as a reference book, for its organization and for its lack of rigor.

Worth the money.......2003-08-28

If you are looking for detailed rigorous mathematical development then look elsewhere, that is not the reason to purchase this book. It is targeted towards application and there it excels. I have not seen any other book on this topic that so effectively presents a level-headed applied approach that keeps the basic assumptions of the models firmly in sight.
What tool fits when is nicely discussed.

Nice book.......2003-06-21

I will consider this book as a good introduction to different ways to analyze market data (covering mainly equity but do touch on fixed income as well as currency). I would emphasize that the book model the market more from an empirical point of view. The author gives a good description of the GARCH model as well as PCA analysis. Being a fixed income derivatives trading, I find both sections particularly useful for real world trading. The risk modeling section should expand into topics other than VAR such as coherent risk measures which are more useful. The co-integration section is a must for any traders who want to trade mean-reversion or stats arbitrage.

Nice book.......2003-06-21

Overall, I think that the book covers all basic to intermediate mathematics, econometrics and finance necessary for anyone who wants to model market data. The book explains how to use such model for trading, risk management as well as market data visualization / understanding.

The Ernst & Young Guide to Performance Measurement For Financial Institutions: Methods for Managing Business Results Revised Edition
Average customer rating:

Excellent, both on banking and project management aspects

The Ernst & Young Guide to Performance Measurement For Financial Institutions: Methods for Managing Business Results Revised Edition
Ernst & Young LLP
Manufacturer: Probus Publishing
ProductGroup: Book
Binding: Hardcover

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Modern Banking

Managing Bank Capital: Capital Allocation and Performance Measurement, 2nd Edition

The Art of Better Retail Banking: Supportable Predictions on the Future of Retail Banking

The Bank Analyst's Handbook: Money, Risk and Conjuring Tricks

ASIN: 1557387370

Book Description

The dramatic changes in the financial services industry have had a great effect on profitability, forcing financial institutions to change their management focus. Increased competitive pressures, tightening interest rates spreads and declining deposits balances have made goals even more difficult to achieve. The Financial Services Industries Consulting Practices at Ernst & Young LLP have developed this perfect guide to help readers reach those increasingly difficult goals. This reliable source of guidance has insight on asset/liability management, branch profitability and complete bank-wide performance program. It looks at all aspects of profitability, including hands-on approaches to: profitability philosophies and structures; balance sheet, revenue and expense components: transfer pricing of funds; planning and budgeting; performance measurements.

Customer Reviews:

Excellent, both on banking and project management aspects.......1998-12-03

This is the only book that covers all of the aspects of performance management in banking : 1. the analysis of performance measurement is very good even though, the coverage of financial data is overweight with respect to the rest of the book 2. the project approach is excellent and the various "pitfalls" described are so true that the people that wrote it necessarily had a good project experience, only problem is that the system architectures described did not evolve with the new edition (the word "data warehouse" is evoked once or twice) 3. As usual with this type of books, the "using the information" chapters are a bit a dry, even thought some interesting ideas are described regarding "customer information" In summary, a must read for any person trying to implement a performance indicators or Balanced Scorecard systm in its bank ("financial institutions" in the title is actually retail or commercial banking) PS : I am not an E & Y employee ... so this is not an advertising review

Asset Allocation: Balancing Financial Risk

Average customer rating:

Asset Allocation: Balancing Financial Risk
asset allocation by gibson
Most solid advice on asset allocation ever
Gibson's Asset Allocation
Asset allocation practically eliminates all risk while increasing returns.

Asset Allocation: Balancing Financial Risk
Roger C. Gibson
Manufacturer: McGraw-Hill
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Binding: Hardcover

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Similar Items:

The Intelligent Asset Allocator: How to Build Your Portfolio to Maximize Returns and Minimize Risk
The Four Pillars of Investing: Lessons for Building a Winning Portfolio
All About Asset Allocation
Global Investing: The Professional's Guide to the World Capital Markets
Value Averaging: The Safe and Easy Strategy for Higher Investment Returns (Wiley Investment Classics)

ASIN: 0071357246

Book Description

Financial experts agree: Asset allocation is the key strategies for maintaining a consistent yet superior rate of investment return. Now, Roger Gibson's Asset Allocation - the bestselling reference book on this popular subject for a decade has been updated to keep pace with the latest developments and findings. This Third Edition provides step-by-step strategies for implementing asset allocation in a high return/low risk portfolio, educating financial planning clients on the solid logic behind asset allocation, and more.

Customer Reviews:

Asset Allocation: Balancing Financial Risk.......2007-07-11

Good overview. Perhaps a little technical. Graph oriented. Author does a good job of explaining his view point and backing it up with historical data.

asset allocation by gibson.......2007-05-24

The book was in excellent condition and was received in about five days.

Most solid advice on asset allocation ever.......2007-01-28

I had to read this book when I was taking a course to get a CIMA designation. I thought the book would be dullsville. But to the contrary, his strategies when tested are nothing short of amazing. To move away from the simple stock bond mix that every other book pimps out, is brave, but more importantly, he is right. Since reading the book I have obtained as many of his writings as possible. If you take the advice in this book and implement it, it will create a low stress, high return strategy. Good near term and long term advice. I will look to by more of this book to give to others. BEST BOOK ON ASSET ALLOCATION I HAVE EVER READ.

Gibson's Asset Allocation.......2006-08-23

Among the many books on this subject, this is one of the best. Unlike most of the other authors, Gibson does not limit himself to list the different asset classes and then provide recommended allocations. He goes one step further and describes in very practical terms the different issues that one faces when developing a portfolio and how to resolve them. In my view, Gibson ranks next to Bernstein and Malkiel. A good buy!

Asset allocation practically eliminates all risk while increasing returns........2005-07-01

This book informs the current political struggle to reform the Social Security program. In the case of a foreign invasion or some other calamity, it's true that one's private investments would be insecure, but so would one's "investments" in government bonds, so such cases are irrelevant.

In all relevant circumstances, private investments, if one adheres to even a primitive asset allocation strategy, are 100-percent safe. Mr. Gibson explains why.

He also cites studies concluding that the most significant variable in differences among institutional investor performance is emphasis on stock-picking and market-timing versus asset allocation. Those who emphasize asset allocation perform better than those who emphasize stock-picking and market-timing. A good companion to this book is "A Random Walk Down Wall Street", by Burton G. Malkiel.

Of course, Mr. Gibson introduces the reader to the theory and methods of asset allocation.

Wealth: Grow It, Protect It, Spend It, and Share It

Average customer rating:

Good Overview of How One Wealthy Family Manages its Money
Wealth management
Savvy advice for managing major money
A Longer Term Perspective
Investors don't plan to fail...they fail to plan

Wealth: Grow It, Protect It, Spend It, and Share It
Stuart E. Lucas
Manufacturer: Wharton School Publishing
ProductGroup: Book
Binding: Hardcover

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Family Wealth--Keeping It in the Family: How Family Members and Their Advisers Preserve Human, Intellectual, and Financial Assets for Generations
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Preparing Heirs: Five Steps to a Successful Transition of Family Wealth and Values
Wealth in Families
Beyond the Grave revised edition: The Right Way and the Wrong Way of Leaving Money To Your Children (and Others)

ASIN: 0132366797

Customer Reviews:

Good Overview of How One Wealthy Family Manages its Money.......2007-07-23

In "Wealth," Lucas gives a good overview of how his family manages its money. His family is a little different than most, in that it had a liquidity event that led to about $1 billion in cash for the family.

As one reviewer pointed out, the author can get wordy at times, but overall the book is well written and approachable.

If you have less than $1 million of investable assets this book might not be the best starting place for advice as the method his family uses requires quite a bit of capital to pursue effectively.

Lucas's use of real-life examples is good, as is his view of his generation being stewards for future Lucas generations. There is a good chapter on how to use wealth to help society, which is a topic that is all too often overlooked in wealth management books.

Wealth management.......2007-03-30

Overall the book provides a good overview on the topic of wealth management. It may also be useful to refer to while chosing a wealth manager. Many topics and chapters are wordy and you may lose focus many times during the reading. But if you are serious on gaining basic knowledge on the topic of wealth management it maybe a good book to start with.

Savvy advice for managing major money.......2007-03-13

This is one of the best books yet written on the subject of personal financial management. The author, Stuart E. Lucas, is heir to one of the biggest family fortunes in America. When he and his family took a close look at their finances, they discovered that mediocre management was eroding their wealth. They decided to take a new, very disciplined approach to money management. This book recounts their experiences and summarizes their guiding principles. Although few readers will have wealth on the scale of the author's family fortune, we believe that even those in modest circumstances, and certainly the well-to-do or up-and-coming, will benefit from Lucas' advice about spending, saving, investing, taxes and family values.

A Longer Term Perspective.......2006-12-11

Stuart Lucas's book makes one appreciate the differences in viewpoint between planning for the financial future of a couple versus many generations of a family.

Conventional financial wisdom says that a couple should withdraw no more than 4% of the investment portfolio during retirement (with an annual inflation adjustment). This 4% rule came from examining past 30 year periods to see if the money would last. Thirty years was chosen because that was the expected lifetime of a couple retiring at age 65.

With a family foundation, like the Lucas one, you are no longer planning for just the 30 year retirement period of one couple. You are actually planning for eternity if you plan for each succeeding generation to the current one. This drops the 4% rule down to more like a 1 to 2% safe withdrawal rate to assure the money lasts forever. Quite a different planning horizon than just one couple.

Lucas does an excellent job of laying out the annual costs of a foundation, and more importantly identifies 4 investment strategies which are typically used.

I was a little surprised at Lucas's definition of barbell investing. The definition I was familiar with was in regards to asset allocation. The definition I am familiar with is a strategy where you invest in small cap and large cap stocks, but you skip the mid-caps. Lucas has developed a different definition. He suggests that 80% of your assets be invested in financial entities, and you use 20% for running your own business. This strategy allows people to try a 2nd career working part-time for full-time. Because you are working, there are no withdrawals and therefore the portfolio lasts longer.

I was also surprised that Lucas invests in some very high risk investments such as emerging markets, private equity, and hedge funds. He sometimes practices market timing once per year as well. The returns for these investments can be higher than conventional stocks and bonds, but so are the risks. It takes time and the ability to get some highly sought after managers to work for you. Many of these high risk investments are not available to the individual investor.

Lucas also warns to find the right municipal bond funds, since many bond funds are not immune to the AMT tax.

I enjoyed Lucas's book. His writing style is good, and he uses his own family's experiences to tell his story. I like the fact he recommends index funds. He also makes you think about modifying one of his four strategies for your investment strategy. If you are thinking about retiring from your first career, and then starting your own business, his barbell strategy is interesting as well.

I would suggest companion books to supplement this book including:
The Richest Man in Babylon
Bogle on Mutual Funds: New Perspectives for the Intelligent Investor
The Millionaire Next Door
The Four Pillars of Investing: Lessons for Building a Winning Portfolio
A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, Ninth Edition
Index Mutual Funds: How to Simplify Your Financial Life and Beat the Pro's
The Coffeehouse Investor: How to Build Wealth, Ignore Wall Street, and Get On With Your Life
The Bogleheads' Guide to Investing
All About Asset Allocation.

Investors don't plan to fail...they fail to plan.......2006-08-05

Author Stuart E. Lucas is financially savvy, a superb communicator and a very decent human being. His book, "Wealth; grow it, protect it, spend it, and share it," is an important roadmap for all types of investors. After all...it is common knowledge that investors don't plan to fail...they fail to plan.

The foreword for this impressive text is provided by Joe Mansueto, Chairman & CEO of Morningstar. Mansueto explains that Stuart is a pedigree...he is a fourth-generation investor and a member of one of America's wealthy families. Mansueto also informs us that Stuart has a broad definition of wealth..."that being wealthy is about being productive, giving to others, serving society, and creating a legacy." The Morningstar chief applauds the holistic approach and more importantly points out that "Stuart packages advice for his readers in an understandable cohesive framework."

On that note, Chapter 3, "Everything begins with values," and Chapter 7, "Making your most important hire," are the jewels of this book. In Chapter 3 Stuart helps the reader understand critical issues and then provides guidelines for translating values into financial goals. However, Chapter 7 covers the most important decision in investing..."selecting a financial advisor/administrator." Certainly, most of Main Street America will not have to go to the extremes that Stuart advocates (they simply do not have that kind of wealth). Nevertheless, his core values of making sure one has a high degree of trust...and of insisting that you select an investment representative that is skilled, transparent and with a good firm are solid benchmarks to grow and protect your lifetime of savings. Recommended.

Bert Ruiz

Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series)

Average customer rating:

great book for modeling
Comprehensive Coverage of Quantitative Equity Models
Really good reference book
Very good book

Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series)
Frank J. Fabozzi , Sergio M. Focardi , and Petter N. Kolm
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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ASIN: 0471699004

Book Description

An inside look at modern approaches to modeling equity portfolios

Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.

Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.

Download Description

An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.

Customer Reviews:

great book for modeling.......2007-08-09

this is a good introductory book for quantitative developers. Many of the recent research and application of the financial engineering idea has rendered some famous books not as up-to-date as needed.

The financial modeling has a lot of different methods and directions, this book definitly did not cover all those new developments. But it is almost impossible to do that, instead, it does covers a lot interesting ground. And I find almost few other books overlap with this one so far, so even on cost per coverage basis, it is a good buy.

Also check out the other book written by this trio, "Robust Portfolio Optimization and Management".

Comprehensive Coverage of Quantitative Equity Models.......2006-09-26

Fabozzi, the guy who churned out a dozen fixed income books, has turned his attention to equity models. With two coauthors, his Financial Modeling of the Equity Market book is a comprehensive treatise on quantitative methodologies employed in equity investment and trading. Densely packed with mathematical and statistical formulae, this book is an excellent reference guide for those desiring to learn and understand equity models. The reason I didn't give it 5 stars is, like other Fabozzi books, this is heavy on the "trees" but light on the "forest," i.e., it gives you lots of equations and details but does not provide a good overview as to the why. In a sense, its audience is the technocrats, not the thinkers. It's good for the financial engineers, not the financial innovators. Still, the vast majority of us on Wall Street, yours truly included, are technical people who don't have a vision, so for us mere mortals, this is a one-stop-shop book on quant equity models.

Really good reference book.......2006-07-29

It is the book I'd like to keep on my shelf. Very comprehensive and up-to-date, though a little bit condensed. It starts from portfolio theory and covers forefront techniques and practical issues of equity market modeling. Could be better if there are more examples of model applications.

Very good book.......2006-06-09

This is one of the most complete book that I can find on the quantitative equity management.

It integrates very well both academia with real case.

Worth reading for anyone wishing having a good knowledge of equity markets.

Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman & Hall/Crc Financial Mathematics Series)

Average customer rating:

Disappointing
Structured Credit Portfolio Analysis, Baskets and CDOs

Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman & Hall/Crc Financial Mathematics Series)
Christian Bluhm , and Ludger Overbeck
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Hardcover

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Collateralized Debt Obligations: Structures and Analysis, 2nd Edition (Wiley Finance)

ASIN: 1584886471

Book Description

The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long and short positions in credit risks. Based on a steadily growing market, there is a high demand for concepts and techniques applicable to the evaluation of structured credit products. Written from the perspective of practitioners who apply mathematical concepts to structured credit products, Structured Credit Portfolio Analysis, Baskets & CDOs starts with a brief wrap-up on basic concepts of credit risk modeling and then quickly moves on to more advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches. The text is written in a self-contained style so readers with a basic understanding of probability will have no difficulties following it. In addition, many examples and calculations have been included to keep the discussion close to business applications. Practitioners as well as academics will find ideas and tools in the book that they can use for their daily work.

Customer Reviews:

Disappointing.......2007-09-13

I had to return this book. There are other books on credit derivatives and CDOs that are much better. This book deals with an important subject but in a very poor way.

Structured Credit Portfolio Analysis, Baskets and CDOs.......2007-06-01

Excellent book on structured credit. However, the authors could have placed more explicit numerical examples. Perhaps a new version could be updated with more explicit numerical examples?
Good book to read cover to cover.

Wealth Management: The Financial Advisor's Guide to Investing and Managing Your Client's Assets

Average customer rating:

A Great Treatise on Wealth Management
Excellent mixture of practical advice and theory
A must read for all investment advisors!

Wealth Management: The Financial Advisor's Guide to Investing and Managing Your Client's Assets
Harold R. Evensky
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

Public Finance | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

Deena Katz's Tools and Templates for Your Practice: For Financial Advisors, Planners, and Wealth Managers
Global Private Banking and Wealth Management: The New Realities (The Wiley Finance Series)
In Search of the Perfect Model: The Distinctive Business Strategies of Leading Financial Planners
Attract and Retain the Affluent Investor: Winning Tactics for Today's Financial Advisor
Deena Katz on Practice Management: For Financial Advisers, Planners, and Wealth Managers

ASIN: 0786304782

Book Description

``Harold's diligent and scholarly approach to investing theory makes Wealth Management a thoughtful book that should be on every advisor's reading list.''--Charles R. Schwab, Chairman & CEO, The Charles Schwab Corporation. Wealth Management outlines the current state-of-the-art in financial planning, and describes respected financial planning speaker and author Harold Evensky's effective, optimal asset allocation policy that is designed to account for each client's unique goals and constraints. It provides you with concise yet thorough information on current investment theories, along with detailed reference for further study.

Customer Reviews:

A Great Treatise on Wealth Management.......2001-07-20

Mr. Evensky's book has had a profound impact on my wealth management philosophy. He is very effective in blending the broad scope of investment management theory with "real world", practical application. I found it particularly useful because it is not a book written by an academic who has never sat across the table from a client and held their hand through the good times and the tough. This is a must read for any serious manager of wealth.

A. Todd Black, CFP

Excellent mixture of practical advice and theory.......1999-02-27

I had expected a typical fluff, despite Evensky's fine reputation. I has very surprised at this mixture of practical advice and theory. Pointers are given to other sources for those more theoretically inclined. Some of the practical advice (software recommendations and such) won't age as gracefully as the text itself, these packages will become obsolete before the book. Nevertheless, I'd highly recommend it for anyone who is looking to understand the basics of risk/reward, the importance of asset allocation, and the theoretical material that led to these ideas.

A must read for all investment advisors!.......1997-03-16

Harold generously shares his knowledge, not only in solid investment thought, but in practical application. If you've ever wanted to know how to practically apply investment research to your own portfolios, this is the book that will do it

Quantitative Management of Bond Portfolios (Advances in Financial Engineering)

Average customer rating:

"35 Empirical Exercises in Fixed-Income"

Quantitative Management of Bond Portfolios (Advances in Financial Engineering)
Lev Dynkin , Anthony Gould , Jay Hyman , Vadim Konstantinovsky , and Bruce Phelps
Manufacturer: Princeton University Press
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

Corporate Finance | Finance | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Bonds | Investing | Business & Investing | Subjects | Books

Management Science | Management & Leadership | Business & Investing | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

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Similar Items:

Advanced Bond Portfolio Management (Frank J. Fabozzi Series)
Quantitative Equity Portfolio Management (McGraw-Hill Library of Investment and Finance)
The Structured Credit Handbook (Wiley Finance)
The Volatility Surface: A Practitioner's Guide (Wiley Finance)
Dynamic Term Structure Modeling: The Fixed Income Valuation Course & CD-ROM (Wiley Finance)

ASIN: 0691128316

Book Description

The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management.

The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures.

A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.

Customer Reviews:

"35 Empirical Exercises in Fixed-Income".......2007-10-02

A 1000-page tome by fixed-income experts from Lehman Brothers cannot be a bad reading or bad investment, certainly at $50; I do recommend the book to interested readers. A dose of expectation adjustment is in order, however.

First, 'quantitative' in the title does not mean 'mathematical', or 'derivatives-aided', but rather 'based on some empirical evidence'. (Second,) This is not a monograph, but a repackaged collection of Lehman research reports, where each presents an idea or issue, and follows up with an empirical study, sometimes aided by a simple conceptualization. (Third,) None of these are complex (albeit implementation details frequently are, and their exposition will be greatly appreciated by practitioners) or require more than minimal grasp of math or statistics.

Unfortunately, a collection of exercises does not make a book. 'Quantitative Management of Bond Portfolios' is an overreaching misnomer.

Quantitative Equity Portfolio Management: Modern Techniques and Applications (Chapman & Hall/Crc Financial Mathematics Series)

Average customer rating:

Quantitative Equity Portfolio Management: Modern Techniques and Applications (Chapman & Hall/Crc Financial Mathematics Series)
Edward E. Qian , Ronald H. Hua , and Eric H. Sorensen
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Quantitative Equity Portfolio Management (McGraw-Hill Library of Investment and Finance)
Robust Portfolio Optimization and Management (Frank J Fabozzi Series)
How I Became a Quant: Insights from 25 of Wall Street's Elite
Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series)
Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk

ASIN: 1584885580

Book Description

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.

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