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!
Book Description
The Twelfth Edition of this successful book provides a survey of the foundations of the finance discipline. The authors covers the three major financial areas: Institutions & Markets, Investments, and Financial Management, helping you develop an integrated perspective of the different foundations of finance.
Customer Reviews:
General comment........2007-03-01
This is an excellent overview of finance and related topics. focuises on macroeconomic factors, such as aspects of national banking and finance, international trade and currency exchange systems, etc. Also focuses on corporate and business finance. Also contains excellent exercises for math and accounting functions.
Product Description
Book Description
Covering the same topics found in more advanced-level texts, Investments incorporates minimal math and is much more student-friendly, resulting in an increased excitement for and understanding of the basic investment course material. It is the text of choice for the College of Financial Planning. It includes a strong focus on the individual financial planner and features a ?Financial Advisor?s Investment Case? at the end of each chapter. These short cases illustrate how text material applies to real investment decisions. Financial calculators are introduced and utilized throughout the text with explanations employing both interest tables and the calculator. It is also ideal for non-majors courses.
Customer Reviews:
I have the teacher.......2007-05-03
Great book and great teacher...I won't sell this book because I've learned too much from it and it will help me later on in life I'm sure.
One word.........BORING.......2007-03-09
This is by far the worst business book I have ever owned. I could hardley make it half a page without my mind wandering. It needs more real life examples to make it more appealing and understandable to the layperson.
To good for you.......2007-01-18
This book is so full of useful information and detail that I want to keep it to myself.....
Solid Introductory Investment Textbook.......2005-10-20
Mayo's "Investments" captures nearly all the relevant subjects in an increasingly complex financial frontier from simple debt instruments and equity issues to complex option strategies. I would have liked to see further mention of hedge funds though, as significant money seems to be pouring into these instruments and the student of investing would gain by knowing more about the various strategies they employ and the trading mechanisms used. Ditto for Exchange Traded Funds (ETFs). With that said, though, Mayo does a fine job providing a comprehensive basis on the investment world. Solid reference book. Strong 4 Stars.
Excellent review of all possible finance instruments.......1999-05-20
It is a text book vs a simple reading book, however the author has done an excellent job of presenting the concepts in simple to understand format. With well writtem text and informative graphs the concepts easy to understand. Covers all types in investments instruments from stocks, bonds, options, futures and portfolio construction.
Book Description
Martin Pring's Introduction to Technical Anaylsis: A CD-ROM Seminar and Workbook, produced by leading technical analyst and author Martin Pring, explains and demonstrates tools used by the world's foremost technical analysts to evaluate emerging trends. This technically state-of-the-art package then goes further, to provide specific steps you can take to turn these analyses into profit-producing trades. Using the effective CD-ROM/workbook format, you'll learn how to: Research and construct instantly valuable charts of stock and market activity; Interpret the basic concepts of momentum, and apply the theory to actual trades through a common sense set of trading strategies; Use price and volume pattern to identify breakouts; Analyze and act on peaks and troughs that can signal a change in the prevailing trend; Calculate moving averages and gauge their impact. Pricing also includes savvy advice on when to buy, when to take profits, and how to identify and handle false breakouts. More than three hours of CD tutorial, including video, animated diagrams, realistic movies, and audio clips let you develop and hone your technical analysis skills, with an interactive quiz at the end of each chapter.
Customer Reviews:
Excellent beginners book.......2007-08-28
As a newby and complete beginner in TA, I found this to be a near perfect book for getting your feet wet. The style is simple and straight forward with large print and easy to read charts. While there are a few typos, I did not find the excessive amount stated in the reviews of his second edition. I found the CD to be as valuable as the book. It's one thing to read a book, but actually knowing the material is what counts if you are going to apply it to trading. The CD is in multiple choice quiz format. After choosing your answer, Pring tells you in audio, not text, if you got it right or wrong and why. This way you can see if you actually understand the principals before you start risking money. Think back to your college days- how much did you learn from classes you only audited compared with those that had exams!! I dont own Murphy's book, but apparently it lacks this feature. While there is plenty of free info on the internet now, I would rather know I'm getting it from a known expert in the field. Prings book is compact and concise and can easily be read in 8-12 hours, depending on your style. While I plan to buy Murphy's book as a more comprehensive reference (over 500 pages is alot of reading), another must-have book I found is Elder's "Trading for a Living" (a psychiatrist and trader), with its psychology of crowd theory, very true of the market and an excellent supplement to anyone's collection.
Useful information........2007-01-26
I am just getting started into the world of technical analysis and trading stocks. This book is really helping me to understand some of the things I have been observing in the market. The best thing about the CD is the quizes. The reader's voice can put you to sleep - especially if you read the chapters first - he covers the exact same text.
Not for the beginner.......2006-07-02
The book does not have a glossary in the back of the book so we can look up words that the author failed to tell us the meaning. I emailed the author and asked him what certain trading terms meant in his book and I received an email back from somebody named "Lisa" that told me to look it up in the dictionary if you can't find the answer in the book. I think this person "lisa" was very unprofessional in the way she handled this email and her customer service skills need improving. There are better books than this one. This man is from another country other than America and he uses weird words to describe his examples. It's hard to understand.
Good Introduction for the beginner or as a refresher........2005-12-29
Pring does an excellent job of providing the beginner with all of the basics of technical analysis (TA). I have traded stocks for over 15 years and have been trading the spot Forex market. I learned quite a bit about TA several years ago, but thought I would like to continue my education in this area. My only problem with this particular book/CD is that the CD presentation could/should have been more polished. However, the information is all there if you take the time to look, listen, AND USE it!
View from the beginning trader.......2005-11-29
As a beginning trader I have no previous experience with which to determine the value of this book. But I'm glad that I purchased it. First off it is easy to understand and through some repetition it actually drives home the basic ideas. The CD-ROM could be a little more interactive, but having the quizzes included helps the process of self-learning. I'm sure the material can be found online, but to have it all in one book is wonderful. The basic concepts are probably academic to more sophisticated traders, but are easily applied (eg. I predicted the Intel pull-back in Aug 05 and correctly sold out my position). Whether you aspire to be a technician or a fundamentalist (Or if you're like me, you don't care) this book is a great place to start.
Average customer rating:
- Detailed but Comprehensible
- Good Companion Book
- Good book
- Very thoughtful and clear explanation of financial math
- sophisticated maths
|
Introduction to the Mathematics of Financial Derivatives
Salih N. Neftci
Manufacturer: Academic Press
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Similar Items:
-
Options, Futures and Other Derivatives (6th Edition)
-
Principles of Financial Engineering (Academic Press Advanced Finance)
-
Financial Calculus : An Introduction to Derivative Pricing
-
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
-
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
ASIN: 0125153929 |
Book Description
This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals.
Customer Reviews:
Detailed but Comprehensible.......2007-10-14
This booke really helped me understand topics for a class I was taking. After reading it i almost felt like i understood change of measure and numeraire. one of the few books i'd recommend buying.
Good Companion Book.......2007-08-29
good companion book for the other book "Principles of Financial Engineering" by the same author
Clear and easy to understand treatment. The author does not assume a high level of math knowledge of the reader.
Good book.......2007-05-09
As title states this is a good Introduction to the mathematics of derivatives.
If you're looking for some book with C/C++/C#/Java code samples this isn't the book. Indeed a good mathematical introduction; its pre-requirements are a good mathematical and statistical ones.
Very thoughtful and clear explanation of financial math.......2007-02-05
I turn to this book after I get frustrated with Tomas Bojork's book "Arbitrage Theory in Continuous Time." As I am not from a strict math background, this Neftci's book makes much more sense to me. What I particularly like about this book is explanation in plain English of why the mathematical formulae are so, and how they are connected to the bigger picture. Also Neftci has a good grasp of how many real-life examples included in this book so that it doesn't lose its focus on the real math in finance.
sophisticated maths.......2006-06-16
Neftci takes us on a mathematically sophisticated tour of financial derivatives. The treatment is on a level akin to a senior-level undergrad text on physics or engineering. Indeed, to a reader who might come from that background, there will be a lot of similarities and familiar ideas.
For example, partial differential equations arise naturally in the pricing of derivative assets. But unlike many places in physics, here it is not sufficient to assume smoothly varying variables. The inherently discrete nature of most financial variables means that derivatives have to be approximated numerically.
Neftci also describes the various types of options, like basket, knock-out, multi-asset and so on. Each has a slightly different modelling. Another key idea involves the time aspect of pricing. So Wiener processes naturally arise, and the text shows how to handle these.
Much more is covered in the book. Perhaps just as importantly, it gives you enough maths preparation that you should be able to analyse other new types of financial instruments. Maybe even ones that you create yourself.
Average customer rating:
- modelling financial instruments
- good analysis on data error.
- From the experts in the field
- For the new millenium...that's what we need.
- More Than An Introduction
|
An Introduction to High-Frequency Finance
Ramazan Gençay ,
Michel Dacorogna ,
Ulrich A. Muller ,
Olivier Pictet , and
Richard Olsen
Manufacturer: Academic Press
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Similar Items:
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Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
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Market Models: A Guide to Financial Data Analysis
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Trading and Exchanges: Market Microstructure for Practitioners
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Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk
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Pairs Trading: Quantitative Methods and Analysis (Wiley Finance)
ASIN: 0122796713 |
Book Description
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.
This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
Customer Reviews:
modelling financial instruments.......2007-03-08
The book gives an indepth statistical modelling of important financial events, that have time dependency. It is suitable for the financial analyst who wants a semi-empirical approach.
For some quantities, like foreign exchange data, there is a comparison between fully empirical results and various theoretical models. What is investigated are such behaviours like scaling laws, for the absolute returns as a function of frequency. Here, it has been empirically observed that scalings do exist for FX rates.
Whenever possible, the book gives rigorous results, often encapsulated in theorems relating to distributions of independently distributed random variables. The reader should have a background in statistics, with the equivalent of several years of undergraduate courses.
good analysis on data error........2007-01-16
Many type of error the book list are frequently occur in FX data.
This book give good guide on how to filter them.
From the experts in the field.......2002-06-06
Michel Dacorogna and the team at the former Olsen & Associates are well-known experts in the field of foreign exchange rate data analysis, and their book provides us with a vast, useful source of information. Unfortunately for students and other beginners, the book is written like a compilation of papers and review articles, the opposite of pedagogical, and with an awful choice of 'computerese' notation (MA(t,n)=sum(EMA(t',k)... etc) that makes Boudhaud-Potters look easy in comparison. More to the point, even their noncomputerese notation is difficult to follow. I hope for a very different second edition written pedagogically for students of this growing and important field. On the positive side, data analyses are performed using logarithmic returns, not price increments. Workers in the field who consult this text will find it helpful.
For the new millenium...that's what we need........2001-07-23
The book covers a wide range of topics related to high-frequency data in Finance. There is a very detailed approach to tackle a huge amount of data and to deal with its based stylized facts. The book triggers the reader's desire to update his knowledge in the field of finance.
More Than An Introduction.......2001-05-28
This one of the few books on high frequency finance is a most welcome to the literature. The book is useful not only for people who are new to the subject but also for researchers in the field since it is a most uniform treatment of many topics. From adaptive data cleaning (chapter 4) to intraday and weekly seasonality (chapter 6) and real time trading models (chapter 11), it covers a broad range of topics specific to high frequency financial time series analysis. Chapters on volatility modeling (Chapter 8), forecasting (chapter 9) and correlation and multivariate risk (chapter 10) are enlightening especially for risk exposure analysis and risk management purposes. Finally, the the extensive bibliography is a precious source for those who would like to explore certain topics in detail. I highly recommend it for practitioners as well as researchers in the field.
Book Description
Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.
Customer Reviews:
Not bad... but there is better out there.......2007-10-23
A per its title, this is an applied mathematics book, and therefore a minimal level of math is expected from the reader. Taking a PDE approach, the book aims at presenting various methods for pricing financial options. While the first few chapters are pretty good at skimming the surface of the theory and laying down the key principles of options pricing, I find that in general, the book lacks depth. Many results (prices of barrier, lookback, asian, etc...) are simply given without real development (or simply with a little of "hand-waving") while the section on the linearity complementarity problem for the American Option is quite muddled... The book does not provide any new insight into the more difficult areas of option pricing and in that sense, simply goes through the typical presentation without adding much value.
It is nonetheless an acceptable and quick overview if you are looking for a refresher of key concepts. If you are looking for a thorough mathematical introduction to options pricing, You-Lan Zhu's book (for example) does a much better job at covering the PDE approach much more rigorously (proving for example some of the convergence criterias for the finite difference method, covering the linear complementarity approach in much more details as well as presenting other numerical techniques) without being overly formal.
Good Buy.......2007-08-29
maps one to one with many chapters in Hull. more elaborate derivations than Hull. Fixed income area treatment is very slim though. Good Buy for the Price.
Okay but not an introduction.......2006-07-31
If you want an introduction, read another book like Hull. If you want to learn how to apply Partial Differential Equations (PDEs) approach to finance then it is a useful book. However, it is better to read an elementary PDEs book before reading this book. At least, learn how to solve parabolic PDEs analytically because the technical notes in the book would not help much.
Introduction to partial differential equations in finance.......2005-10-13
This book treats only the partial differential equations
in Finance and how to treat them using Finite Differences
and Tree. For this purpose it is very well written and
understandable. A very good beginning for student. Even
undergraduate.
Now after reading it you should understand the martingales reading the baxter and how to implement Monte Carlo using, for example Glasserman (see my reviews)
A good introduction to the PDE approach.......2005-10-10
Contrary to what many readers believe, this book explains the pricing of derivatives much better than Hull. Hull gives an overview of the mechanics and properties of the derivative pricing industry, along with its pricing methodologies, and this book provides an in depth method to one of the pricing methods.
Financial derivatives can be priced by a wide range of methodologies, among some the elegant equivalent martingale measure approach (or risk-neutral pricing), replication, multinomial tree approximation, Monte Carlo simulation, partial differential equations etc etc.
This book gives an excellent introduction, and an insight to the PDE approach. Although being a big fan of the Girsanov-change-of-measure method myself, these analytical methods often fail in the valuation of highly complex derivatives like the exotics. Pricing americans prove to be hard and inefficient too, even with simulation and the risk-neutral approach.
This is where PDE methods come in. Since most derivatives (or term structures) have a PDE describing its evolution, solving the PDE seems to be a good (or sometimes the best) way, no matter how complex the derivative can get. PDEs on the other hand, have very robust and easy methods for solving. Therefore, this book brings the reader through basic PDE solving methods, analytical solutions, techniques for fast and efficient numerical approximations as well as rigorous technical explanations for some of the mathematics of partial differential equations (which arise in the financial industry).
The authors are famous for their research in the field of Industrial and Applied Mathematics, and this book continues to be a classic for undergraduates in mathematics in Oxford. If you want to have an overview of the pde approach to option valuation, without the hassle of learning up Radon-Nikodým and martingales, I highly recommend this book!
Book Description
Topics in small business practice appear in each chapter to facilitate learning and discussion of small business applications.
Personal finance coverage integrated throughout text.
Book Description
Over the next few years, the proprietary trading and hedge fund industries will migrate largely to automated trade selection and execution systems. Indeed, this is already happening. While several finance books provide C++ code for pricing derivatives and performing numerical calculations, none approaches the topic from a system design perspective. This book will be divided into two sectionsprogramming techniques and automated trading system ( ATS ) technologyand teach financial system design and development from the absolute ground up using Microsoft Visual C++.NET 2005. MS Visual C++.NET 2005 has been chosen as the implementation language primarily because most trading firms and large banks have developed and continue to develop their proprietary algorithms in ISO C++ and Visual C++.NET provides the greatest flexibility for incorporating these legacy algorithms into working systems. Furthermore, the .NET Framework and development environment provide the best libraries and tools for rapid development of trading systems.
The first section of the book explains Visual C++.NET 2005 in detail and focuses on the required programming knowledge for automated trading system development, including object oriented design, delegates and events, enumerations, random number generation, timing and timer objects, and data management with STL.NET and .NET collections. Furthermore, since most legacy code and modeling code in the financial markets is done in ISO C++, this book looks in depth at several advanced topics relating to managed/unmanaged/COM memory management and interoperability. Further, this book provides dozens of examples illustrating the use of database connectivity with ADO.NET and an extensive treatment of SQL and FIX and XML/FIXML. Advanced programming topics such as threading, sockets, as well as using C++.NET to connect to Excel are also discussed at length and supported by examples.
The second section of the book explains technological concerns and design concepts for automated trading systems. Specifically, chapters are devoted to handling real-time data feeds, managing orders in the exchange order book, position selection, and risk management. A .dll is included in the book that will emulate connection to a widely used industry API ( Trading Technologies, Inc.s XTAPI ) and provide ways to test position and order management algorithms. Design patterns are presented for market taking systems based upon technical analysis as well as for market making systems using intermarket spreads.
As all of the chapters revolve around computer programming for financial engineering and trading system development, this book will educate traders, financial engineers, quantitative analysts, students of quantitative finance and even experienced programmers on technological issues that revolve around development of financial applications in a Microsoft environment and the construction and implementation of real-time trading systems and tools.
* Teaches financial system design and development from the ground up using Microsoft Visual C++.NET 2005.
* Provides dozens of examples illustrating the programming approaches in the book
* Chapters are supported by screenshots, equations, sample Excel spreadsheets, programming code and interactive CDROM
Customer Reviews:
great book for wall street developers.......2007-06-29
Unlike some other comments about this book, the intended readers are serious developers who have not started or just begining to use .Net 2005 framework. That is why some readers do not like this book.
A pure programmer do not need to read this book.
A pure quant strategist do not need this book.
A network specialist do not need this book.
It is only good for the intended readers.
Excellent resource to build Automatic Trading Systems.......2007-04-22
I read some of the other reviews and was moved to write my own evaluation as those reviews were mistreating this book.
This book is NOT fiction nor is it a comprehensive reference on C++.Net. so for someone trying to read this book from cover to cover will not feel like adding much value. Also the title says it clearly that the book includes an introduction to VC++.Net (just want to stress that the book is not meant to teach you the language in and out)
The value in this book is to understand the typical challenges that financial trading systems offer and some really insightful examples on how to solve them. This book deals with everyday problems that any programmer will face when building his/her own trading system (Automated/semi-automated). There is a lot of good advice on Building Automatic Trading Systems all compiled into one resource.
Like I mentioned before the book is not a comprehensive reference on C++.Net(Use MSDN for that) and neither is it verbose, but simply a bridge between building trading systems and programming. The introduction to VC++.Net is a quick read even if you have no or basic programming skills and only serves as an introduction to the language with a quick reference of the concepts.
I love this book and appreciate some of the issues that it addresses. It also better prepared me for the job that I got after taking Professor Van Vliet's class and using this book for the same.
I recommend this book for all those developers (or beginners) who are dealing with financial markets and have the need to build ATS.
Excellent CONCISE Treatment of C++.Net.......2007-04-13
I feel I am qualified to review this book as I have been a student of Professor Van Vliet's at IIT-Chicago. I have taken his courses in ANSI C++,VB.Net,and developing automated trading systems using C++.Net. I took the course in C++.Net/Automated Trading Systems using the notes that were the basis for this book.
A few of the previous reviews were way off the mark in my opinion. One of Professor Van Vliet's strengths and approach to programming is to develop concepts through simple examples. In this book, as in all his classes, he gives small but complete programs to learn concepts. Most books, e.g. Deitel, introduce concepts with 2-3 page programs where you get lost in what you are trying to learn. Van Vliet emphasizes that programming is learned by doing, not just by reading. If you just plan to read the book and not actually implement the programs then maybe it's value is limited. But this is not how most people REALLY learn programming. You have to get your hands dirty.
Previous reviews are way off the mark in terms of substance as well. You just have to go to MSDN's documentation on C++.Net to see that Van Vliet includes a lot of helpful information that is hard to find in other books and on the NET. For example, for those who care to pay attention, he does an excellent treatment on how to get to methods in objects stored in hashtables and sorted lists. Almost all other discussions of hashtables use very primitive hashtables where you only store a key and a simple value (like an integer or string) . Van Vliet actually shows ways, for example, to create a Stock Class with all the attributes of a stock and then store the stock objects in a hashtable that would represent a portfolio. (this is not the example in the book but he clearly shows you how to do this). Then he shows you how to get at the methods using a dynamic cast or static cast (with the advent of generics in VS 2005 there are now even better ways in some instances).
To give further evidence of his building block approach and the substance in the book, Van Vliet towards the end of the book develops a single-threaded algorithmic trading system and then uses a producer-consumer semaphore model to show you how to create a multi-threaded algorithmic trading system. Where else can you find this in the literature? He even created his own API, Trader API, that is very similar to that of Trading Technologies's XTAPI, so programmers can learn how to connect and use an API.
Finally, through my study with Van Vliet I have been able to write multi-threaded trading programs using XTAPI, write a stat arb program for equity trading that searches a large database of equities, write technical trading systems, and write factor model programs for equity trading. In large part because of what I learned from Professor Van Vliet at IIT I have been able to be employed by a local hedge fund. Whenever I program his books are with me for reference purposes.
J.S. Haworth
April 2007
Unreadable...........2007-04-02
Strong regret that I spent 80$ on this book. The backcover said this book was suitable for people who wanted to learn c++.net with a focus on trading systems, however the intro to the language itself is very very light.
It starts directly with pages of code (that you can find on the cd...) explaining how to manage threads, processes, time etc etc.
I had the feeling that this book has no real beginning nor real ending and that chapters can be all mixed up, it won't change anything.
On the other side, I am maybe too beginner for it. Maybe this suitable for people who want to transfer their system from one language to c++.net.
Excellent book for beginners to intermediate develepers.......2007-03-23
I thought this was an excellent book for beginner and intermediate developers. It takes you through the building blocks necessary to create a fully functioning automated trading system. Especially useful for programmers in other languages that are looking to transfer their code to C++.net. I've have 7 years of experience in financial programming and many of the problems addressed in this book, I deal with on a daily basis.
Book Description
Bob Strong's practical, applied approach, and his ability to explain the intuition underlying the math, makes this text the first truly accessible, yet comprehensive, derivatives book.
Customer Reviews:
Derivatives by Robert A. Strong.......2007-07-29
This is a really good book for those who have no background in equity derivatives. It explains in a very concise and understandable layman's terms. Thank goodness for this book. It was recommended from my class instructor.
Poorly Written especially for a beginner.......2006-07-21
I am using this book for a financial derivatives class and it is very poorly written especially for someone new to derivatives.
** The book does not have complete definitions, explanations on topics or clear examples:
I have had to buy a couple of other books to understand some of the concepts he talks about. Either he will just define and let you figure out on your own why a trader might use that particular strategy or give you some information but no example of how it would work in real life.
** He jumps all over the place:
I found it difficult to understand some of the concepts as either he would abruptly stop talking on a topic and start on something else or mix things which I feel do not make a whole lot of sense. My classmates feel that he just collected a lot of material from other books or online and chopped and slashed the material till he reached some size. (maybe his publisher/editor told him there is a word limit ;) ).
** The questions in the back of the chapter are either not clear or not easily solvable(cannot be answered from the material in the chapter or deriving it from the material in the chapter)
I have had to spent time at CBOE, wikipedia and other websites to understand what he talking about and to answer the questions. (Had to do it for class)
After reading 6 chapters and spending countless hours trying to answer the questions at the end of the chapters, I feel that I have not gained anything from this book other than a list of topics to search google on.
Just to clarify, I am used to books on complex topics (3rd Masters) but have not seen a more confusing book.
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