Book Description
One of the most widely read books among active option traders around the world, Option Volatility & Pricing has been completely updated to reflect the most current developments and trends in option products and trading strategies.
Featuring:
- Pricing models
- Volatility considerations
- Basic and advanced trading strategies
- Risk management techniques
- And more!
Written in a clear, easy-to-understand fashion, Option Volatility & Pricing points out the key concepts essential to successful trading. Drawing on his experience as a professional trader, author Sheldon Natenberg examines both the theory and reality of option trading. He presents the foundations of option theory explaining how this theory can be used to identify and exploit trading opportunities. Option Volatility & Pricing teaches you to use a wide variety of trading strategies and shows you how to select the strategy that best fits your view of market conditions and individual risk tolerance.
New sections include:
- Expanded coverage of stock option
- Strategies for stock index futures and options
- A broader, more in-depth discussion volatility
- Analysis of volatility skews
- Intermarket spreading with options
Customer Reviews:
Amazing book!!.......2007-09-19
I heard that it's sort of understood that this book is the best well-wriiten and well-descriptive book. It would be a good choice for anyone who is interested in the Future and Option's market.
A must read.......2007-07-07
If you are interested in Options you cannot miss this one. Once you've read that book, everything else you could read about options will look simple and too obvious. You'll also keep that book close to you and review some of its chapters on a regular basis.
Traders book........2007-05-14
I have many option and derivative books. This book concentrates on trading and not the calculus behind the models. I found it an easier book to follow.
Deep journey on options investement strategies.......2007-05-07
Excellent reference book for all serious traders who intend to invest in a deep conscious ways with options.
Dry, but required reading!.......2007-04-09
If you want to learn about volatility, this is the book for you. This is more advanced than a basic volatility book, so beginners and advanced students of volatility will benefit.
Also, if you are actively trading options, this book is often quoted, so you may want to get it just so that you could follow what people are saying.
Book Description
Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula_ all presented in an easy-to-use dictionary format, with expert author commentary and ready-to-use programming code.
The Second Edition of this classic guide now includes more than 60 new option models and formulas…extensive tables providing an overview of all formulas…new examples and applications…and an updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets.
The volume also features several new chapters covering such things as: option sensitivities, discrete dividend, commodity options, and two chapters on numerical methods covering trees, finite difference and Monte Carlo Simulation.
The new edition of The Complete Guide to Option Pricing Formulas offers quick access to:
- Options Pricing Overview
- Black-Scholes-Merton
- Black-Scholes-Merton Greeks
- Analytical Formulas for American Options
- Exotic Options Single Asset
- Exotic Options on Two Assets
- Black-Scholes-Merton Adjustments and Alternatives
- Trees and Finite Difference Methods
- Monte Carlo Simulation
- Options on Stocks that Pay Discrete Dividends
- Commodity and Energy Options
- Interest Rate Derivatives
- Volatility and Correlation
- Distributions
- Some Useful Formulas: Interpolation, Interest Rates, and Risk-Reward Measures
This all-in-one options pricing guide contains a numerical example or a table with values for each option pricing formula. The book also includes a helpful glossary of notations, as well as an extensive bibliography of related books and articles.
Customer Reviews:
Every desk should have a copy: by a practitioner for practitioners.......2007-01-11
If you want to cook, buy the paperback edition of "The Joy of Cooking" (JoC) and low and behold, your cooking will improve. JoC is a recipe book, but as you work through it you learn principals for cooking that are widely applicable.
If you want to be in quantfin you need to buy The Complee Book of Option Pricing Formulas: it is the "Joy of Cooking" for options. As you work through the collection, the formulas, and look at the code (on a wonderful CDROM) low and behold you'll get better at all principals, concepts, and conceptions on how code works for option pricing formulas.
A word about errors: even critical editions of long-dead authors have errors in them, just look at the "errata" sheets from The Library of America critical editions.
For the first edition Espen Haug put his errata sheet immediately up on his website, and it also is widely available with a simple GOOGLE search (lots of people have copies on the various quant fin discussion boards). 10 seconds extra work versus whining away about how something isn't perfect? Oh, grow up. You rationally will be spending that much extra time on learning this code and digesting material in this book anyway.
Excellent in every way.
Excellent Book.......2006-05-12
A very exhaustive list of the formula for the most used option.
A must for all Option trader. The codes are very helpfull also.
A fundamental source in a pricing area.......2005-09-22
It's not expensive and almost complete. Don't show the Greeks' formulas, which is very important for practitioners.
Very helpful book.......2005-08-11
I have been using this book for many years now and it is absolutely fantastic. This book is useful for practical users as a first step towards option pricing. This book is not intented for critical analysis and derivation of the formulas (there are a zillion research papers for that). I like the approach of the book. It keeps it simple - input parameters, formula, result. It has many examples which helps me to calibrate my results.
Bottom line - if you have a PhD and strong math background read the source literature and research papers. For the rest of us this is "the" book.
Nice idea, but MANY errors.......2004-07-28
This book is the "standard" for providing straightforward code demonstrating various options pricing techniques, and perhaps deservedly so -- after all, it really doesn't have too many competitors in that niche. However, even in the course of the fairly straightforward applications I've had for this book (mostly simple equity Cox-Ross and Black-Scholes modeling), I've been shocked by the number of blatant mathematical errors (in the formulas for rho with distinct carry and risk-free rates, for instance). Clearly, the author and editors didn't bother to spend much time verifying that the formulas they cite are actually correct. (I'm actually shocked to see a fellow reviewer praise the "proofreading" -- I'm guessing he or she never actually had to use any of the formulas in this book!)
Bottom line -- if you're looking for a handy, compact reference of option pricing formulas, this is probably what you'll end up with. But be careful. It is SO frustrating to spend hours trying to figure out where you made a mistake in implementing one of these models, only to learn that you DIDN'T make a mistake -- the mistake was in your source. Consider yourself warned...
Book Description
A intuitive and powerful approach to mastering one of the most important options trading tools
In 1997, the Nobel Prize in Economics was awarded for the work that led to Black-Scholes Options-Pricing Theory. Black-Scholes has become the dominant way of understanding the relationships among options prices, stock forecasts, and expected stock-market volatility. Option Pricing: Black-Scholes Made Easy, a book and interactive, animated tutorial, makes this sophisticated way of thinking accessible to everyday traders. Animations and simulations present the material in a simple, visual and interactive manner. They allow readers to understand easily and intuitively the concepts and outcomes of Black-Scholes and probability distributions. Black-Scholes Options-Pricing Theory revealed that investing in options is a probability game. Option Pricing: Black-Scholes Made Easy shows you your odds.
Jerry Marlow (New York, NY) is a freelance financial writer and marketing consultant. For investment firms, he creates marketing and educational presentation that bridge the gap between how sophisticated financial mangers think about investing and how the firms' clients think about investing.
Customer Reviews:
A Must-Have for Any Options Trader.......2007-10-02
This book makes it relatively easy to understand the mathematical principles behind the Black-Scholes theory. The CD guides you through various scenarios and plots everything for you. You don't have to be a mathematician with a PhD from the University of Chicago to appreciate the explanations and diagrams depicted. A "must-have" for every options trader or investor - a definite "keeper"!
Outstanding!.......2003-01-16
Fantastic software!
The book is really a step by step tutorial on how to use the
probability forecasting software that is on the CD.
Excellent learning tool as well as a decision-analysis tool for investments.
Really great. Loved it. Learned a lot!
Many thanks to the author.
One Caution: It doesn't work on a Macintosh
(unless you have PC emulation software for your Mac).
Cheers,
---Freddy
Informative book read..........2002-08-14
I was skeptical to buy it since there were more than 100 different books available on options... but I am glad I choose this book. Its easy and the software developed beats anything I have seen yet... All the free softwares available are excel based but do not offer such insight on the subject as this book.
I would strongly recommend it to anyone. Only hitch is that the software is bit slow to run but it performs...
Can't praise this interactive book highly enough.......2002-05-10
Any student or trainee having to study this topic really should buy this tutorial.
Having a degree in Mathematics and a professional accountancy qualification did not prepare me for the explanations of Black Scholes to be found in most text books.
They may have got a Nobel prize for their option pricing model but Black and Scholes were never going to get an award for clarity of explanation.
Having grappled with this area for a few months, I decided I needed a little more innovative help; hence my purchase of Jerry Marlow's interactive tutorial.
Two days later and I feel I could go for the next Nobel prize myself!
So many things click into place so quickly, it's marvellous.
Jerry gives his email address which I had to resort to for one query. He answered most helpfully within a couple of hours.
I suspect that it helps to have had an overview appreciation of the area before starting the tutorial but this shouldn't deter first timers from starting with this.
First Rate.......2002-02-08
The visual presentation the book offers combined with the interactive CD-ROM make this indispensable to anyone who really wants to understand how option pricing works. It's right here on my desk for easy and quick reference - which is my advice to everyone!
Book Description
The Convertible Bonds (CB) market is growing all the time. To date, over one trillion dollars worth of CBs are in circulation. Corporations are finding this source of fund-raising more and more attractive. And for different reasons, the buyers are finding CBs increasingly attractive investment vehicles.
There are few works on the subject of pricing convertible bonds. Most books discussing derivative products cover all details of pricing futures and options in minute detail. Convertible bonds and warrants are usually mentioned as an after thought in the latter chapters. This is the first book to address the very complex issue of pricing convertible bonds.
Kevin Connolly, Researcher of complex volatility trading for Refco Overseas Ltd. and Lecturer at City University Business School and London Guildhall University, has put together an excellent treatment of pricing convertible bonds, delving into topics such as:
- Returns distributions and associated descriptive statistics
- Modeling the share price process
- The basic convertible bond model
- Introducing the complications
- Convertible bond sensitivities
- Using equity warrant models to price CBs
- Refix clauses
Fund managers, hedge players/traders, undergraduates and postgraduates will find this book invaluable. Easy to understand software on Microsoft Excel spreadsheets is also supplied.
Customer Reviews:
Close to useless.......2006-02-11
Sometimes reads like a smorgasbord of topics and facts. Don't see the key topics and themese show through in a consistent manner. Never even talks about other models and risk management/hedging challenges in these respects...
The best of a very bad bunch.......2003-11-10
It's amazing that nobody has written a decent book on convertible bonds. This is the best in a very weak selection.
The book essentially starts at Chapter 6. If he wanted to write a book on modelling in excel he should have thougt about doing it before Jackson and Staunton (Modelling in Excel and vba). However, there isn't any vba here. How another reviewer can say that the pace accelerates enough to keep the attention of the expert is crazy, Chapters 1-5 are very irritating; as I say, they might be fine in another book.
The author's avoidance of vba is a drawback. Why not? It is a logical thing to do.
In the last couple of chapters, the author stops doing excel and just shows the graphs. He even freely refers to a embeded tree spreadsheet and then nonchalently points out that it isn't on the disk provided. Why not?
The real reason is that the binomial method becomes completely unworkable as soon as one introduces complications. One needs to use finite difference methods. FDMs are not even mentioned in this book. The author places his presentation as the state of the art, it isn't. I learned more in 4 pages of one of Wilmott's books (Mr. Numerical DE Solver) [Paul WIlmott on Quantitative Finance, section on convertible bonds] than I did from this book.
If you are interested in building models of convertibles, that can take into account any but the most vanilla features, this is not the place. For a conceptual non-quantitative overview, fine.
Excellent........2002-06-17
This is a very good book. Connolly starts from the beginning, assuming you know nothing, but accelerates at just the right rate to hang on to beginners and not to annoy people who already know the basics. Admittedly, if you're a quant you'll know all this stuff (anyway, if you're already a quant you shouldn't need to buy a book on the subject in the first place). If you're not a quant, it's a fine introduction to how to model convertibles. In fact, there's enough information here for you to have a go at writing your own toy model that takes into account most of the complexities of CBs (including puts and resets), although you'd be a trifle crazy - or extremely confident - to start trading off a model you implemented *only* having read this book.
This is an excellent book for anyone who is a user of CB models, who understands the inputs and outputs, and who wants to know more about what's going on inside the model "black box".
Useful, practical, essential, but MORE Please!.......2001-08-15
Connolly has written a useful, practical book for those who are attempting to price these (increasingly) complex instruments. For more abstract or academic treatments of the topic, seek other sources and the innumerable academic journals of quant finance. But for a nut-work ýgotta-price-this-bugger-ýcause-my-boss-asked-me-to-and-Iým-the-quant-guy-in-the-shopý this guide, while not strictly a ýcookbook,ý is indispensable. Although it begins at a relatively basic level, it clearly and concisely explains every technique from the simple (y = mx + b) and then step-by-step ratchets up to the Excel-samuri level (MIN and MAX tests after multiple operations of option pricing trees (bi-nomial and tri-nomial)).
I limited my rating to four stars, however, because Connolly only mentions in passing the available (expensive) software-house products that do many of the same things his example spreadsheets do. Fin software needs critics, and I can think of no one better placed than the author to examine them and give front-line quant analysts his views.
In addition, like most worker bees, I try never to reinvent the wheel (programming in C++ and VB or anything else for this kinda thing is undiluted soul-destroying tedium), but at the same time want to thoroughly check out the foundational theory and techniques someone applied before I risk my career on someone elseýs work. In this case, a good list of the academic sources and current financial literature on the topic would have been a useful and welcome addition to this slender volume.
I suppose a final criticism is that we have all seen the exponential growth of credit derivatives in the past few years. Connollyýs next edition will need to address the topic of credit derivatives in relation to convertible bonds, as their use in combination with CBs provides alternate hedging, investment, and speculative strategies not explicitly considered in this book.
not enough.......2001-08-08
A good start, but not enough detail or complexity. Unfortunately, it doesn't seem like there is anything better.
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
Exotic and hybrid options are today's hottest risk management tools. in this information-packed, essential guidebook. Bhansali provides readers with hands-on techniques and strategies for structuring and managing a portfolio containing exotic options; a discussion of correlation and its vital link to pricing options; and invaluable computer code for pricing.
Customer Reviews:
Pricing And Managing Exotic And Hybrid Options.......2001-06-23
One of the best books on this topic. It is a very practical book for someone with practical background. No sigma algebra to confuse you, and you do not have to know Girsanov to understand the quanto effect. You just focus on those tough issues you are running into everyday: correlations, long dated FX, cross Gamma hedging, strategic risk management for an exotic book, transaction cost in illiquide market, and so on. In addition, last paragraph of the book is the every reason make me think why this book stands out among these many books.
Excellent reference book for structured derivatives!.......2001-04-17
I find this book extremely useful in my job. It covers almost all aspects of exotic and hybrid instruments: the real life examples, theory behind the pricing models, implementation using different numerical methods, hedging and risk management issues, a good appendix on the basic math stuff and even a sample VBA code to do multivariate MC. Most importantly, the author took a practitioner's point of view, which makes the materials much easier to be understood and applied. However, I did encounter quite a few errors inside some of the formulas. Just name a few, Eq 3.15 and 3.18 on pg 53, Eq 3.142 on pg 98 and Eq H.61 on pg 336. However, none of them is serious (more like a typo to me). In addition, I think it is more important to get the idea right. You can always double check the formula against any math reference book. Overall, I feel it is an excellent reference book for anyone with a serious interest in structured derivatives.
Book Description
Praise for Option Pricing Models & Volatility Using Excel-VBA
"Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers."
--Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University
"This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library."
--Espen Gaarder Haug, option trader, philosopher, nd author of Derivatives Models on Models
"I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH."
--Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Customer Reviews:
This books can save you a lot of bucks.......2007-09-07
I did an Excel-VBA course on Option and Volatility models last year. The cource was pretty good (and expensive). After having read this book, I think I could have saved approx. $ 1150 when this book would have been available back then. However, don't be fooled, this is not "Excel-VBA for dummies".
One of the best books in 2007.......2007-07-18
This book covers a topic not solved via VBA til now! It's easy to read with all the exercises solved by the authors. I strongly raccomand this book to all the people dealing with option pricing. This is for me the best book written in the last years!
Useful Resource.......2007-06-27
Good examples. Very easy to follow. Clearly explained. CD with everything you need. I liked it a lot.
Pretty Good Book.......2007-05-21
Options and Volatility are fairly technical subjects. Anyone expecting to read this book should know what they are getting themselves into. The background on the different models are presented, but the reader should be familiar with some of the material or should have a decent mathematical background. This book doesn't waste time with too much background material, and jumps straight to the model/code format. The VBA part is pretty straight-forward and I think the code is presented pretty well. Prior to this book, I would never have thought to program options or volatility codes in VBA as there are other more sophisticated programs that can be used (e.g. MATLAB). However, VBA comes with Excel, which every person probably has. In that light, programming these models in VBA will make it more accessible to a wider audience and the reader can learn tricks that can be applied to other modeling tasks.
Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance).......2007-05-16
The book is filled with cases written in Excel-VBA languages for computing volatility on all its forms, what is not often seen in the quantitative finance literature. To my knowledge, there is almost no other book that shows and describes how to calibrate stochastic models. This book is a must to anyone interested in quantitative finance.
Pr. François-Éric Racicot, Ph.D.
Professor of quantitative finance
Department of Business Administration
University of Quebec - Outaouais (UQO)
Book Description
1
Statistics of Financial Markets presents in a vivid yet concise style the necessary statistical and mathematical background for Financial Engineers and introduces to the main ideas in mathematical finance and financial statistics. Topics covered are, among others, option valuation, financial time series analysis, value-at-risk, copulas, and statistics of the extremes.
The underlying structure of the book, i.e. basic tools in mathematical finance, financial time series analysis and applications to given problems of financial markets, allows the book to be used as a basis for lectures, seminars and even crash courses on the topic.
A full set of transparencies can be downloaded using the registration card at the back of the book. The registration card also allows the use of the e-book version with links to world wide computing servers.
Customer Reviews:
Great intutive introduction to stochastic calculus.......2006-06-17
This book was such a relief after going through tens of books/lectures notes on stochastic calculus. Most math books give the theory behind Ito calculus (martingales, measure theory etc.), but fail to give the motivation and reasoning behind abstract definitions. This book does an excellent job in deriving many seemingly-complicated math formulas (or, theorems) using intuitive terms. It is an excellent read for people who have a reasonable background in probability theory, and are wishing to learn stochastic calculus (plus finance). I strongly recommend it to anyone who wants to learn the rudiments of Ito integral and see its applications in finance.
Great introduction to the Value at Risk measures.......2005-10-14
Got the friendly yellow paperback version. The book is in three major parts; Options, Time series and then Value at Risk.
The first section starts out well with an overview of Stochastic Processes and then moves on to Stochastic Integrals and Differential Equations. All of this is motivation to help with the pricing of Options, starting with European, then American and moving onto Exotics and Bond Options. It covers all the major points, though it is a little limited in the Exotics, it does have a good references to more thorough works.
The second section on time series works with ARIMA, ARCH and GARCH models.
The third section (labeled Selected Financial Applications) is mostly about the VAR though is has some really good commentary on the Volatility of Option Portfolios.
An added bonus is that you can download the PDF version of the book, and all the data for the examples from the web, with quite a neat one-time license.
I would recommend this book to people needing a good overview of the subjects listed above, and as a handy reference.
Book Description
Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field.
In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP.
This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward
Book Description
While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Download Description
While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don't appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Customer Reviews:
READ THE BACK PAGE & PREFACE!.......2006-10-17
To all 1* reviewers, moaning about this being a "superficial" book - READ THE BACK PAGE, quote "...they offer you a LESS TECHNICAL look at how portfolio selection, risk management & option pricing modeling should and can be undertaken..."
Now, READ THE PREFACE: page xii "We must admit our intent at the outset was to provide a NON-TECHNICAL treatment of the topic."
If you can't understand who this book is intended for, are you qualified to write a review? To dismiss this as a book for "name droppers" reflects an arrogant misunderstanding. Everyone has to start somewhere on the learning curve.
In terms of its stated aim, this book does an excellent job. There are hundreds of thousands of investment "professionals" who have never heard of stable Paretian distributions or copulas, who would benefit from education. And, yes it is printed on cheap paper. But that makes it very light & easy to carry round! Is it overpriced? Of course - nothing new there. But savvy buyers don't pay full price anyway.
Little Help For the Ordinary Investing Stiff.......2006-09-21
As a reader of Rachev and co's earlier work 'Stable Paretian Models in Finance' this work is admittedly about halfway down from the mathematical stratosphere where the former floated. If anyone knows of a work which can clearly and convincingly explain the implications of this work for the mug punter please let me know at jenpalex@actapple.org.au.
Paul Mason
Too superficial to be of any value........2006-08-16
I purchased this book because I was told that it "treated" important topics in the statistical analysis of fat-tailed distributions of price movements--namely, copulas, modeling of VaR under non-normal stable distributions, etc. Unfortunately, these topics are given little substantive coverage. The book is basically a long survey article with little practical instruction for HOW to deal with fat-tailed distributions. The one strong point of the book is the extensive list of references. Mainly though, the book suffers from the general sense of "math anxiety" that is so prevalent throught the population. Bottom line, if you don't know enough math to deal with the technicalities that the authors so studiously avoid, you can't do anything useful with the modeling of fat-tailed distributions. Consequently, I cannot think of any audience for whom this book would be useful, other than someone wishing to do a literature search of the substantive work in this area.
look inside.......2006-06-06
One can read the ToC and the first chapter (introduction) with Amazon's "look inside" feature/service. I think this lets one make good estimate of the book's level and depth of coverage, and to decide if the book meets one's needs.
statistical data miner.......2006-03-22
I unfortunately learned too late that the negative review of Jukka Taskinen was understatement.
The "book" is a series of shallow, disjointed chapters that just touch on the important topics. It superficially skims a wide range of issues so that the reader can be a term-dropping jack-of-all-trades but master of none.
I was partially lulled by its availability as a .pdf, which is convenient, and its title and purported thesis of heavy-tailed modeling, which really is a very important thesis but is just a red herring here: the book provides very superficial treatment of this concept throughout, without really building a solid methodological case for it (even though its true, which is why its clever and deceptive marketing, rather than a scholarly OR useful practitioner work). It provides no new insight generally, and the only new insight to me was that I am beginning to see what passes as a typical of Fabozzi publication. I'm angry I wasted the $$.
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Recommended Books
- History: Fiction or Science
- Bump in the Night
- Vitruvius: 'Ten Books on Architecture'
- Advances in Pulmonary Fibrosis
- Atlas of Mouse Development
- Classic English Interiors
- Alister MacKenzie's Cypress Point Club
- Nature and the Idea of a Man-Made World: An Investigation into the Evolutionary Roots of Form and Or
- Waterworks: A Photographic Journey through New York's Hidden Water System
- A Presumption of Death: A New Lord Peter Wimsey/Harriet Vane Mystery
General
| Popular Economics
| Business & Investing
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Options as a Strategic Investment
The Bible of Options Strategies: The Definitive Guide for Practical Trading Strategies
Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications (New York Institute of Finance)
Options Made Easy: Your Guide to Profitable Trading (2nd Edition)
Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance)
