In A Mathematician Plays the Stock Market best-selling author John Allen Paulos demonstrates what the tools of mathematics can tell us about the vagaries of the stock market. Employing his trademark stories, vignettes, paradoxes, and puzzles (and even a film treatment), Paulos addresses every thinking reader's curiosity about the market: Is it efficient? Is it rational? Is there anything to technical analysis, fundamental analysis, and other supposedly time-tested methods of picking stocks? How can one quantify risk? What are the most common scams? What light do fractals, network theory, and common psychological foibles shed on investor behavior? Are there any approaches to investing that truly outperform the major indexes? Can a deeper knowledge of mathematics help beat the odds?All of these questions are explored with the engaging erudition that made Paulos's A Mathematician Reads the Newspaper and Innumeracy favorites with both armchair mathematicians and readers who want to think like them. Paulos also shares the cautionary tale of his own long and disastrous love affair with WorldCom. In the tradition of Burton Malkiel's A Random Walk Down Wall Street and Jeremy Siegel's Stocks for the Long Run, this wry and illuminating book is for anyone, investor or not, who follows the markets-or knows someone who does.
This book is written for the experienced portfolio manager and professional options traders. It is a practical guide offering how to apply options math in a trading world that demands mathematical measurement. Every options trader deals with an array of calculations: beginners learn to identify risks and opportunities using a short list of strategies, while researchers and academics turn to advanced technical manuals. However, almost no books exist for the experienced portfolio managers and professional options traders who fall between these extremes. Michael C. Thomsett addresses this glaring gap with The Mathematics of Options, a practical guide with actionable tools for the practical application of options math in a world that demands quantification. It serves as a valuable reference for advanced methods of evaluating issues of pricing, payoff, probability, and risk. In his characteristic approachable style, Thomsett simplifies complex hot button issues—such as strategic payoffs, return calculations, and hedging options—that may be mentioned in introductory texts but are often underserved. The result is a comprehensive book that helps traders understand the mathematic concepts of options trading so that they can improve their skills and outcomes.
Power through the ups and downs of the market with the Value Investing Model. Stock prices fluctuate unpredictably. But company values stay relatively steady. This insight is the basis of value investing, the capital management strategy that performs best over the long term. With Good Stocks Cheap, you can get started in value investing right now. Longtime outperforming value investor, professor, and international speaker Kenneth Jeffrey Marshall provides step-by-step guidance for creating your own value investing success story. You’ll learn how to: • Master any company with fundamental analysis • Distinguish between a company’s stock price from its worth • Measure your own investment performance honestly • Identify the right price at which to buy stock in a winning company • Hold quality stocks fearlessly during market swings • Secure the fortitude necessary to make the right choices and take the right actions Marshall leaves no stone unturned. He covers all the fundamental terms, concepts, and skills that make value investing so effective. He does so in a way that’s modern and engaging, making the strategy accessible to any motivated person regardless of education, experience, or profession. His plain explanations and simple examples welcome both investing newcomers and veterans. Good Stocks Cheap is your way forward because the Value Investing Model turns market gyrations into opportunities. It works in bubbles by showing which companies are likely to excel over time, and in downturns by revealing which of these leading businesses are the most underpriced. Build a powerful portfolio poised to deliver outstanding outcomes over a lifetime. Put the strength of value investing to work for you with Good Stocks Cheap.
Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment. With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey—from the early ideas of risk quantification up to today's sophisticated models and approaches to business risk management. To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to explore many common risk management problems Website with model simulations and source code enables you to put models of risk management into practice Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets This book is your one-stop-shop for effective risk management.
Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter
Two years in MBA school won't teach you how to double the market's return. Two hours with The Little Book That Beats the Market will. In The Little Book, Joel Greenblatt, Founder and Managing Partner at Gotham Capital (with average annualized returns of 40% for over 20 years), does more than simply set out the basic principles for successful stock market investing. He provides a "magic formula" that is easy to use and makes buying good companies at bargain prices automatic. Though the formula has been extensively tested and is a breakthrough in the academic and professional world, Greenblatt explains it using 6th grade math, plain language and humor. You'll learn how to use this low risk method to beat the market and professional managers by a wide margin. You'll also learn how to view the stock market, why success eludes almost all individual and professional investors, and why the formula will continue to work even after everyone "knows" it.
In 2005, Joel Greenblatt published a book that is already considered one of the classics of finance literature. In The Little Book that Beats the Market—a New York Times bestseller with 300,000 copies in print—Greenblatt explained how investors can outperform the popular market averages by simply and systematically applying a formula that seeks out good businesses when they are available at bargain prices. Now, with a new Introduction and Afterword for 2010, The Little Book that Still Beats the Market updates and expands upon the research findings from the original book. Included are data and analysis covering the recent financial crisis and model performance through the end of 2009. In a straightforward and accessible style, the book explores the basic principles of successful stock market investing and then reveals the author’s time-tested formula that makes buying above average companies at below average prices automatic. Though the formula has been extensively tested and is a breakthrough in the academic and professional world, Greenblatt explains it using 6th grade math, plain language and humor. He shows how to use his method to beat both the market and professional managers by a wide margin. You’ll also learn why success eludes almost all individual and professional investors, and why the formula will continue to work even after everyone “knows” it. While the formula may be simple, understanding why the formula works is the true key to success for investors. The book will take readers on a step-by-step journey so that they can learn the principles of value investing in a way that will provide them with a long term strategy that they can understand and stick with through both good and bad periods for the stock market. As the Wall Street Journal stated about the original edition, “Mr. Greenblatt…says his goal was to provide advice that, while sophisticated, could be understood and followed by his five children, ages 6 to 15. They are in luck. His ‘Little Book’ is one of the best, clearest guides to value investing out there.”
This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.
Fooled by Randomness is a standalone book in Nassim Nicholas Taleb’s landmark Incerto series, an investigation of opacity, luck, uncertainty, probability, human error, risk, and decision-making in a world we don’t understand. The other books in the series are The Black Swan, Antifragile, and The Bed of Procrustes. “[Taleb is] Wall Street’s principal dissident. . . . [Fooled By Randomness] is to conventional Wall Street wisdom approximately what Martin Luther’s ninety-nine theses were to the Catholic Church.” –Malcolm Gladwell, The New Yorker Finally in paperback, the word-of-mouth sensation that will change the way you think about the markets and the world.This book is about luck: more precisely how we perceive luck in our personal and professional experiences. Set against the backdrop of the most conspicuous forum in which luck is mistaken for skill–the world of business–Fooled by Randomness is an irreverent, iconoclastic, eye-opening, and endlessly entertaining exploration of one of the least understood forces in all of our lives. From the Trade Paperback edition.
In this must-have for anyone who wants to better understand their love life, a mathematician pulls back the curtain and reveals the hidden patterns—from dating sites to divorce, sex to marriage—behind the rituals of love. The roller coaster of romance is hard to quantify; defining how lovers might feel from a set of simple equations is impossible. But that doesn’t mean that mathematics isn’t a crucial tool for understanding love. Love, like most things in life, is full of patterns. And mathematics is ultimately the study of patterns—from predicting the weather to the fluctuations of the stock market, the movement of planets or the growth of cities. These patterns twist and turn and warp and evolve just as the rituals of love do. In The Mathematics of Love, Dr. Hannah Fry takes the reader on a fascinating journey through the patterns that define our love lives, applying mathematical formulas to the most common yet complex questions pertaining to love: What’s the chance of finding love? What’s the probability that it will last? How do online dating algorithms work, exactly? Can game theory help us decide who to approach in a bar? At what point in your dating life should you settle down? From evaluating the best strategies for online dating to defining the nebulous concept of beauty, Dr. Fry proves—with great insight, wit, and fun—that math is a surprisingly useful tool to negotiate the complicated, often baffling, sometimes infuriating, always interesting, mysteries of love.
The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting. Tools from probability such as conditional expectation, filtration, (super)martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions.
An accessible, and intuitive, guide to stock valuation Valuation is at the heart of any investment decision, whether that decision is to buy, sell, or hold. In The Little Book of Valuation, expert Aswath Damodaran explains the techniques in language that any investors can understand, so you can make better investment decisions when reviewing stock research reports and engaging in independent efforts to value and pick stocks. Page by page, Damodaran distills the fundamentals of valuation, without glossing over or ignoring key concepts, and develops models that you can easily understand and use. Along the way, he covers various valuation approaches from intrinsic or discounted cash flow valuation and multiples or relative valuation to some elements of real option valuation. Includes case studies and examples that will help build your valuation skills Written by Aswath Damodaran, one of today's most respected valuation experts Includes an accompanying iPhone application (iVal) that makes the lessons of the book immediately useable Written with the individual investor in mind, this reliable guide will not only help you value a company quickly, but will also help you make sense of valuations done by others or found in comprehensive equity research reports.
This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
SECURITY ANALYSIS AND PORTFOLIO MANAGEMENT. This 5th Edition , is thoroughly revised and updated. It describes techniques, vehicles, and strategies of the funds of an individual investor(s).For the students of Management, Commerce, Professional Course of CA, CS, ICWA, Professional of Financial Institutions and Policy Makers.
More than one million copies have been sold of this seminal book on investing in which legendary mutual-fund manager Peter Lynch explains the advantages that average investors have over professionals and how they can use these advantages to achieve financial success. America’s most successful money manager tells how average investors can beat the pros by using what they know. According to Lynch, investment opportunities are everywhere. From the supermarket to the workplace, we encounter products and services all day long. By paying attention to the best ones, we can find companies in which to invest before the professional analysts discover them. When investors get in early, they can find the “tenbaggers,” the stocks that appreciate tenfold from the initial investment. A few tenbaggers will turn an average stock portfolio into a star performer. Lynch offers easy-to-follow advice for sorting out the long shots from the no-shots by reviewing a company’s financial statements and knowing which numbers really count. He offers guidelines for investing in cyclical, turnaround, and fast-growing companies. As long as you invest for the long term, Lynch says, your portfolio can reward you. This timeless advice has made One Up on Wall Street a #1 bestseller and a classic book of investment know-how.
In this book, self-made millionaire Phil Towns will show you how he turned $1,000 into $1 million in only five years, and then proceeded to make many millions more. Before I became “Phil Town, teacher of investing principles to more than 500,000 people a year,” I was a lot like you: someone who viewed individual stock investing as way too hard to do successfully. As a guy who barely made a living as a river guide, I considered the whole process pretty impenetrable, and I was convinced that to do it right you had to make it a full-time job. Me, I was more interested in having full-time fun. So I was tempted to do what you’re probably doing right now: letting some mutual fund manager worry about growing your nest egg. Let me tell you why that decision could one day make you absolutely miserable. The fact is, because of natural market cycles, the mutual fund industry is likely to soon be facing twenty years of flat returns. That means that if you’ve got your nest egg tucked away in funds—especially the type found in most 401ks—your egg won’t get much bigger than it is now. Translation: Get ready for a retirement filled with lots of cold cuts, plenty of quality TV-watching time, and a place to live that’s too small to accommodate your visiting kids. I came to investing as a person who wasn’t great at math, possessed zero extra cash, and wanted a life—not an extra three hours of work to do every day. Fortunately, I was introduced to The Rule. Rule #1, as famed investor Warren Buffett will tell you, is don’t lose money. Through an intriguing process that I’ll clarify in this book, not losing money results in making more money than you ever imagined. What it comes down to is buying shares of companies only when the numbers—and the intangibles—are on your side. If that sounds too good to be true, it’s because the mind-set I’ll be introducing you to leads not to bets but to certainties. Believe me, if there were anything genius-level about this, I’d still be a river guide collecting unemployment much of the year. Part of the secret is thinking of yourself as a business owner rather than a stock investor. Part is taking advantage of today’s new Internet tools, which drastically reduce the “homework factor.” (We’re talking a few minutes, tops.) Part is knowing the only five numbers that really count in valuing a potential investment. And part—maybe the most important part—is using the risk-free Rule #1 approach to consistently pay a mere 50 cents to buy a dollar’s worth of a business. What I won’t waste your time with is fluff: a lot of vague parables reminding you of what you already know and leaving you exactly where you started. This is the real deal, folks: a start-to-finish, one-baby-step-at-a-time approach that will allow you to retire ten years sooner than you planned, with more creature comforts than you ever imagined.
McKINSEY'S TRUSTED GUIDE TO TEACHING CORPORATE VALUATION, NOW IN ITS 25TH YEAR Valuation, University Edition, Sixth Edition, is filled with the expert guidance from McKinsey & Company that students and professors have come to rely on. New to the fully revised and updated Sixth Edition: New case studies that clearly illustrate how vital valuation techniques and principles are applied in real-world situations Expanded content on advanced valuation techniques New content on the strategic advantages of value-based management that reflect the economic events of the past decade For twenty-five years Valuation has remained true to its core principles and offers a step-by-step approach to valuation, including: Analyzing historical performance Forecasting performance Estimating the cost of capital with practical tips Interpreting the results of a valuation in light of a company's competitive situation Linking a company's valuation multiples to the core drivers of its performance The University Edition contains End-of-Chapter Review Questions, helping students master key concepts from each chapter. Wiley also offers an Online Instructor's Manual with a full suite of learning resources for professors and students. www.wileyvaluation.com
A practical guide to making more informed investment decisions Investors often buy or sell stocks too quickly. When you base your purchase decisions on isolated facts and don't take the time to thoroughly understand the businesses you are buying, stock-price swings and third-party opinion can lead to costly investment mistakes. Your decision making at this point becomes dangerous because it is dominated by emotions. The Investment Checklist has been designed to help you develop an in-depth research process, from generating and researching investment ideas to assessing the quality of a business and its management team. The purpose of The Investment Checklist is to help you implement a principled investing strategy through a series of checklists. In it, a thorough and comprehensive research process is made simpler through the use of straightforward checklists that will allow you to identify quality investment opportunities. Each chapter contains detailed demonstrations of how and where to find the information necessary to answer fundamental questions about investment opportunities. Real-world examples of how investment managers and CEOs apply these universal principles are also included and help bring the concepts to life. These checklists will help you consider a fuller range of possibilities in your investment strategy, enhance your ability to value your investments by giving you a holistic view of the business and each of its moving parts, identify the risks you are taking, and much more. Offers valuable insights into one of the most important aspects of successful investing, in-depth research Written in an accessible style that allows aspiring investors to easily understand and apply the concepts covered Discusses how to think through your investment decisions more carefully With The Investment Checklist, you'll quickly be able to ascertain how well you understand your investments by the questions you are able to answer, or not answer, without making the costly mistakes that usually hinder other investors.
Its unified treatment of derivative security applications to both risk management and speculative trading separates this book from others. Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, Risk Management, Speculation, and Derivative Securities is the only standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives. After offering a general framework for risk management and speculation using derivative securities, it explores specific applications to forward contracts and options. Not intended as a comprehensive introduction to derivative securities, Risk Management, Speculation, and Derivative Securities is the innovative, useful approach that addresses new developments in derivatives and risk management. *The only standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives *Examines speculative trading and risk management from the practitioner's point of view *Provides an innovative, useful approach that addresses new developments in derivatives and risk management
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sections, the book • Explores the rapidly developing area of credit derivative products, including iTraxx Futures, iTraxx Default Swaptions, and constant proportion debt obligations • Addresses the relationships between the DJ iTraxx credit default swap (CDS) index and the stock market as well as CDS spreads and macroeconomic factors • Investigates systematic and firm-specific default risk factors, compares CDS pricing results from the CreditGrades industry benchmark to a trinomial tree approach, and applies the Hull–White intensity-based model to the pricing of names from the CDX index • Analyzes aggregate default and recovery rates on corporate bond defaults over a twenty-year period, the responses of hazard rates to changes in a set of economic variables, low-default portfolios, and tests on the accuracy of the Basel II framework • Describes benchmark models of implied credit correlation risk, copula-based default dependence concepts, the fit of various copula models, and a common factor model of systematic credit risk • Studies the pricing of options on single-name CDSs, the pricing of credit derivatives, collateralized debt obligation (CDO) price data, the pricing of CDO tranches, applications of Gaussian and Student’s t copula functions, and the pricing of CDOs Using mathematical models and methodologies, this volume provides the essential knowledge to properly manage credit risk and make sound financial decisions.
A NEW YORK TIMES, WALL STREET JOURNAL, AND USA TODAY BESTSELLER The legendary investor shows how to identify and master the cycles that govern the markets. We all know markets rise and fall, but when should you pull out, and when should you stay in? The answer is never black or white, but is best reached through a keen understanding of the reasons behind the rhythm of cycles. Confidence about where we are in a cycle comes when you learn the patterns of ups and downs that influence not just economics, markets and companies, but also human psychology and the investing behaviors that result. If you study past cycles, understand their origins and remain alert for the next one, you will become keenly attuned to the investment environment as it changes. You’ll be aware and prepared while others get blindsided by unexpected events or fall victim to emotions like fear and greed. By following Marks’s insights — drawn in part from his iconic memos over the years to Oaktree’s clients — you can master these recurring patterns to have the opportunity to improve your results.
While focusing on the student’s role as citizen, student, family member, consumer, and active participant in the business world, MANAGING YOUR PERSONAL FINANCES 7E informs students of their various financial responsibilities. This comprehensive text provides opportunities for self-awareness, expression, and satisfaction in a highly technical and competitive society. Students discover new ways to maximize their earning potential, develop strategies for managing their resources, explore skills for the wise use of credit, and gain insight into the different ways of investing money. Written specifically for high school students, special sections in each chapter hold student interest by focusing on current trends and issues consumers face in the marketplace. Important Notice: Media content referenced within the product description or the product text may not be available in the ebook version.
When it comes to money management, most of us take a hands-off approach because we're just not confident that we have the know-how needed. But personal finance is actually more personal than it is finance. Tim Maurer has made a career out of distilling complex financial concepts into understandable, doable actions. In this eminently practical book, he shows readers how to - better understand their values and goals in order to simplify their money decisions - budget major expenses intelligently - reduce and eliminate debt - make vital decisions on home, auto, and life insurance - establish a world-class investment portfolio - craft a workable retirement plan - and more Readers will be relieved to see that managing their money is actually not as complicated as they thought--and that they can take control of their financial future starting today.
The essential premise of this book is that theory and practice are equally important in describing financial modeling. In it the authors try to strike a balance in their discussions between theories that provide foundations for financial models and the institutional details that provide the context for applications of the models. The book presents the financial models of stock and bond options, exotic options, investment grade and high-yield bonds, convertible bonds, mortgage-backed securities, liabilities of financial institutions--the business model and the corporate model. It also describes the applications of the models to corporate finance. Furthermore, it relates the models to financial statements, risk management for an enterprise, and asset/liability management with illiquid instruments. The financial models are progressively presented from option pricing in the securities markets to firm valuation in corporate finance, following a format to emphasize the three aspects of a model: the set of assumptions, the model specification, and the model applications. Generally, financial modeling books segment the world of finance as "investments," "financial institutions," "corporate finance," and "securities analysis," and in so doing they rarely emphasize the relationships between the subjects. This unique book successfully ties the thought processes and applications of the financial models together and describes them as one process that provides business solutions. Created as a companion website to the book readers can visit www.thomasho.com to gain deeper understanding of the book's financial models. Interested readers can build and test the models described in the book using Excel, and they can submit their models to the site. Readers can also use the site's forum to discuss the models and can browse server based models to gain insights into the applications of the models. For those using the book in meetings or class settings the site provides Power Point descriptions of the chapters. Students can use available question banks on the chapters for studying.
Essential insights on the various aspects of financial derivatives If you want to understand derivatives without getting bogged down by the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from years of financial experience, Robert Kolb and James Overdahl clearly explain what derivatives are and how you can prudently use them within the context of your underlying business activities. Financial Derivatives introduces you to the wide range of markets for financial derivatives. This invaluable guide offers a broad overview of the different types of derivatives-futures, options, swaps, and structured products-while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with helpful tables and charts, Financial Derivatives offers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products. Discusses what derivatives are and how you can prudently implement them within the context of your underlying business activities Provides thorough coverage of financial derivatives and their role in risk management Explores financial derivatives without getting bogged down by the mathematics surrounding their pricing and valuation This informative guide will help you unlock the incredible potential of financial derivatives.
International Finance presents the corporate uses of international financial markets to upper undergraduate and graduate students of business finance and financial economics. Combining practical knowledge, up-to-date theories, and real-world applications, this textbook explores issues of valuation, funding, and risk management. International Finance shows how theoretical applications can be brought into managerial practice. The text includes an extensive introduction followed by three main sections: currency markets; exchange risk, exposure, and risk management; and long-term international funding and direct investment. Each section begins with a short case study, and each of the sections' chapters concludes with a CFO summary, examining how a hypothetical chief financial officer might apply topics to a managerial setting. The book also contains end-of-chapter questions to help students grasp the material presented. Focusing on international markets and multinational corporate finance, International Finance is the go-to resource for students seeking a complete understanding of the field. Rigorous focus on international financial markets and corporate finance concepts An up-to-date and practice-oriented approach Strong real-world examples and applications Comprehensive look at valuation, funding, and risk management Introductory case studies and "CFO summaries," and end-of-chapter quiz questions Solutions to the quiz questions are available online
"Do I really need a budget? How can I get out of debt? Should I give my kids an allowance? Should Christians lend money and charge interest?" These questions and many others were often asked of respected Christian financial counselor Larry Burkett. To answer them in a direct and brief way and help you discover the way to financial wisdom, Larry wrote Personal Finances. To build a sturdy house, a builder needs a blueprint. To find his way, a traveler needs a map. And to manage your finances correctly, you need a budget. Without a plan, the house will collapse, the traveler will get lost, and your finances will eventually fail. Get on board with the basics of wise financial planning. From the youngest member of your family to the oldest, budgeting should accompany income. Learn how to create a budget and what it takes to stick with it in Personal Finances.
The financial industry has adopted Python at a tremendous rate recently, with some of the largest investment banks and hedge funds using it to build core trading and risk management systems. This hands-on guide helps both developers and quantitative analysts get started with Python, and guides you through the most important aspects of using Python for quantitative finance. Using practical examples through the book, author Yves Hilpisch also shows you how to develop a full-fledged framework for Monte Carlo simulation-based derivatives and risk analytics, based on a large, realistic case study. Much of the book uses interactive IPython Notebooks, with topics that include: Fundamentals: Python data structures, NumPy array handling, time series analysis with pandas, visualization with matplotlib, high performance I/O operations with PyTables, date/time information handling, and selected best practices Financial topics: mathematical techniques with NumPy, SciPy and SymPy such as regression and optimization; stochastics for Monte Carlo simulation, Value-at-Risk, and Credit-Value-at-Risk calculations; statistics for normality tests, mean-variance portfolio optimization, principal component analysis (PCA), and Bayesian regression Special topics: performance Python for financial algorithms, such as vectorization and parallelization, integrating Python with Excel, and building financial applications based on Web technologies
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc. Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed). Contents:Introduction and Discrete-Time ModelsThe Continuous-Time Market ModelThe Continuous-Time Portfolio ProblemConstrained Continuous-Time ProblemsPortfolio Optimisation in the Presence of Transaction CostsNon-Utility Based Portfolio Selection ModelsAppendix Readership: Professionals in the financial industry, economists, mathematicians, physicians and students in stochastic processes. keywords: “This book provides not only a survey of the continuous-time porfolio selection theory, but also can be recommended to those who want to obtain a quick overview about methods of portfolio theory. Because of its friendly and inviting style, parts of this book are also suitable as a first introduction to this theory for those not familiar with stochastic analysis.” Metrika
This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea how to incorporate credit and equity together into their existing pricing tools. Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. The market of stock borrowing and lending will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre 2008, many investors labelled convertible bonds as 'investing with no downside', there are of course plenty of 2008 examples to prove that they were wrong. The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond. Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity. Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage. Part IV explains the all important risk management part of the process in detail. This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles. It is a must read for anyone wanting to safely get into this highly liquid, high return market.
An accessible, thorough introduction to quantitative finance Does the complex world of quantitative finance make you quiver? You're not alone! It's a tough subject for even high-level financial gurus to grasp, but Quantitative Finance For Dummies offers plain-English guidance on making sense of applying mathematics to investing decisions. With this complete guide, you'll gain a solid understanding of futures, options and risk, and get up-to-speed on the most popular equations, methods, formulas and models (such as the Black-Scholes model) that are applied in quantitative finance. Also known as mathematical finance, quantitative finance is the field of mathematics applied to financial markets. It's a highly technical discipline—but almost all investment companies and hedge funds use quantitative methods. This fun and friendly guide breaks the subject of quantitative finance down to easily digestible parts, making it approachable for personal investors and finance students alike. With the help of Quantitative Finance For Dummies, you'll learn the mathematical skills necessary for success with quantitative finance, the most up-to-date portfolio and risk management applications and everything you need to know about basic derivatives pricing. Covers the core models, formulas and methods used in quantitative finance Includes examples and brief exercises to help augment your understanding of QF Provides an easy-to-follow introduction to the complex world of quantitative finance Explains how QF methods are used to define the current market value of a derivative security Whether you're an aspiring quant or a top-tier personal investor, Quantitative Finance For Dummies is your go-to guide for coming to grips with QF/risk management.
Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book’s product page and www.quantlet.de
The classic guide to quantitative investing—expanded and updated for today’s increasingly complex markets From Bruce Jacobs and Ken Levy—two pioneers of quantitative equity management— the go-to guide to stock selection has been substantially updated to help you build portfolios in today’s transformed investing landscape. A powerful combination of in-depth research and expert insights gained from decades of experience, Equity Management, Second Edition includes 24 new peer-reviewed articles that help leveraged long-short investors and leverage-averse investors navigate today’s complex and unpredictable markets. Retaining all the content that made an instant classic of the first edition—including the authors’ innovative approach to disentangling the many factors that influence stock returns, unifying the investment process, and integrating long and short portfolio positions—this new edition addresses critical issues. Among them-- • What’s the best leverage level for long-short and leveraged long-only portfolios? • Which behavioral characteristics explain the recent financial meltdown and previous crises? • What is smart beta—and why should you think twice about using it? • How do option-pricing theory and arbitrage strategies lead to market instability? • Why are factor-based strategies on the rise? Equity Management provides the most comprehensive treatment of the subject to date. More than a mere compilation of articles, this collection provides a carefully structured view of modern quantitative investing. You’ll come away with levels of insight and understanding that will give you an edge in increasingly complex and unpredictable markets. Well-established as two of today’s most innovative thinkers, Jacobs and Levy take you to the next level of investing. Read Equity Management and design the perfect portfolio for your investing goals.
This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple, but widely used, financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to understand the concepts considered in this book. Financial mathematics is an application of advanced mathematical and statistical methods to financial management and markets, with a main objective of quantifying and hedging risks. Since the book aims to present the basics of financial mathematics to the reader, only essential elements of probability and stochastic analysis are given to explain ideas concerning derivative pricing and hedging. To keep the reader intrigued and motivated, the book has a ‘sandwich’ structure: probability and stochastics are given in situ where mathematics can be readily illustrated by application to finance. The first part of the book introduces one of the main principles in finance — ‘no arbitrage pricing’. It also introduces main financial instruments such as forward and futures contracts, bonds and swaps, and options. The second part deals with pricing and hedging of European- and American-type options in the discrete-time setting. In addition, the concept of complete and incomplete markets is discussed. Elementary probability is briefly revised and discrete-time discrete-space stochastic processes used in financial modelling are considered. The third part introduces the Wiener process, Ito integrals and stochastic differential equations, but its main focus is the famous Black–Scholes formula for pricing European options. Some guidance for further study within this exciting and rapidly changing field is given in the concluding chapter. There are approximately 100 exercises interspersed throughout the book, and solutions for most problems are provided in the appendices.
Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. Covers all asset classes Provides mathematical theoretical explanations of risk as well as practical examples with empirical data Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities
Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones. Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.
This book combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook on financial markets for graduate and PhD students in mathematics. Interesting and comprehensive case studies illustrate the theoretical concepts.
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.