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!
Product Description
Book Description
Covering the same topics found in more advanced-level texts, Investments incorporates minimal math and is much more student-friendly, resulting in an increased excitement for and understanding of the basic investment course material. It is the text of choice for the College of Financial Planning. It includes a strong focus on the individual financial planner and features a ?Financial Advisor?s Investment Case? at the end of each chapter. These short cases illustrate how text material applies to real investment decisions. Financial calculators are introduced and utilized throughout the text with explanations employing both interest tables and the calculator. It is also ideal for non-majors courses.
Customer Reviews:
I have the teacher.......2007-05-03
Great book and great teacher...I won't sell this book because I've learned too much from it and it will help me later on in life I'm sure.
One word.........BORING.......2007-03-09
This is by far the worst business book I have ever owned. I could hardley make it half a page without my mind wandering. It needs more real life examples to make it more appealing and understandable to the layperson.
To good for you.......2007-01-18
This book is so full of useful information and detail that I want to keep it to myself.....
Solid Introductory Investment Textbook.......2005-10-20
Mayo's "Investments" captures nearly all the relevant subjects in an increasingly complex financial frontier from simple debt instruments and equity issues to complex option strategies. I would have liked to see further mention of hedge funds though, as significant money seems to be pouring into these instruments and the student of investing would gain by knowing more about the various strategies they employ and the trading mechanisms used. Ditto for Exchange Traded Funds (ETFs). With that said, though, Mayo does a fine job providing a comprehensive basis on the investment world. Solid reference book. Strong 4 Stars.
Excellent review of all possible finance instruments.......1999-05-20
It is a text book vs a simple reading book, however the author has done an excellent job of presenting the concepts in simple to understand format. With well writtem text and informative graphs the concepts easy to understand. Covers all types in investments instruments from stocks, bonds, options, futures and portfolio construction.
Book Description
Created by the experienced author team of Frank Fabozzi, Henry Davis, and Moorad Choudhry, Introduction to Structured Finance examines the essential elements of this discipline. It is a convenient reference guide—which covers all the important transaction types in one place—and an excellent opportunity to enhance your understanding of finance.
Customer Reviews:
Fabozzi is a genius.......2007-07-25
The examples provided break down every part of structured finance you need to know. Fabozzi must understand the importance of a strong foundation because he lays one out for you in every piece he writes. I have learned more from reading his work than studying finance at school. He takes concepts and applies them to the real world in a way we can understand. His method allows us to think up more complex scenarios before he presents them to us himself. I recommend this as a great intro to SF and Fabozzi for any further reading in the sections of the industry that are new to you.
Good Book.......2006-11-21
I am a frequent purchaser of the Fabozzi series.
The Credit Derivatives as well as this Structured Finance book are a must have for any person's library.
They give broad but meaningful explanations of multiple product types.
Strong coverage of Credit Derivatives, Credit Linked Notes, Basis Swaps, Total Return Swaps etc..
These products are only going to pick up in trading volume.
The only downside or improvement I would like to see are discussions of new derivative instruments such as Recovery Locks, and go into more detail of Total Return or Credit-Linked Notes/Swaps that are based on floating rate debt.
Average customer rating:
- modelling financial instruments
- good analysis on data error.
- From the experts in the field
- For the new millenium...that's what we need.
- More Than An Introduction
|
An Introduction to High-Frequency Finance
Ramazan Gencay
Manufacturer: Academic Press
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Similar Items:
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Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
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ASIN: 0122796713 |
Book Description
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.
This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
Customer Reviews:
modelling financial instruments.......2007-03-08
The book gives an indepth statistical modelling of important financial events, that have time dependency. It is suitable for the financial analyst who wants a semi-empirical approach.
For some quantities, like foreign exchange data, there is a comparison between fully empirical results and various theoretical models. What is investigated are such behaviours like scaling laws, for the absolute returns as a function of frequency. Here, it has been empirically observed that scalings do exist for FX rates.
Whenever possible, the book gives rigorous results, often encapsulated in theorems relating to distributions of independently distributed random variables. The reader should have a background in statistics, with the equivalent of several years of undergraduate courses.
good analysis on data error........2007-01-16
Many type of error the book list are frequently occur in FX data.
This book give good guide on how to filter them.
From the experts in the field.......2002-06-06
Michel Dacorogna and the team at the former Olsen & Associates are well-known experts in the field of foreign exchange rate data analysis, and their book provides us with a vast, useful source of information. Unfortunately for students and other beginners, the book is written like a compilation of papers and review articles, the opposite of pedagogical, and with an awful choice of 'computerese' notation (MA(t,n)=sum(EMA(t',k)... etc) that makes Boudhaud-Potters look easy in comparison. More to the point, even their noncomputerese notation is difficult to follow. I hope for a very different second edition written pedagogically for students of this growing and important field. On the positive side, data analyses are performed using logarithmic returns, not price increments. Workers in the field who consult this text will find it helpful.
For the new millenium...that's what we need........2001-07-23
The book covers a wide range of topics related to high-frequency data in Finance. There is a very detailed approach to tackle a huge amount of data and to deal with its based stylized facts. The book triggers the reader's desire to update his knowledge in the field of finance.
More Than An Introduction.......2001-05-28
This one of the few books on high frequency finance is a most welcome to the literature. The book is useful not only for people who are new to the subject but also for researchers in the field since it is a most uniform treatment of many topics. From adaptive data cleaning (chapter 4) to intraday and weekly seasonality (chapter 6) and real time trading models (chapter 11), it covers a broad range of topics specific to high frequency financial time series analysis. Chapters on volatility modeling (Chapter 8), forecasting (chapter 9) and correlation and multivariate risk (chapter 10) are enlightening especially for risk exposure analysis and risk management purposes. Finally, the the extensive bibliography is a precious source for those who would like to explore certain topics in detail. I highly recommend it for practitioners as well as researchers in the field.
Book Description
Introduction to Security, Seventh Edition is a complete revision of the classic text. This edition presents the latest in security issues from security equipment and design theory to security management practice and has been reorganized to reflect the industry changes since the 9-11-01 World Trade Center attacks. It begins with a new chapter on the movement of Homeland Security in the United States and includes new coverage throughout the book of terrorism as it relates to: cargo and travel security, potential areas of attack and target hardening techniques, and the use of current technologies to combat new threats. Traditional physical and guard security is covered in addition to the advances in the electronic and computer security areas including biometric security, access control, CCTV surveillance advances, as well as the growing computer security issues of identity theft and computer fraud.
The
Seventh Edition provides the most comprehensive breakdown of security issues for the student while detailing the latest trends, legislation, and technology to interest experienced security professionals alike.
* Examines the attacks of September 11th, 2001 and the lasting impact on the security industry
* Expanded figures and photographs support new coverage of emerging security issues
* Recommended reading for the American Society for Industrial Security's (ASIS) Certified Protection Professional (CPP) and Physical Security Professional (PSP) exams
Book Description
In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management, and this trend will only accelerate in the coming years. Unfortunately there is a large gap between the limited treatment of portfolio construction methods that are presented in most university courses with relatively little hands-on experience and limited computing tools, and the rich and varied aspects of portfolio construction that are used in practice in the finance industry. Current practice demands the use of modern methods of portfolio construction that go well beyond the classical Markowitz mean-variance optimality theory and require the use of powerful scalable numerical optimization methods. This book fills the gap between current university instruction and current industry practice by providing a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods. The computational aspect of the book is based on extensive use of S-Plus®, the S+NuOPT™ optimization module, the S-Plus Robust Library and the S+Bayes™ Library, along with about 100 S-Plus scripts and some CRSP® sample data sets of stock returns. A special time-limited version of the S-Plus software is available to purchasers of this book.
“For money managers and investment professionals in the field, optimization is truly a can of worms rather left un-opened, until now! Here lies a thorough explanation of almost all possibilities one can think of for portfolio optimization, complete with error estimation techniques and explanation of when non-normality plays a part. A highly recommended and practical handbook for the consummate professional and student alike!â€
Steven P. Greiner, Ph.D., Chief Large Cap Quant & Fundamental Research Manager, Harris Investment Management
“The authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software. Their book should be an enormous help to students and practitioners trying to move beyond traditional modern portfolio theory.â€
Peter Knez, CIO, Global Head of Fixed Income, Barclays Global Investors
“With regard to static portfolio optimization, the book gives a good survey on the development from the basic Markowitz approach to state of the art models and is in particular valuable for direct use in practice or for lectures combined with practical exercises.â€
Short Book Reviews of the International Statistical Institute, December 2005
Customer Reviews:
If your copy did not include the web registration code..........2007-05-12
Some copies (especially used copies) of this book don't include the web registration key sticker. If you need it, you can contact Insightful Technical Support (keys at insightful dot com) to get a registration key and password.
Customer Service.......2007-03-28
I have got a very good and prompt service and response from Amazon for the book ordered.
Excellent academic treatise a little less useful for practitioners........2007-01-28
I will admit to being torn between four and five stars for this book. I ultimately deduct a star because of: the lack of any sign of the promised web registration key for downloading the 150 day trial software and data, the heavy use of NuOPT where vanilla S/R code would have been sufficient and possibly even easier to understand, and the frequent use by the authors of providing symbolic solutions from Scherer's 2000 book on optimization where implementation is "left as an excercise".
The book dispenses with traditional Markowitz mean-variance optimization in the first chapter, and then moves on to many other methods of optimization for different types of portfolios, asset classes, and investor utility functions. All of this is excellent, comprising the broadest treatment in a single title that I am aware of.
The book makes heavy use of NuOPT, an add-on package for S-Plus from Insightful, and the SIMPLE linear programming included with NuOPT. I was disappointed that the authors make no effort to work problems without NuOPT, even when simplex or other methods would solve the problems presented in more elegant manner.
I was most disappointed that the authors often leave implementation to the reader. Every chapter has "Exercises" at the end. This is fine. I don't think it is fine to discuss the symbolic solution of a problem (like several of the scenario optimization methods discussed in Chapter 5), and then leave as an excercise the implementation of those portfolio solutions in S-PLUS, SIMPLE, or NuOPT. Nearly every chapter has a significant section, usually lifted largely from Scherer's 2000 book, that suffers from this deficiency. It is almost as if the publishers were pushing for a draft, and the authors went through and "left as exercises" whatever they didn't have tested code for.
All my negatives left to the side, this is still the best treatment you'll find in a single title on many issues of portfolio optimization under varying conditions today. Buy this book if you work in portfolio optimization with S-Plus or R.
great reference.......2005-09-09
The best book on this subject. It provides both an excellent up-to-date overview of the relevant literature and an application-oriented perspective. The chapter on robust estimation is outstanding.
Book Description
Introduction to Emergency Management, Second Edition is a practical reference for students and professionals covering disaster response planning and mitigation. The book details the Federal Emergency Management Agency (FEMA) (U.S), the Federal Response Plan (FRP), and the roles, responsibilities, and interrelationship between FEMA and state and local emergency management systems. It also covers the changes in emergency management since the events of September 11, 2001, the latest information on the Office of Homeland Security, and includes several detailed appendices. This Second Edition is completely updated and continues this titles success as a practical reference for students and professionals covering disaster response planning and mitigation.
- Includes continual connection of theory to real-world examples of disasters including the Tsunami disaster and instances of terrorism
- Contains dozens of diagrams and statistics illustrating disaster management history and facts
- Provides links to Emergency Management Web sites and information sources, including homeland security sources
Customer Reviews:
Medical Consequence Manager.......2007-04-17
I found this to be a good introduction to emergency management. I am using it in my course on Disaster Preparidness: medical consequency management. Well written and easy to read for the novice.
Somewhat useful.......2007-03-19
This book is more useful for someone in government. If you need emergency planning/mangement for a business or industry, the book is a good starter but will be limited. Too bad it was published right before Katrina.
Good service.......2007-02-19
I ordered a text book and got excellent service from Amazon. It got here in a timely fashion and in excellent condition.
Introduction to Emergency Management.......2005-10-04
An excellent introductory book with a good review of the basic components of emergency management
Easy Flowing Read.......2005-08-06
For a easy flowing read, buy this book. It has plenty of pertinent information mainly from a federal emergency standpoint.
Book Description
A general introduction to the three primary aspects of Finance and examination of how they interrelate. The book discusses financial institutions and their roles in helping to allocate savings in the economy, along with a description and analysis of securities issued and traded in money and capital markets. The book covers fundamentals of investing in stocks, mutual funds, derivatives, and other marketable securities with an emphasis on securities markets, mechanics of trading, techniques of analysis, diversification, and valuation of assets. Finally, the book lays out the processes, decisions structures, and institutional arrangements concerned with the use and acquisition of funds by a firm. This will include the management of the asset and liability structure of the firm under certain and risky situations.
Customer Reviews:
AN AWESOME SELLER!.......2005-01-01
THE SHIPPING WAS QUICK AS PROMISED. THE BOOK WAS IN FANTASTIC CONDITION!! I WILL BUY FROM AGAIN! THANK YOU!!
Book Description
You'll find detailed but flexible coverage of options, futures, forwards, swaps, and risk management as well as a solid introduction to pricing, trading, and strategy in AN INTRODUCTION TO DERIVATIVES AND RISK MANAGEMENT. A collection of figures illustrate links between puts, calls, stocks, risk-free bonds, futures, options, forwards, Black-Scholes call/put pricing, etc. Included with your purchase is a StockTrack Coupon.
Customer Reviews:
Read Hull.......2006-06-29
I dislike Don Chance both as a person and as a writer. I find him arrogant and intolerable and that bleeds through into his writing. So, yes, I am biased.
I highly recommend instead that you seek out John Hull, a much better author, he has two books; one for undergrad and another for grad (which is the 'bible' on this subject).
A Great Introduction for under or MBA.......2004-11-27
Dr. Chance did a excellent job in carefully introducing the concept and outline of derivatives markets to students with basic business school training. I used the 4th edition in my undergraduate course couple years ago, and built up a solid conceptual understanding in this field. The newest version still keep its pleasant style and contain some thing more about risk management.
This book offers the best introduction to undergraduate business school students or MBA student who need not to work with financial derivatives much.
But for those non-business students wants get into mathematical finance industry, to buy a book only for concept intro may not a economy choice. Refer this book if you find the first half in Hull's "Option, futures and other derivatives" not clear enough.
A Must Have.......2003-08-09
If you are a student just taken up a course in derivatives or risk management you should have this book. if you find john hull more technical, you have Don Chance who covers options and other derivatives in a greater detail and in more words. everything you want to know about how banks etc have risk mangaement systems in place and market risk instruments is here.
in case you want a greater coverage of options and pricing options, you should definatly take a look at Black Scholes and Beyond by Neil Chriss, a work of art.
Excellent book for concepts.......2003-05-09
This is an excellent book for non finance majors who would like to grasp the physical concepts behind different derivatives products traded in the OTC markets. The book is ideal for a preperation read for all aspiring to take Financial Engineering / Derivatives as majors in graduate programs.
An excellent books for Derivatives concepts........2003-05-08
If you are interested in the basic concepts governing derivatives without getting into the mathematics of it then this is the ideal book. I recommend this book for any one who is contemplating taking Derivatives as an advanced level course. The book would give a solid foundation to the concepts of risk management.
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