Book Description
A groundbreaking collection on currency derivatives, including pricing theory and hedging applications.
"David DeRosa has assembled an outstanding collection of works on foreign exchange derivatives. It surely will become required reading for both students and option traders."-Mark B. Garman President, Financial Engineering Associates, Inc. Emeritus Professor, University of California, Berkeley.
"A comprehensive selection of the major references in currency option pricing."-Nassim Taleb. Senior trading advisor, Paribas Author, Dynamic Hedging: Managing Vanilla and Exotic Options.
"A useful compilation of articles on currency derivatives, going from the essential to the esoteric."-Philippe Jorion Professor of Finance, University of California, Irvine Author, Value at Risk: The New Benchmark for Controlling Market Risk.
Every investment practitioner knows of the enormous impact that the Black-Scholes option pricing model has had on investment and derivatives markets. The success of the theory in understanding options on equity, equity index, and fixed- income markets is common knowledge. Yet, comparatively few professionals are aware that the theory's greatest successes may have been in the derivatives market for foreign exchange. Perhaps this is not surprising because the foreign exchange market is a professional trading arena that is closed virtually to all but institutional participants. Nevertheless, the world's currency markets have proven to be an almost ideal testing and development ground for new derivative instruments.
This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional traders in the dealing rooms of London, New York, Tokyo, and Singapore.
The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options, Asian options, and various sorts of quanto options.
Customer Reviews:
Excellent choice of papers!.......2001-08-18
DeRosa has picked excellent papers. If one reads the papers in detail, the currency derivatives literature, as well as related derivatives literature, becomes very easy to understand.
Comprehensive.......1999-06-19
This book presents highly technical papers on diverse topics from variuous academics. It would be very helpful to anyone looking to understand theoretical aspects of FX derivatives. Since most papers are written by different authors, notation is not consistent. In addition, academics do not always write like Hemingway. Nevertheless, the book covers everyhting from vanillas to exotics very well.
Book Description
Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods.
Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.
Download Description
Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods.
Book Description
An in-deph review of the tremendous risk and volatility in bank financial management. Financial Risk Management in Banking provides a practical and comprehensive overview of aggressive asset and liability management (ALM) which highlights the nuances that set ALM apart from basic financial concepts and practices as they are taught even at the MBA level. It demonstrates how ALM apart from basic financial concepts and practices as they are taught even at the MBA level. It demonstrates how ALM can strengthen the capital position of today's financial institution. Topics include: how accounting concepts can interfere with ALM; currency and international funds risk; the multi-dimensional aspects of bank financial risk; the relationship between cash flow, market value and risk.
Customer Reviews:
risk management.......2007-03-16
It is a very useful book for the people who don't know anything about risk management and especially financial risk management in banks.
An excellent primer on ALM........2003-05-29
Asset liability management can get rather complicated. The authors treat this subject in a very user friendly way that the layperson can understand, and the technician can get good guidance out of.
They cover all the basics really well. After studying this book, you will have a very good understanding of gap analysis, duration, shareholder value added, liquidity management, and other related subject.
Simply perfect.......2003-04-23
The book offers a perfectly simple approach to ALM in banking. I cannot imagine a more concise framework for this subject. The authors fully attain their objective of providing fun reading for a banking subject,something really out of this world.
Excellent introductory and relatively adv risk mgmt material.......1999-05-28
The author gives a brief history of the banking history, mainly in the USA and thus motivates the introduction of the several subsequent regulations put in place, and of the different methods os assesing risk and optimising capital allocation. The book excells in simple yet powerful risk management techniques for banks. I have recommended (and, in fact some times given away) this book both to my students and my colleagues in the asset management industry.
Book Description
Written by leading academics and practitioners in the field of financial mathematics, the purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topics in derivative pricing and risk management in a style that is engaging, accessible and self-instructional. The book contains a wide spectrum of problems, worked-out solutions, detailed methodologies and applied mathematical techniques for which anyone planning to make a serious career in quantitative finance must master. In fact, core portions of the books material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Masters program in mathematical finance. As a bonus to the reader, the book also gives a detailed exposition on new cutting-edge theoretical techniques with many results in pricing theory that are published here for the first time.
*Includes easy-to-implement VB/VBA numerical software libraries
*Proceeds from simple to complex in approaching pricing and risk management problems
*Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives
Customer Reviews:
A Must Buy For Any Quant.......2006-05-03
It is definitely advanced but is not intimidating. Any great book provides the reader with a base of knowledge and then builds from there. Being somewhat familiar with Dr. Campolieti's work, I can definitely say that he is a pioneer in this field and will continue to do great things for analytical finance. It is written using very consistent notation and in a properly paced fashion. This is especially important for those that are new to quantitative finance. The theoretical component of the book provides the reader with a solid base for experimenting with the Visual Basic for Applications (VBA) projects. What I really liked about the hands-on programming component of this book is that it shows the reader that algorithms and results can be rapidly implemented using Excel as the interface and VBA for coding. This dramatically reduces learning time since most financial practioners are already very familiar and comfortable with Excel. Readers that find programming a challenge will benefit from the numerous and well documented projects. Having worked in actuarial, risk management and trading contexts, I can honestly say that being able to deploy analytical applications on the fly is an enormous advantage. Let's not forget that the authors have bundled with this book their code libraries that can be used (perpetually) by the reader independent of the content / projects in this book. This alone is worth more than the book's sticker price.
In terms of more advanced readers, the material presented in this book is not trivial. It elegantly presents difficult topics on many levels. A good understanding of linear algebra, probability, statistics and differential equations will make the material enjoyable. For those not terribly familiar with the "finance" part of mathematical finance, I highly recommend any of John Hull's derivative books as a quick first read and primer on the many financial concepts presented here.
Excellent project implementations and advanced concepts.......2006-04-23
This is a unique book which uses projects to illustrate some of the very complex ideas involved with the pricing of derivatives and the measurement of risk along with some advanced theory. The book builds up from fundamental theory which is so often taken for granted and is written in a clear style. However a sound understanding of mathematical concepts is required.This makes the book desirable as a text book. It also has more advanced concepts which over time can be adopted by practitioners to overcome the basic skewness limitations of the commonly used Black Scholes framework. Of particular interest are the projects that form the latter part of the book. The book is one of the few for example that takes the complexity of short term interest rate models and demonstrates their actual implementation. The attached implementation of these projects on CD ROM along with the reusable mathematical library presents excellent value and makes the book truly unique.
Potential, but lacking..........2006-02-18
They came close with this book, but unfortunately, the first part of the book is just a bit too theoretical for the real world.
If the authors included some real world examples to bring the theory into practice, the book would be a real winner.
The second part of the book again does not present any examples for the projects.
Not looking for cookbook-recipe book, but examples would have made the second part of this book more of a winner.
I am still debating on opening the CD and keeping the book...I will have to digest the theory and make the decision from that point.
Not advanced and not pedagogical........2006-01-05
The word advanced in the book's title is probably adopted to suit the lack of pedagogy in the language and structure. There is nothing advanced about the topics, just standard pricing and risk theory which can be learned as a sequel to Hull by any average mathematics or theoretical physics undergraduates comfortable with contour integrals and green's functions. The math needed goes no further than that: you won't need to know neither measure theory nor any geometry, just your good old real and complex calculus. Yet the approach used still makes it seem that you are tackling something really articulate. Quite disappointing.
Besides this, I believe one good thing about this book is the large amount of projects in its second part. Still, I believe it would have been more sensical to adopt the lingua franca of quants, i.e. C++ (although VBA is also useful to know).
If you want to get to advanced topics in pricing I would follow this chain of books:
-Shreve's Volume II of Stochastic Calculus for Finance,
-Schouten's little book on Levy processes in Finance,
-Cont's book on Financial models with jumps,
-Schouten, Wilmott et al.'s Exotic Options Pricing and Advanced Levy Models.
For the C++ part I think Duffy's is the best.
After these be ready to tackle cutting edge research papers and practice.
Of course these are only opinions, you may find it different.
Book Description
The book inquires the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade models. The text also introduces a new framework for estimation and hypothesis testing that extends earlier work in the field substantially. Several market microstructure models in the spirit of Easley, Kiefer, O'Hara and Paperman (Journal of Finance, 1996) are reviewed. The common theme of these papers is the focus on the consequences of information based trading on the price setting behaviour of the market maker. Assuming that some traders have private information about a security's true value, a number of relations between observable quantities like the spread, the volume, timing of trades and volatility of asset prices can be established. The authors introduce a number of improved methods for estimation and hypothesis testing for sequential trade models and apply this econometric framework employing a high frequency transaction data set for a number of stocks traded on the New York Stock Exchange during August 1996. All results that are necessary for understanding the empirical framework introduced are derived step-by-step. The text is ideally suited as a reference work on old and new results as well as a textbook for graduate courses on Market Microstructure Theory, Empirical Methods in Finance or Econometrics.
Average customer rating:
- A must buy for those who want to understand derivatives
- Too technical with few clear examples
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Futures and Options: Theory and Applications (Current Issues in Finance Series)
Hans R. Stoll , and
Robert E. Whaley
Manufacturer: Thomson South-Western
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Customer Reviews:
A must buy for those who want to understand derivatives.......1998-10-05
This book is truly one of the best of its kind. It introduces all the basics of futures and options that you need to know and also presents the mathematical details in a reasonable way. The text is extremely clear and easy to read and allows you to really understand the technical details of difficult subjects like option pricing. I was surprised to find step by step calculations and derivations of all necessary mathematical results. This is very essential when you want to obtain a solid understanding of derivatives. Derivatives books like that of John C. Hull are full of real world examples. This is something you won't find in this book. Nevertheless it is a great book for the beginner as well as the advanced. It is a must buy!
Too technical with few clear examples.......1998-10-01
This book contains the most of the relevant topics regarding futures, options and derivatives. However, it lacks a discussion of interest rate swaps.
The most glaring flaw of the book is its technical depth without accompanying examples that are clear and explanatory. Furthermore, the index in the back of the book is not cross-referenced well to the topics you would expect (and are contained) in the book.
I would highly suggest purchasing an alternative book on the same topic by John C. Hull, Options, Futures and Derivatives. Hull's book contains much clearer examples without losing the technical theory necessary to obtain a complete understanding of the topic.
Average customer rating:
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Portfolio Management: Theory and Applications
James L Farrell
Manufacturer: McGraw-Hill/Irwin
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ASIN: 0070200823 |
Book Description
This text presents the modern theories of portfolio management and clearly explains and illustrates their practical applications. It avoids elaborate discussions of narrowly-based investment techniques. Instead, the exposition is clear, practical, and enriched with illustrations and examples. The text is unique in its presentation of a systematic approach to portfolio management, relying on modern techniques and emphasizing the need for greater structure and discipline in the investment process.
Customer Reviews:
Very intuitive.......2000-06-23
It's a very intuitive book that don't explore very much on mathematics but gives a very good idea about how are things in portfolio management. I recommend it for undergraduates and for portfolio management first approach students.
Average customer rating:
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Investments: Theory and Applications (Harcourt Series in Computer Technology)
Mark Hirschey
Manufacturer: South-Western College Pub
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ASIN: 0030268877 |
Book Description
A new text from an experienced author. Hirschey adopts a new and unique approach to investments where both theory and practice are studied as a useful guide to a "random walk down Wall Street" to show how real-world behavior reflects the theory.
Book Description
Project Flexibility, Agency, and Competition exemplifies how the development and application of the real options paradigm has revolutionized project evaluation and corporate strategy. The first part of the book focuses on the valuation and the exercise of corporate real options, examining situations in which future project cash flows are (at least partially) controllable by management. Part II deals with agency issues, contracts, and incentives, concentrating on agency problems that arise in a dynamic setting when cash flows are controllable and decision makers have private information. Part III deals with the determination of optimal policies and the valuation of flexibility in natural resource investments. The final part of the book looks at strategic options and product market competition, particularly at reactions of outside parties where strategic interactions between agents are important. These reactions naturally lead to game-theoretic or industry equilibrium valuation models. Project Flexibility, Agency, and Competition is well-suited for corporate executives and students of finance, economics, and engineering management that focus on issues in budgeting or financial theory, and for courses in finance, strategy, and management that deal with options and strategy.
Customer Reviews:
Good book, learnt a lot........2001-07-09
Actually, I'd give it 3.5 stars. Excellent exposition and developement of material. However, there are quite a few typo's that would throw the reader with less math off the trail (and possibly some with good math). Good coverage of different types of cases, underlying math, real world appications and properties of solutions. Personally, I would have preferred all the rigorous material (including math proofs) in the one book rather than making statements and referring to seminal real options papers very often. Some credit is due here, however, as there are some proofs in appendices at the end of each chapter - I think these could have gone into a little more detail and depth - (I say this only because there isn't the vast library of books on this subject that exists for more mature disciplines - guess I was looking for a more comprehensive reference.) I have read Trigeorgis' other books so this was not an introduction. Liked the book, learnt a lot and am applying it to real life projects, however had to learn a fair bit on my own too.
Cutting edge but very challenging mathematically.......2000-07-02
This book gives you the latest update on what's going on in real options theory. Brilliant throughout, but its really too hard mathematically to be of much value for someone who's not a math-person. I found the chapter on the Antamina mine to be immensely interesting. It was originally used as a case study on options theory at Harvard and shows you how these academics went about valuing a peruvian mine. It's a very valuable chapter because it is focused on the practical side of real options theory. The chapter on "Rules of thumb for capital budgeting" didn't make much sense at all to me. The rest of the chapters are no easy read, but if you feel up to it mathematically, you're going to find this a very interesting book. If your not that much into mathematics, I think it's going to leave you rather frustrated. This book cannot have been meant as a guide for practitioners, it's more of a field day for academics, that's my impression at least.
The book of the year 2000 on real options !.......2000-04-22
OK, I admit the year has not ended yet, but that doesn't mean you mus not read this: now! This book is co-edited by Trigeorgis, one of the most proeminent author in the area. It deals with all the new developements on real options. It's objective is to give the researcher or student a key to enter the world of real options. Contributions are worldwide, mainly by people with a strong mathematical background. This makes it sometime difficult to understand for more management focused readers. However the book by the quality of the writting and the new ideas it brings, keeps you awake like a thriller. To be own by any person who want's to know about the future (nearly present) of corporate finance.
Book Description
Economic Analysis of Investment Operations presents general principles and methodologies that are applicable across sectors, including quantitative risk analysis. It provides both theory and practice about how to evaluate transportation, health, and education projects; and explains how to assess the environmental impact of projects. It provides a fresh look at the tools of project analysis and explains how to apply quantitative analysis of costs and benefits from multiple perspectives-- including the private sector, the public sector, bankers, and the country as a whole. The examples used to illustrate the principles are drawn from actual projects of the World Bank and other institutions.
Customer Reviews:
It was functional.......2007-01-05
The book was required for a class and fit well with the objectives of that course
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Options on Foreign Exchange (Wiley Series in Financial Engineering)
Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach
Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance)
FX Options and Structured Products (The Wiley Finance Series)
mastering foreign exchange & currency options: a practical guide to the new marketplace (2nd Edition) (Financial Times Series)
