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.
Customer Reviews:
The very best pricing manual.......2007-09-23
I bought a second copy of this book after loaning it to too many people to know who had had it last.
The book is not light reading, is highly technical and has more than a little math to comprehend. But, it is worth it.
The strategic thinking is very focused.
If you are stuck on how to price your product or how to combat price competition, read this book.
Looking for guidance/framework on how to price our products ..........2007-03-08
We have the challenge of taking new products and services to the marketplace and really were looking form some guidance on a place to start. The area we are working in is really developing a new market as well. So we were wondering "What Price do we place on these product and services?"
We could not afford the experts on pricing (aka Strategic Pricing Group now part of The Monitor Group). And were looking for a place to start. All research including reviews from Amazon pointed us to start with this book. To myself and our endeavor, it the first 3 weeks of owning the book, I have read several chapters multiple times and the foundation framework on pricing is shares has already proven to be worth many times the price of the book.
On top of it, it is easy to read. Thanks to the people who took the time to make this book.
Great Book.......2007-02-18
This book is a great guide to the topic of pricing. I'm an MBA student and I believe students as well as professionals can benefit from reading this book. It contains structures and frameworks to work out a tailored pricing strategy and they all make sense. Lots of good examples from business practice illustrate the application of the theories.
The book is relatively quantitative for a marketing book, which I find great because there is no argumentation based on psychology and belief, but on quantifiable parameters - one can see the consulting practice of the authors.
What the book pretty much lacks is a citing of new academic research studies of the topics discussed. There are extensive references, however.
All in all a great book to newcomers in pricing as well as experienced pricers.
Excellant........2007-02-11
This is one of the best books in pricing. My Pricing professor recommended that I buy this and said that marketing managers regularly refer to this book in practice. This is a great buy.
The Strategy and Tactics of Pricing: A Guide to Growing More Profitably (4th Edition) .......2007-02-06
Worth buying it. Good and useful material.
Book Description
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.
The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.
The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Customer Reviews:
Best book on interest rate models.......2002-12-14
This is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates.
The best book I have read on the subject.......2002-05-06
With all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever read on the subject.
Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it.
I would just say that this is certainly a must have in the field.
New stuff and nice overview: hard to beat!.......2002-01-17
In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned.
I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.
Sure enough I'm not disappointed.
1-factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.
The chapter on 2-f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees!
The HJM chapter size is OK. I agree - the useful models embedded in HJM are short rate models and market models.
Market models - these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion! Smile modeling begins with a brilliant tour and ends with Brigo-Mercurio's new approach - the mixing dynamics - deserving a whole chapter if expanded.
The detailed explanation on products is a much welcome original addition. Cross currency derivatives!
Quotes - as in Brigo's old work - are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price.
Still there's room for improvements - more "CIR2++"! Something on 3-f models. Historical estimation of the correlation matrix and low-rank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9 - other interest rate models - sounds out of place and can be suppressed for other things.
This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this.
Nicely written overview of interest rate models.......2001-12-15
This recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models"
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market gave them a
practical view on the subject which markes this book very interesting.
The book contains a "rational" catalogue of models used in practice ( as opposed to models which are impossible to implement!).
In contrast with academic books on interest rate modeling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models
(BGM -Jamshidian models) which reflects the current market practice. This is a positive point since there are not many books with details on implementing and using these "market models".
Part II: Interest rate models in practice is particularly useful because it deals with implementation and calibration which, as any practitioner knows, are important and usually delicate issues.
However calibration issues are dealt with somewhat lightly, especially recent developments on modeling cap/swaption smiles
are not included here.
This book can also be used for a graduate level/PhD course on interest rate models.
There are a lot of numerical examples in the book and mathematics is kept to the necessary level while keeping the
approach both rigorous and understandable.
Overall, it is one of the best books written on the subject.
I highly recommend it to PhD students, quants and researchers interested in this field.
Well written and useful book.......2001-11-04
In my humble opinion, this is the best book on Interest Rate modeling out there. The writing style is clear and focused and the appendices are fantastic. The book is rigorous but someone with some background in Stochastic Calculus will find it easy to follow. If you need refresher, dont worry the authors have you covered, see the appendix on Stochastic Calculus. Not an introductory book. Very exciting book.
Book Description
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor.
The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas.
Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory.
The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Customer Reviews:
I wanted to love this book.......2007-07-10
It's probably true that the first book you study about a subject inevitably determines your approach to it afterwards. My first book on asset pricing was Duffie's Dynamic Asset Pricing Theory (2nd ed), and it has perhaps forever biased my judgment. Given this caveat, I wanted to like this book. For econometricians, the stochastic discount approach is increasingly important, and Cochrane's articles are engaging and well written. But, no matter what the blurbs on the back cover of the book say, or what some Amazon reviewers claim, this is a flawed book. It's true that "the hurdles of asset pricing are really conceptual rather than mathematical" (last sentence in the book preface), but this is no excuse for being sloppy, and sloppiness in this book abounds. Assumptions are not clear; theorems are imprecisely stated. Continuous-time formulations pop up without explanation of the variables or of the motivation behind them. Expected-utility derivations are the main tool used by the author, but the connection between no-arbitrage, utility maximization and equilibrium are not clear, and one is led to think that the stochastic discount is unique to this line of reasoning. On the positive side, there are many interesting results and many intuitive explanations. My recommendation: i) read Duffie or Pliska first; ii) take the plunge and download Hansen & Richard's 1987 Econometrica paper (very dense); iii) read Cochrane, but reobtain all the results independently from what you have learned in in i) and ii).
The best.......2007-05-13
Upon recommendation by a friend of the author, I ordered this book through amazon. I read the entire book from cover to cover in a month. I am onto my second pass through the book.
Cochrane organizes pricing theories from CAPM to APT to derivative pricing, all of which I have learned through disparate sources, around a central theme: consumption based pricing theory. Then he goes on explaining the equivalence among these pricing theories, and indicate situations where these theories may best be used.
The author balances the theory with equal emphasis on empirical studies, from estimation methods to common pricing models, especially the Fama-French model. He also shares with us intuitive discussions of value factors, forecasting power of dividend/price ratios and the puzzling momentum factors.
What is especailly good about this book, I found, at least for myself, is how the author manages a casual style without losing rigor and focus. The author in 500+ pages review as well as explore vast amount of financial literature and present it to us in a clear and unified fashion. Another aspect I particularly like is that the author probably has students or people without finance ph.d.s in mind when he explains common but potentially confusing terminologies used in different segments of academic research.
Cochrane sketches out proofs for most of theorems and corollaries. Perhaps it is not the purpose of this book, and should not be required of it as such, that detail proofs be provided. Those can be found in references listed at the end of the book.
Overall I highly recommend this book to people who are interested in asset pricing theories as well as practice. Minimal advanced mathematics is sufficient, such as calculus and linear algebra.
Amazingly intuitive approach to write a text book.......2007-02-11
I agree with most reviewers who rate this book highly. In my opinion, the most outstanding quality of this book is the author's ability to make abstract materials very simple and intuitive without sacrificing the essential ideas of the subjects. The book is a perfect example of a good text book which is not intended to be written as a reference, although it easily has all the merits of being a good reference. (That said, to understand this book, readers need to have good mathematics and economics background to enjoy it.) I wish other books meant to be textbooks had this rare quality.
Very good.......2007-01-19
I took a Finance Ph.D. - level Asset Pricing course that used this book along with other sources and I'm quite happy with it. In particular, I enjoyed Ch 21 "Equity Premium puzzle and Consumption-Based Models". Some Matlab code for Campbell-Cochrane model is still available on my website (click on my name above).
My Favorite Asset Pricing Book.......2007-01-18
I have read most PhD-level textbooks on finance and Cochrane's is my favorite. Cochrane gives you the intuition using graphs as well as mathematical proofs for most of the results. The book is oriented toward training financial economists rather than financial mathematicians. If you are a financial economist and need to buy ONE book on asset pricing theory, buy Cochrane (the REVISED edition). If you are a financial mathematician and need to buy ONE book on asset pricing theory, buy Duffie. If you are smarter than the two guys I am talking about who want to buy ONE book only, then buy both! They are both helpful.
Book Description
Principles of Finance with Excel is the first textbook that comprehensively integrates Excel into the teaching and practice of finance. This book provides exceptional resources to the instructor and student, combining classroom-tested pedagogy with the full potential of Excel's powerful functions. In today's business world, computation is done almost wholly in Excel. Excel's ability to combine graphics with computation and perform complex sensitivity analysis with ease provides potent insights into financial problems. Despite this, most finance texts rely heavily on hand-held calculators and ignore Excel. As a result, many students find that after they enter the professional environment, they have to relearn both finance and Excel. Principles of Finance with Excel is ideal for undergraduate courses in introductory finance or as a reference for finance professionals. A Free In-Text CD for students contains electronic versions of all spreadsheets in the book. A Companion Website -- http://www.oup.com/us/benninga -- contains lecture notes, PowerPoint Slides, and a Test Bank for instructors.
Customer Reviews:
Incredible book highly recommended to everyone.......2007-10-08
The great point of this book is that it explains theory in very close relation to practice. Use of excel makes it even more practical tool which one can use.
The book is self sufficient and the material is presented in a very easy to understand way even for a new person to finance. I use it for self study and feel that there is no book which would TEACH YOU better than this.
There are, however, some misprints and minor non concurrences between the text and answers to exercises in the book and files in excel. But they are minor and in no way prevent from understanding the basic principles and concepts.
This book is highly recommended.
Everyone should have one.......2007-07-19
I think that every businessman or student of business, finance should get it, I bought this one and the book of financial modeling both here in amazon, this is something highly recomendly
Stellar.......2007-07-05
This order and all orders that I process through Amazon/Borders online always come in a timely manner. I have spent over $500 within the last three months and I am 100% satisfied with the service and quality of books that I receive.
Thanks,
J.D.
Good material, but full of errors........2007-05-28
This book is clear, concise, easy to follow, and solidly covers the fundamentals of finance. The excel portions are equally impressive, and the practical applications are clear. However, the examples and especially the solutions on the enclosed CD are riddled with mistakes and transcription errors. Frankly, I get the impression that the examples on the CD were put together by on of Benninga's less than stellar students. Three or four mistakes per exercise problem is what I found to be typical. Most of the errors are rather obvious, like saying months when they mean years, the examples in the book having different values than the corresponding problem on the CD, etc., but many of the problems are incorrectly solved as well. In at least one instance, they show the solution to an earlier problem instead of the problem they are supposed to be solving. There is also occasional bad grammer: "Note that the inflation series is not a trivial to put together"
All in all, the text isn't bad, and I've learned a lot from working through it. I just wish more time had been spent checking his work.
Nice book.......2007-05-15
It is a very useful book.I advise every financial practitioner to own this book and keep it as a refrence.
Book Description
Graphic Artists Guild Handbook: Pricing & Ethical Guidelines, 11th Edition is the industry bible, containing information all graphic artists and their clients need to buy and sell work in a totally professional manner. This edition has been revised and updated to provide all the information you need to compete in an industry moving at lightning speed.
Customer Reviews:
If you are serious, you need this.......2007-09-30
You need this if you want to start thinking as a professional. There's templates for contracts and wording you would never think of as a newbie. It is, however, just a guideline when it comes to pricing. Illustrator Brad Holland said that pricing guidelines are "nothing more than a survey of what current prices are. It should be obvious that if you base future fees on a statistical average of what current prices are, you'll preserve the status quo. Many artists believe these guidelines are one of the reasons that illustration fees have stagnated for 30 years."
But, if you're new like me, you're clueless. Every bit helps.
The book no graphic designer should be without!.......2007-07-04
I think the true title of this book should be "The Book No Professional Graphic Designer Should Be Without: Things Your Client Might Not Want You to Know About the Design Business". That pretty much sums up this book. Contains tons of info about copyrights, trademarking, legal issues, ethics and everything else a graphic designer, freelance or otherwise, would ever want to know about the art buying and selling business. Applies to illustrators and traditional artists just as much as graphic designers. The 'artist's business bible' in a nutshell. Created by the Graphic Artist Guild, a society established to promote fair, ethical treatment and legal protection for artists of all types.
Must have book for anyone in the design field.......2007-05-16
My professor recommended that I purchase this book, boy am I glad she did. It is an amazing resource for any ethical and pricing questions you will have. I am starting a job at an advertising agency soon and this book really helped me understand and prepare for what i'm in for as far as salary and other specifics go.
Graphic Artists Pricing and Ethics.......2007-05-08
The GAG Handbook is a must book to have if you are a Graphic Artist. Everything you need to know about pricing, contracts, headhunters, etc., are in this book.
a fair way to do business.......2007-04-01
great reference book for pricing your art works. it has many different categories to go by. of course, i only need one field, but good to know other ones too, just in case.
Book Description
"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals."
-William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management.
"Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn."
-Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline
Co-Manager, Fidelity Freedom ® Funds.
"This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management."
-Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management.
Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.
Customer Reviews:
One to add to your reading list.......2007-06-30
I know many have this book and have never read it. Others read this book but never really understand it. However, if you can read it and understand it, it can offer a powerful tool for how to allocate capital. It actually is the basis for most indexing and quantitative methodologies. When applied to fundemental approaches to investment it can be quite powerful.
Sadly, though not enough money managers embrace what this book is trying to say with regards to risk and return.
Practical approach and mathematically rigorous at the same time.......2006-02-01
Excellent book for whom is looking for a practical approach that at the same time is presented through a rigorous mathematical methodology. The book is absolutely superior over the academic textbooks that usually limit themselves to CAPM and efficient market theory. Grinold and Kahn go much forward and at the same time had managed to clearly and meticulously show the CAPM model, its limitations and the more sophisticated tools developed from it. Beside of showing the active way of managing a portfolio, the serious mathematical presentations through which the different theories such as CAPM are described are very convincing of how difficult it could be to beat the market.
Theoretical framework with no practical examples........2005-01-20
There is important information in this book but most of us need to see numerical examples to reinforce theoretical concepts. This book really comes up short in this area. It provides some discussion with the formulas/equations it presents but is very incomplete in terms of worked out examples. Yes, including worked out examples might might mean a book three times as long, but the book would then be many, many times more useful to practitioners.
As it currently stands the book can only benefit the super-genius-theoretical types who do not need to see examples to understand OR someone who ALREADY really understands the concepts.
The book rather frequently presents variables or constants without explicitly defining them for the reader (it assumes we know what they mean from the accompanying discussion).
The book gives exercises, but without answers what good are these?
The one thing the book does is make you realize there is a lot you do not know. You can find ideas in portfolio management that exist by reading this book but if you are at all like me you are going to have to look elsewhere for the answers. I have had better luck with Google searches for stuff like Style Analysis.
The book shows how smart the authors are: they know stuff that must of us do not. Unfortunately this is the feeling I get as I read sections of their book. They intend to keep it this way. Bottom line: the book fails to bridge the gap between theory and practice.
This is the seminal text for Quantitative Finance.......2004-11-11
If you work for one of the top alpha quant shops (Barclays, Goldman, etc.), this text is a the proverbial must read. These are the guys that essentially invented quantitative finance in its modern form, building upon the [only somewhat applicable] concepts of Sharpe and Rosenberg and demonstrating how they can be harnassed to drive alpha. Anybody who has given this text a poor review obviously doesn't work in quantitative finance (chances are they're merely stock-pickers). If you want to understand how to drive alpha and beat the market, this text goes a lot further than explaining the simple concepts of information ratio and tracking error; instead, this book touches on the beauty of multi-factor models and covariance risk management.
Very boring and dry.......2004-10-05
This book is a funny phenomenon in itself: it seems that every portfolio manager keeps a copy on her desk, but nobody I've talked to likes the book, or has even really read it. I read it and had to struggle hard to go from one page to the next. It's one of the WORST books I've ever read in any field. The book attempts to give the reader a comprehensive overview of the portfolio management discipline. Unfortunately, it's extremely dry, to the point of boring the reader to death. A lot of pages are also wasted on topics of dubious value, while important subjects like global management is treated lightly. I highly recommend against this book. It's a waste of money.
Average customer rating:
- Utter shambles
- Awesome
- very good book.
- Computational Finance made efficient
- The best book in c++ instrument pricing, period.
|
Financial Instrument Pricing Using C++ (The Wiley Finance Series)
Daniel J. Duffy
Manufacturer: Wiley
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ASIN: 0470855096 |
Book Description
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (write once) and support for legacy C applications.
In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra )
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the Gang of Four Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries.
'Unique... Let's all give a warm welcome to modern pricing tools.'
-- Paul Wilmott, mathematician, author and fund manager
Download Description
One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (¿write once¿) and support for legacy C applications.
In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications:
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra ¿)
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the ¿Gang of Four¿ Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
Customer Reviews:
Utter shambles.......2007-08-16
The code is a real mess. Source files are missing, class member variables not defined, calls made to misspelled functions, basic syntax errors. Here are a few of the problems I have run into:
- Missing Source Files:: BVPmechanisms.hpp. So files like BVPSOlver.cpp can't compile
- Undefined members variables: AssocArray::contents. Can't build without it
- Basic syntax errors: (if ass2 == this). Should be if(ass2 == this)
- Incorrect function calls: standardDeviation(). Should be standardDeviation(x)
Aside from all the kindergarten errors, the author over uses templates to such an extent that simple routines are hopelessly obfuscated.
I think he built it on an old version of Visual C++. This is because the code fails to build on modern compilers with tighter error checking.
I have no idea why the other guys love this book so much, they must never have tried to build any of the examples in it ... which is weird because the whole reason I bought the book was to begin building a library of financial tools.
Awesome.......2007-01-11
Extremely accessible and professional, both math and software side are very well done, one of the best intro books about numerical modeling and software design. The finite difference methods in this book are very powerful.
very good book........2006-03-12
implementation and design of classes wise this book is replete with ideas. Since this book dealt with FDM, which are either cubbersome or difficult to program say american options, better is to deal with FE methods.
Computational Finance made efficient.......2005-09-25
This book encapsulates all that is wonderful about OOP and shows how generic programming techniques (based on the STL) can be effectively applied to financial engineering and numerical analytic problems. The book requires only a first-course level knowledge of C++ (at the level of for example Ivor Horton's Beginning C++) and a first course level knowledge of Financial Mathematics (at the level of for example John Hull's masterpiece) and takes the reader on an entertaining journey through the basics of the STL and the applications of STL constructs to computational-financial and numerical-analytic problems, especially those relating to the numerical solution of partial differential equations. Also, the author makes a persuasive case for finite-difference methods and deals with a few subtleties of the Crank-Nicholson algorithm. For best results, it should be read along with a decent book on the Standard Library (for example the one by Nicolai Josuttis). Overall, it's a pleasure to read and learn from, on a par with Mark Joshi's little design-patterns volume, and more detailed!
The best book in c++ instrument pricing, period........2004-09-30
Let me just say that I have a few financial modelling books, from Dr. Brooks to Mr. Joshi, and this is the best book by far. It clearly explain how to price a particular instruments using this poweful language. The book uses Standard Template Language (STL), by doing so your code are more readable and much faster. If I only had this book a few years back. Now I must say this book is for C++ programmers and Quants you really need to know C++ from beginning to end, templates, pointers, references, classes or that stuff you need it. This is the only book that comes with working code, it doesn't matter what type of compiler you have the code in the CD will work. Mr. Duffy explains how to model one factor and two factor Black-Scholes equations using finite differences, options(vanilla, exotic),interest rate and much more. The CD even comes with an Excel driver to transfer your data to Excel. Quant superstar Justin London is coming with his new book in a few months, and that book might over take this one, but as of right now this is the best C++ financial pricing book around. You can't go wrong with this one.
Book Description
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue.
Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Customer Reviews:
read this before going for it.......2007-04-25
The book covers the basics of credit risk modeling and derivative pricing (both structural and intensity type of models), explained in a clear style with enough detail to enable implementation (a rarity in financial literature!). Basics of the theory of stochastic processes and risk-neutral pricing are also covered. Calibration methods for the models are clearly explained. Due to the limited scope, some topics are given only cursory coverage (Copula function methods, role of interest-rates models etc.), but even then, enough references are provided. A very useful, concisely written tome!
Very bad presentation. I was bored to death before I finished the first 20 pages.......2007-04-16
The author should rewrite this book. The presentation and organisation are terrible. Often you will see formulas come out without an explanation.
Would definitely not recommend it.
Grab any papers wrote by the market-practitioners, you will find they are much easier for you to understand the concepts of various credit derivatives models than the book could.
BTW, I wrote a negative review in amazon.co.uk, but was deleted twice.
Great but Incomplete Tech for Quantitative Credit Traders / Analysts.......2006-12-06
Schonbucher's book has major strengths:
1) the bredth and un-biased approach to a broard range of methods for pricing and identifying (pseudo-)arbitrage opportunities including approaches based on reduced form / intensity models, structural/statistical/Merton-like models, and credit rating based approachs to modeling and trading credit.
2) The emphasis on implementation issues -- issues and problems bootstrapping and fitting credit curves, impact of product and market specific risk premium in credit spread than inflated market-implied default probabilities -- is very good and his chapters on modeling market-implied recovery assumptions and recovery modeling are also very good.
The major drawbacks are that is
1) It is sufficiently mathematical, but not strong enough in explaining the mathematics, such that anyone who can undedrstand the book probably already has a good handle on the space.
2) It spends a good deal of time on interesting but only marginally relevant modeling approachs (like the credit rating discussions and modeling counter-party risk) but misses key opportunities (like cash-cds convexity and basis trading) that many need for their day jobs.
3) Recent innovations like recovery products, loan and preferred CDS, and greater liquidity in basket and coorelation products either post-date the text or are not covered well enough to be of practical use.
That said, it is still one of the two four and five texts I have seen in the space (if you are considering the book also look at Geoff Chaplin's excellent text. Many people rave about Credit Derivatives by George C. Chacko et al. but I haven't yet read this, so don't have an opinion other than people I have high regard for like the book a lot.)
excellent book but hard to understand.......2006-11-11
The book is written by a Professor in a insightful way.
The reader needs to be well prepared in knowledge, and be ready for frustration.
Excellent intermediate book.......2005-10-20
The book is a look at credit risk through the glasses of mathematics, and is not a beginner's book. It is a bit dry in the beginning, yet after that I discovered lots of valuable intuitive explanations. While it does require a certain level of probability knowledge, the author walks you through most necessary steps for the presented models. The book covers almost everything needed for an intermediate course on credit modelling. The lack of numerical implementation menthods took the last star.
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...
Books:
- Options, Futures and Other Derivatives (6th Edition)
- Origins of the Crash: The Great Bubble and Its Undoing
- Payback: Reaping the Rewards of Innovation
- Payback: Reaping the Rewards of Innovation
- Prefab
- Principles of Financial Engineering (Academic Press Advanced Finance)
- Reading Financial Reports For Dummies
- Relationship Fundraising: A Donor Based Approach to the Business of Raising Money
- Rich Dad's Real Estate Advantages: Tax and Legal Secrets of Successful Real Estate Investors
- Strategic Logistics Management
Books Index
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