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
Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.
Customer Reviews:
Mathematics for Finance: A useful tool for the unskillled investor.......2007-03-19
I enjoyed reading the book and solving exercises in it. I have a Ph.D.in chemistry and my wife and I did our his and her's MBA in the 1990s. I wanted to learn more concepts in finance and needed an easy entry, something I could enjoy, and without spending much money. The book by Capinski came recommended from a friend who teaches Economics at Cal State. I can speak for myself: I feel reasonably informed and I feel the book gave me concepts I can use to handle my own portfolio.
In the future, this text should be offered with an interactive CD that contains Xls, matrix, calculus, and graphing capabilities so one (I) can visualize the outcomes of proposed solutions.
Incoherent.......2007-01-18
Anyone can scribble a bunch of equations on paper and call it a book. Without sufficient context, they are useless.
Insufficient and disappointing. Not even a good introductury text........2006-05-15
As a graduate student in Financial Engineering I have found this book useless.
The title of the book is "Mathematics for Finance", but can you find in it even an elementary introduction to the stochastic processes? No. Ditto for the Ito's lemma and many other topics. The derivation of the Black Scholes formula is just sketched, and the insight that you can get from it is very limited.
Nevertheless, I wouldn't mind these limitations if this book provided a clear introduction to more advanced topics: unfortunately this book is not good even in that. In comparison to other textbooks the theorems and definitions are convoluted and do not go straight to the point. For example, in Shreve's "Stochastic Calculus for Finance" or Baxter & Rennie "Financial Calculus" the Fundamental Theorem of Asset Pricing is stated in this way: "In a market with risk neutral probability there is no arbitrage". Can you find such a simple and explanatory definition in Capinski's book? Not at all. The theorem at page 83 (you can see it yourself by searching inside the book) basically says the same thing using 8 lines of text and little financial intuition.
The only good thing that I can say about this book is that all exercises are resolved.
Overall, "Mathematics for Finance" has been a big disappointment: it doesn't have either the mathematical depth of Shreve's books or the conciseness in explaining financial concepts of Baxter & Rennie.
Whatever is the level of education that you are pursuing, graduate or undergraduate, I don't see any point in using it.
Great Book for Undergrad Quants.......2005-08-29
Mathematics for Finance (An Introduction to Financial Engineering) is a book intended for undergrad students "IN MATHEMATICS" or other discipline with a relative high mathematical content.
The book assumes some basic notion of Calculus and Probability Theory and it is focused more on the mathematics than in its theory and application of Finance. If you are looking to dwell into the mathematics (Proof of Equations) this is a great book, but if you are looking for a book that is rich in theory and in application then you should consider "Option, Future and Other Derivatives" or "Quantitative Methods for Finance" as an alternative. Both books are "a most" for any finance student and are of great help. Now if you want an introduction into the mathematics behind Finance then this book is a perfect purchase.
Important to state that all the problems presented in this book are solved meaning that it is great for self teaching. Marek Capinsi and Thomas Zastawniak have done a great job on this book.
I gave it four stars, because it has room for impovement.
Joining the chorus.......2005-08-03
I can only echo the other reviewers. As far as I can tell this book has no serious competition. This is an excellent introduction to mathematical finance for those with a solid undergraduate level understanding of higher math but without graduate level exposure. I agree that it is ideal for self study as that is exactly what I am using it for. The price is right especially in contrast with its overpriced brethren. Five stars!
Book Description
In this groundbreaking book, the renowned theoretical physicist Lee Smolin argues that physics—the basis for all other science—has lost its way. The problem is string theory, an ambitious attempt to formulate "a theory of everything" that explains all the forces and particles of nature and how the universe came to be. With its exotic new particles and parallel universes, string theory has captured the public"s imagination and seduced many physicists. But as Smolin reveals, there"s a deep flaw in the theory: no part of it has been proven, and no one knows how to prove it. As a scientific theory, it has been a colossal failure. And because it has soaked up the lion's share of funding, attracted some of the best minds, and penalized young physicists for pursuing other avenues, it is dragging the rest of physics down with it. With clarity, passion, and authority, Smolin charts the rise and fall of string theory and takes a fascinating look at what will replace it. A group of young theorists has begun to develop exciting new ideas that are, unlike string theory, testable. Smolin tells us who and what to watch for in the coming years and how we can find the next Einstein. This is a wake-up call, and Lee Smolin—a former string theorist himself— is the perfect person to deliver it.
Customer Reviews:
Scientific progress is never cut and dried.......2007-10-08
Lee Smolin presents a harsh critique of the last 30 years in theoretical physics, written by one of its practitioners. He makes the excellent point that science is a human activity like anything else. Progress is always hard to predict; scientists can and do get caught up in dead ends. Smolin thinks string theory is one such dead end, and makes a good case for it.
I think that, if anything, Smolin is a little too gentle on the field. The development of the atomic and hydrogen bombs left a tremendous impression that big money put into physics would bring big results. In recent years that hasn't happened. There are so many unanswered questions out there in science, so many important fields where solutions are desperately needed. When I consider the construction and operation of particle accelerators and other high-tech equipment, I can't help but think of the huge cost. The same amount of cash invested elsewhere might have brought much more in the way of useful results.
I am the mother of a 10-year-old boy attending public school. His instruction sometimes seems to me like a mishmash of well-meaning educational reforms that have been implemented with little or no testing to see if they worked or not. I am frankly disgusted by the quality of most research in the area of education--sample sizes too small, no proper controls, subjects followed for too short a time, etc. The cost of operating a single particle accelerator for six weeks probably exceeds all the funding for educational research around the world for the entire year. Yet which has the most potential for making major progress? Maybe it's time to back off on funding big physics projects for a while.
I would also like to point out that the building and use of instrumentation for high-energy physics is highly dependent on cheap fossil fuels. The future supply of such fuels is by no means guaranteed. The peak oil problem appears to be largely ignored by high-energy physicists today, but has the potential to significantly affect their ability to conduct experiments.
I really enjoyed Smolin's chapters on looking for seers rather than technicians in science. I especially liked his description of how unconventional scientists have built a career without a university job. Smolin points out that a typical professor spends a majority of his week on teaching, grant proposals, administrative tasks, and the like, leaving a surprisingly small amount of time available for actual research. Having a day job outside the field is not as big a hurdle as it might seem.
I tend to agree with Smolin that the big advances of the future are likely to come from completely unexpected directions. I can't wait to see what they are.
physics from many angles.......2007-10-05
This book provided several discussions pf physics and quantum theory. its good because the author speaks of the history the the originators of physics theory and the current champions of thought.
A mixed bag.......2007-10-04
At the moment, string theory appears to have many (possibly an infinite number) of "metastable vacua", each of which would allow for a universe with its own laws of physics. (For a brief, comic, yet essentially correct summary of the history of this idea, see Peter Shor's review here. For those who don't know, Shor is a celebrated quantum-information theorist.) According to the (far from established) inflationary model of cosmology, there is a vast collection of universes (the "multiverse") with diverse laws of physics. Which universe we find ourselves in is a matter of random selection, but of course we must be in a "biofriendly" universe, one whose laws of physics allow for the appearance of intelligent life.
The core argument of this book is presented on page 164-165 (US hardcover edition), where Smolin writes, "when it comes to the biofriendliness of our universe, we have at least three possibilities:
"1. Ours is one of a vast collection of universes with random laws.
"2. There was an intelligent designer.
"3. There is a so-far-unknown mechanism that will both explain the biofriendliness of our universe and make testable predictions by which it can be confirmed or falsified.
"Given that the first two possibilities are untestable in principle, it is most rational to hold out for the third possibility. Indeed, that is the only possibility we should consider as scientists, because accepting either of the first two would mean the end of our field."
I find this to be an astonishing argument. First of all, I don't know what "most rational" is supposed to mean. More importantly, to reject a scientific hypothesis for purely personal reasons (it "would mean the end of our field") is at best novel, and at worst absurd.
Very few string theorists are happy that #1 seems, at this point, to be the most likely outcome of string theory, and many hope that #3 will somehow eventually emerge. But to throw out the whole framework, simply because we don't like the result, cannot be said to be a scientific attitude.
One thing you won't learn in this book (unless you read it very carefully, and between the lines) is that the other approaches to quantum gravity advocated by Smolin have not come any closer to predicting specific experimental results than string theory has. Smolin talks about possible violations of special relativity, but these are not (as he admits on page 237) a definite prediction of loop quantum gravity. He has said (on Peter Woit's blog) that any quantum field theory in any number of dimensions is compatible with loop quantum gravity. If true, this would make loop quantum gravity even less capable than string theory of picking out our particular laws of physics.
Smolin also discusses issues of sociology in physics. On page 335-336, he asserts that the all the truly negative characterizations of job candidates that he has ever heard have had a component of racism and/or sexism. I am on the faculty of the physics department of a research university, and I can only say that my experience has been entirely different. I have simply never heard a racist or sexist denigration of one scientist by another, nor have I ever felt that anyone was being evaluated by criteria other than merit. I think that there are definitely issues of culture and how we can construct scientific communities that have broader appeal, and that there are physicists who are not as sensitive to these issues as they might be, but I cannot accept Smolin's claim that the relatively small percentage of women and blacks in physics is due to "blatant prejudice".
Finally, Smolin discusses the issues of "seers" vs "craftspeople" in science, and argues that we should be supporting more "seers". Among the existing seers, he lists some (such as Roger Penrose and Gerard 't Hooft) who made their reputations primarily as craftspeople ('t Hooft received the Nobel Prize for his work on the renormalization of gauge theories, and Penrose did celebrated work on the singularity theorems of general relativity). Their record as seers has been less successful; none of their recent ideas on modifications of quantum mechanics have panned out as yet. Smolin laments the fact that more attention is not paid to these forays into alternatives to quantum mechanics. But 't Hooft and Penrose do not agree on what modifications are needed. Other seers identified by Smolin propose violations of special relativity, rather than (or in addition to) violations of quantum mechanics. Perhaps this is all deep thought, but there is little to decide, at this point, which if any of these avenues should be pursued. Most physicists have therefore sensibly adopted a "wait and see" attitude.
Even if we accept Smolin's argument that we need new seers, how are we to find them? Smolin writes (page 353) that in order to discover "the visionaries who ignore the mainstream and follow their own ambitious programs", we should "find at least one accomplished person in the candidate's field who is deeply excited about what the candidate is trying to do". So, the candidate's program had better not be *too* far off the mainstream; there has to be at least one "accomplished person" who is "deeply excited" about it. But if one deeply excited professional is good, wouldn't more be better? Wouldn't that up the odds that the program was, indeed, worthwhile? Oh wait, that would be just what we have now ... a system where there is constant debate, emergent consensus on the most promising approaches, and distribution of research funds primarily (but by no means exclusively!) to those approaches that appear, in the consensus view, to be most promising. To paraphrase Winston Churchill on democracy, this system for distributing funds for science may be the worst ever devised, except for all the others.
So, should you buy the book? I feel that it gives a distorted picture, by emphasizing the weak points of string theory while ignoring the (many more, in my view) weak points of the alternatives. It seems to me that the essence of the book's argument against string theory is captured by the excerpts above, and by Shor's review. Then there is a lot of discussion of groupthink in scientific culture. For me, it doesn't add up to an appealing package, but your mileage may vary.
The Endless Quest Continues .......2007-10-04
I like Lee Smolin and this is a good exposition of the current quandary in Physics. When the mathematicians "hijacked" physics in the 1920's, they created ever-so elegant formulas and abstraction upon abstraction upon abstraction. "Just give me a formula!" was their mantra, and what it all really "means" was not their concern. This is the essence of Bohr's position (no pun intended), and Einstein was not able to answer, even though he knew something was missing.
String theory has many intriguing ideas, and it's supporters should not be easily dismissed. Again and again, we come back to the basic question...particle or wave? Wavicle? Partiwave? String?
Outstanding piece of writing, A must-read for any science enthusiast........2007-09-22
I found this book to be superbly written and full of fascinating insights. I really loved reading it. Many of the longer reviews here do a great job of reviewing the content of the book, so I'll stick to offering my opinion.
I will no doubt read this book again in the future as much of the content was way over my head. However, as with any great book on any subject, this did not prevent me from thoroughly enjoying it and learning a lot. What makes it so great is that each time I read it I will learn more.
I want to thank Lee Smolin for putting the current state of his field in some perspective. I highly, highly recommend this book!
Average customer rating:
- deserves six stars!
- Just What I've Been Missing
- For project boards & rendering
- excellent resource
- good guide
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ASIN: 0471225525 |
Book Description
The new, updated edition of the successful book on interior design
Interior Design Visual Presentation, Second Edition is fully revised to include the latest material on CAD, digital portfolios, resume preparation, and Web page design. It remains the only comprehensive guide to address the visual design and presentation needs of the interior designer, with coverage of design graphics, models, and presentation techniques in one complete volume.
Approaches to the planning, layout, and design of interior spaces are presented through highly visual, step-by-step instructions, supplemented with more than forty pages of full-color illustrations, exercises at the end of each chapter, and dozens of new projects. With the serious designer in mind, it includes a diverse range of sample work, from student designers as well as well-known design firms such as Ellerbee and Beckett Architects and MS Architects.
Customer Reviews:
deserves six stars!.......2007-08-17
This book has taught me more than I learned in an entire semester at a FIDER accredited Interior Design program at a local college. Well worth every penny.
Just What I've Been Missing.......2007-03-30
I highly recommend this book to anyone in the business, or aspiring to be. I had an informal education and knew there was something missing about the nuts and bolts of presentation. This book is it! Everything I didn't know that I didn't know.
For project boards & rendering.......2006-04-24
I bought this to help organize my project boards, which it is great for. The bonus is the information on rendering. There was better information here than in the other 2 books I own on color theory and rendering.
excellent resource.......2006-03-24
This book is an excellent resource for the interior design student. It's a book you should get as soon as you start studies. Great reference to compliment classroom lessons. I also recommended it to my Residencial Design teacher. It has basic information that will save you time.Great buy!!
good guide.......2006-03-09
good guide to lots of information. Good reference for any design library. It touches base on resumes, presentation, etc.
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.
Book Description
Essentials of Computational Chemistry provides a balanced introduction to this dynamic subject. Suitable for both experimentalists and theorists, a wide range of samples and applications are included drawn from all key areas. The book carefully leads the reader thorough the necessary equations providing information explanations and reasoning where necessary and firmly placing each equation in context.
Customer Reviews:
Great primer for students and faculty alike.......2007-08-02
This summer one undergraduate and I made my first research foray into computation chemistry. This book from one of the best names in the field was a useful and approachable primer to the uninitiated, but also had sufficient depth to be meaningful to a broad audience. The student took this book as a springboard and reference into the primary literature and her own research, and was able to work independently - I finally have the book back for a long enough amount of time to get to read a lot of it for myself! We're writing our first computational communication this fall, so obviously we learned what we're doing!
Excellent treatise.......2005-05-19
This book is a follow-up to a previous release and is a great textbook for learning how to simulate atoms, molecules, and fluid mixtures using a variety of techniques. Its positive attributes includes the following:
1. The author makes it a point to explain the various phrases, acronyms, and terms common in the field, but which may confuse the novice or outsider. For example, the first chapter explains the concept of a potential energy surface, how it can be obtained, and the information that can be gleaned from it. These are simple concepts to those experienced in atomistic modeling but can be mysterious to newcomers.
2. The mathematics in the text are simple enough to be understood without the reader having to resort to proving things herself, but they are complete enough to understand how physical concepts are represented and solved. The equations are also set apart from the text such that they are easy to read.
3. There are a lot of diagrammatic figures that explain what is going on; i.e. how atoms interact via certain empirical potentials. One can also tell that the figures were made specifically to teach a concept, and are not reproductions from a publication.
4. The text is appropriate for first-year graduate students in physics, engineering, and chemistry, and the book provides chapters dedicated to quantum mechanics and thermodynamics, the two topics science and engineering students have the most difficulty in.
5. The case study at the end of each chapter are well laid out and do a good job of illustrating the concepts taught in that chapter.
6. There are a lot of flowcharts that show the process by which a calculation is carried out. See for example the appendix on determining the point symmetry of a molecule. Flowcharts are essentiall to understanding how software works, and is probably the biggest difference between computer science and all the other sciences. Computers execute instructions and programmers use flowcharts to decide how a software is put together. Classes and books in the other science and engineering majors are often devoid of flowcharts, so the use of flowcharts in this book helps the reader get into the computational mindset.
7. The list of references at the end of each chapter are primarily to review articles and articles that introduced important concepts. This provides the reader alternate sources of learning. Gone are long lists of case studies and published data.
With so many pluses, why did I give four stars instead of five? Four reasons mainly.
A. There is almost no coverage of the algorithms used to do the mathematics, whether it be diagonalizing the Hamiltonian, or an Ewald summation of interatomic potentials. For example, I do not recall reading anything about the conjugate gradient method anywhere in the book, yet this algorithm is coded into most major codes in computational chemistry like VASP, SIESTA, ADF, etc...
B. There was minimal discussion of techniques for modeling solids. There were chapters dedicated to modeling gases and liquids, but nothing on solids. This is especially disheartening considering that most of the funded chemistry (theoretical and experimental) going on today involves solids; whether it is designing new polymers, hydrogen storage for fuel cells, or examining surface catalysis.
C. A lot of the research going on today in chemistry is in the properties of surfaces and interfaces. Yet there is little mention on modeling of the concepts related to this; such as surface and interface energy, interface lattice msimatch, symmetry of slabs, etc...
D. The book emphasizes the theories behind doing a calculation, such as the Hartree-Fock method, DFT, force fields, etc.. But there is only some mention on the data that can be generated by a simulation software, and how to use them. The examples I can recall are bond orders, population analysis, radial distribution function, and charge density. Other items that should have been included include density of states (vibrational and electronic), electron localization function, and optical properties such as refractive index or dielectric constant.
Overall, it is still a great book and one worth reading.
Book Description
Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage.
In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms.
Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.
Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
Customer Reviews:
Very shallow.......2005-03-11
You can google in 10 minutes more relevant information than this book is able to provide. It's OK if you need to pick up some terminology and get a rough idea of what it all means before an interview. Totally useless if you need it for work.
Comprehensive, lack in depth and poor organization.......2005-01-23
For a starter, this book does offer a broad spectrum of subjects, volatility/variance measurement, PCAs, Factor Models, Time Series analysis, high frequency data modeling, etc, at the expense of rigor and depth.
Desipite the academic pedigree the author enjoys and the educational career she had, the book is rather poorly organized from a pedagogical point of view. She seems to have a tendency to refer to expressions, notions, ideas, data which appear much later than where the reference takes place. This makes first-timers cringe as they go through the chapters as they are laid out. It reads much like some published papers got dumbed down, and bundled together.
If you are looking for comprehensive introduction, without the gory details of mathematical mumblejumble, this book might be of help. But it may not be used as a reference book, for its organization and for its lack of rigor.
Worth the money.......2003-08-28
If you are looking for detailed rigorous mathematical development then look elsewhere, that is not the reason to purchase this book. It is targeted towards application and there it excels. I have not seen any other book on this topic that so effectively presents a level-headed applied approach that keeps the basic assumptions of the models firmly in sight.
What tool fits when is nicely discussed.
Nice book.......2003-06-21
I will consider this book as a good introduction to different ways to analyze market data (covering mainly equity but do touch on fixed income as well as currency). I would emphasize that the book model the market more from an empirical point of view. The author gives a good description of the GARCH model as well as PCA analysis. Being a fixed income derivatives trading, I find both sections particularly useful for real world trading. The risk modeling section should expand into topics other than VAR such as coherent risk measures which are more useful. The co-integration section is a must for any traders who want to trade mean-reversion or stats arbitrage.
Overall, I think that the book covers all basic to intermediate mathematics, econometrics and finance necessary for anyone who wants to model market data. The book explains how to use such model for trading, risk management as well as market data visualization / understanding.
Nice book.......2003-06-21
I will consider this book as a good introduction to different ways to analyze market data (covering mainly equity but do touch on fixed income as well as currency). I would emphasize that the book model the market more from an empirical point of view. The author gives a good description of the GARCH model as well as PCA analysis. Being a fixed income derivatives trading, I find both sections particularly useful for real world trading. The risk modeling section should expand into topics other than VAR such as coherent risk measures which are more useful. The co-integration section is a must for any traders who want to trade mean-reversion or stats arbitrage.
Overall, I think that the book covers all basic to intermediate mathematics, econometrics and finance necessary for anyone who wants to model market data. The book explains how to use such model for trading, risk management as well as market data visualization / understanding.
Average customer rating:
- It might be a good finance book,
- superb coverage of subject matter
- good but not excellent
- Good book to understand quantitative finance
- Investment Science must have
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Investment Science
David G. Luenberger
Manufacturer: Oxford University Press, USA
ProductGroup: Book
Binding: Hardcover
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Similar Items:
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Options, Futures and Other Derivatives (6th Edition)
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Heard on the Street: Quantitative Questions from Wall Street Job Interviews
ASIN: 0195108094 |
Book Description
Fueled in part by some extraordinary theoretical developments in finance, an explosive growth of information and computing technology, and the global expansion of investment activity, investment theory currently commands a high level of intellectual attention. Recent developments in the field are being infused into university classrooms, financial service organizations, business ventures, and into the awareness of many individual investors. Modern investment theory using the language of mathematics is now an essential aspect of academic and practitioner training. Representing a breakthrough in the organization of finance topics, Investment Science will be an indispensable tool in teaching modern investment theory. It presents sound fundamentals and shows how real problems can be solved with modern, yet simple, methods. David Luenberger gives thorough yet highly accessible mathematical coverage of standard and recent topics of introductory investments: fixed-income securities, modern portfolio theory and capital asset pricing theory, derivatives (futures, options, and swaps), and innovations in optimal portfolio growth and valuation of multiperiod risky investments. Throughout the book, he uses mathematics to present essential ideas of investments and their applications in business practice. The creative use of binomial lattices to formulate and solve a wide variety of important finance problems is a special feature of the book. In moving from fixed-income securities to derivatives, Luenberger increases naturally the level of mathematical sophistication, but never goes beyond algebra, elementary statistics/probability, and calculus. He includes appendices on probability and calculus at the end of the book for student reference. Creative examples and end-of-chapter exercises are also included to provide additional applications of principles given in the text. Ideal for investment or investment management courses in finance, engineering economics, operations research, and management science departments, Investment Science has been successfully class-tested at Boston University, Stanford University, and the University of Strathclyde, Scotland, and used in several firms where knowledge of investment principles is essential. Executives, managers, financial analysts, and project engineers responsible for evaluation and structuring of investments will also find the book beneficial. The methods described are useful in almost every field, including high-technology, utilities, financial service organizations, and manufacturing companies.
Customer Reviews:
It might be a good finance book,.......2007-08-14
but it's a terrible math book.
Too often, explanations, examples, and problems do not clearly explain the meanings of variables and applicable assumptions. This poor presentation of material makes the book barely usable to someone trying to learn the material for the first time.
superb coverage of subject matter.......2007-07-30
Prof. Luenberger currently teaches at Stanford and this book is used as the textbook for a 2-quarter series in investment science there. The coverage is concise and the math is manageable and yet extremely practical. I agree that this an excellent self-study book in the subject of investment science.
good but not excellent.......2007-03-15
This book serves very good introduction to mathematical finance. Particularly,
I enjoyed the discussion of bonds immunization, mean-variance theory, CAPM, APT.
It's most suitable for senior undergraduates or any junior graduate students.
But it doesn't deserve 5 star for the following reasons:
1) Most of the theories discussed so far in the book are TOO idealized and
over simplified. Financial data is dynamic and massive. In model quantitative/computational finance, the most important thing is to understand what the data says rather than what one thinks the data structure might be. With the book, one probably can only do some macroeconomic/very coarse analysis. Author should incorporate more data analysis evidence together with proposed theories.
2) The proof of ito's lemma is wrong(i.e. "Deltaz^2 --> deterministic as Deltat --> 0"). It's surprising since most books make the same mistake. It is the law of the large number contributes to the equality!(i.e. integration sense). The misunderstanding of the proof might lead to the misunderstanding of the hedging process.
3) In the commodity option pricing session, author demonstrated the use of futher market to price the option. This should be discussed further (i.e. black's model).
4) The volatility pumping session should be further researched. The explanation is
not satisfactory.
Good book to understand quantitative finance.......2005-06-10
Luenberger was a professor of optimization and his books on that subject are also very good. Clear and Precise. But sometimes he is extremely concise, so that you need to work a bit to completely understand a point.
In this book, we have again the same style (after all, it is the author style): Clear and precise book, GOOD choice of notation (I cant say the same thing about HULL's books) but sometimes extremely concise.
Overall, a good book to start learning and on a solid foundation.
Investment Science must have.......2005-03-24
Great book, covers lots of material and goes beyond by using the log utility to portfolio growth. Great buy!!!!
Book Description
Implementing Derivatives Models Les Clewlow and Chris Strickland Derivatives markets, particularly the over-the-counter market in complex or exotic options, are continuing to expand rapidly on a global scale, However, the availability of information regarding the theory and applications of the numerical techniques required to succeed in these markets is limited. This lack of information is extremely damaging to all kinds of financial institutions and consequently there is enormous demand for a source of sound numerical methods for pricing and hedging. Implementing Derivatives Models answers this demand, providing comprehensive coverage of practical pricing and hedging techniques for complex options. Highly accessible to practitioners seeking the latest methods and uses of models, including
* The Binomial Method
* Trinomial Trees and Finite Difference Methods
* Monte Carlo Simulation
* Implied Trees and Exotic Options
* Option Pricing, Hedging and Numerical Techniques for Pricing Interest Rate Derivatives
* Term Structure Consistent Short Rate Models
* The Heath, Jarrow and Morton Model
Implementing Derivatives Models is also a potent resource for financial academics who need to implement, compare, and empirically estimate the behaviour of various option pricing models. Finance/Investment
Customer Reviews:
Best book of implementing IR option models.......2007-09-18
Best book of implementing IR option models that I found while I was writing my masters thesis. It has full algorithms for most of the models presented and also simulations of the results. This book complemented with Interest-Rate Option Models: Understanding, Analysing, and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering)is a good set to IR Option background.
Great book.......2007-01-31
Learnt a great deal from this book. I bought this because I had to learn some stuff for work, on a project. The book helped me learn the concept easily and understand the content.
good introduction.......2006-02-14
Very good introduction or summary for the most basic models that are used in the industry. However, it is not very detailed for more complicated models.
You can do it but you do not understand.......2005-10-11
This books is very valuable for equities derivatives. In particular the implementations are very clear even if it is only sketch and not real implementations.
Unfortunately it does not explain the real points behind (martingale, risk neutral). So you know how to do it but you do not know why you do it. For this you should read the Baxter.
Another bad point is that the interest rate derivatives are covered just for the single factor rate models and the HJM model and not the LIBOR-Market model which is the most useful model.
Fills a gap, but needs polish.......1999-10-13
Even more than Wilmott's book, C&S's book gets into the details of pricing derivatives. The choice of topics is truly excellent, and the copious source code included is a superb move. I am currently using this book (and others) to teach a class in Financial Programming.On the other hand, errors are frustratingly frequent. Not so much in the source code, but in the prose. It would be nice to see a floppy disk of code come with the book, a la Hull. There are no exercises in the text, which I consider to be an egregious error, because exercises are really the only way to learn the material.C&S try to make finite difference schemes seem less intimidating by expressing them in terms of probabilities (to stress the link between trees and more general lattices). This works OK for explicit schemes, but for the more important implicit and Crank Nicolson schemes is weird and unnatural. It fails to give the reader any clue as to how to do finite differencing on his own. (Their odd changes of variables don't help, either.) Wilmott's treatment of the subject of finite differencing is far superior.
Average customer rating:
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Encyclopedia of Optimization
Manufacturer: Springer
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ASIN: 0792369327 |
Book Description
Optimization problems are widespread in the mathematical modeling of real world systems and their applications arise in all branches of science, applied science and engineering. The goal of the
Encyclopedia
of Optimization is to introduce the reader to a complete set of topics in order to show the spectrum of recent research activities and the richness of ideas in the development of theories, algorithms and the applications of optimization. It is directed to a diverse audience of students, scientists, engineers, decision makers and problem solvers in academia, business, industry, and government.
Books:
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- Introduction to Numerical Methods and MATLAB: Implementations and Applications
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- Introduction to Protein Structure: Second Edition
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- Introduction to Solid State Physics
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