Book Description
The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions.
The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.
- Comprehensive introduction to the theory and practice of financial derivatives.
- Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest.
- Divided into two self-contained parts - the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice.
- Written by well respected academics with experience in the banking industry.
A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.
Download Description
The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions.
The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.
- Comprehensive introduction to the theory and practice of financial derivatives.
- Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest.
- Divided into two self-contained parts ¿ the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice.
- Written by well respected academics with experience in the banking industry.
A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.
Customer Reviews:
Erroneous comments below.......2005-03-10
I don't know why the previous reviewer said the book contains no mathematical proofs, but this statement is completely false. I have the book in front of me here, and it looks like all the theorems are accompanied with complete proofs. I don't mean to provide a complete review here, but the contents looks good, and so does the choice of topics. It certainly deserves more than 2 stars. While the level of mathematical sophistication is not that of Karatzas & Shreeve's, it is certainly above the level of a lot of prople in finance except those with a mathematical background. For a simpler book you may want to read Hull or something else (you have about 500,000 other books to choose from, isn't that great?)
Yet another textbook on mathematical finance.......2003-07-29
This volume is yet another textbook on mathematical finance (a branch of mathematics, as opposed to quantitative finance/ financial engineering) and does not contain much original material except a good exposition of LIBOR and swap market models in the second part.
The book is divided into two parts, Theory and Pratice.
The theory part is a course on stochastic processes and stochastic integration: martingales, local martingales, semimartingales, Ito integrals and Ito formulas are developed with a high level of mathematical rigor. This part is definitely not accessible to a non mathematician. On the other hand it does not contain anything new and most proofs are not given...
The second part is about applications to finance, but it is focused on interest rate models, which seems to be the expertise of the authors. LIBOR and swap market models and interest rate derivatives are explained in detail but only at a theoretical level; the subtitles on "calibration" do not contain any useful material not is there a single numerical or empirical example of market data/ model calibration. Monte Carlo simulation, finite difference methods and tree methods are not even discussed...
The relation between the two parts is not clear: it seems that one author wrote the first part while the author wrote the second part...for example, the first part takes great care to distinguish predictable and optional processes and to define integrals of predictable processes while the second part only uses continuous models for which this distinction is useless.
Also, the first part develops the Kunita Watanabe decomposition and studies sets of martingale measure and their extremal elements, a prelude to the study of incomplete markets.
These tools are not put to use in the second part.
It could be a good reading for graduate students in probability curious to know about mathematical finance but not to professionals in this field.
well written and relevant.......2000-06-20
The book "Financial Derivatives in Theory and Practice" by P.J. Hunt and J.E. Kennedy is yet another textbook on modern mathematics of finance. Although the market seems to be saturated by countless texts on the subject, this book appears to be an original and valuable contribution to the current literature.
The book is divided into two parts: Theory (212 pages) and Practice (159 pages). The first part surveys the mathematics of no-arbitrage pricing theory. It starts by a succinct and rigorous account on stochastic calculus (including basic properties on Wiener process, theory of martingales, and a complete development of stochastic integration w.r.t. continuous semimartingales), written in the spirit of the monograph by Revuz and Yor. The section on SDEs is particularly detailed and covers many topics (e.g. strong and weak solutions, description of the Yamada-Watanabe construction) that are not typically found in texts on finance. All technicalities are treated with due care, and some parts of the text are accompanied with exercises. The first part concludes with two sections on pricing by no-arbitrage and term structure models. Overall this part of the book is masterfully written and it is certain to please a mathematically-inclined reader (I'm not sure about the others).
The second part deals with application of the theory in pricing, with emphasis on interest-rate derivatives. After starting off with an interesting discussion about the real-world modelling issues (risk-free vs. "real-world" probability measure, calibration and dimension reduction), the authors introduce basic fixed income instruments (FRAs, caps, floors, swaps, etc) and proceed by developing no-arbitrage pricing using the standard Black's formula. The next four sections containing material on pricing exotic European derivatives largely follow authors' previously published papers. The book concludes with several sections on pricing exotics and path-dependent derivatives that start with a nice accounts on short-rate (Vasicek-Hull-White) model and market models. The treatment of the latter also gives a systematic development of the drift correction factors for various choices of numeraires. The last section on Markov functional modelling follows one of the authors' papers. One detail that is obviously missing from this part is the treatment of hedging of interest-rate derivatives. Also additional comparisons between existing and the Markov functional model seem to be in order.
Book Description
Derivatives by Paul Wilmott provides the most comprehensive and accessible analysis of the art of science in financial modeling available. Wilmott explains and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques. Paul Wilmott has produced a compelling and essential new work in this field.
The basics of the established theories - such as stochastic calculus, Black-Scholes, binomial trees and interest-rate models - are covered in clear and precise detail, but Derivatives goes much further. Complex models - such as path dependency, non-probabilistic models, static hedging and quasi-Monte Carlo methods - are introduced and explained to a highly sophisticated level. But theory in itself is not enough, an understanding of the role the techniques play in the daily world of finance is also examined through the use of spreadsheets, examples and the inclusion of Visual Basic programs.
The book is divided into six parts:
Part One: acts as an introduction and explanation of the fundamentals of derivatives theory and practice, dealing with the equity, commodity and currency worlds.
Part Two: takes the mathematics of Part One to a more complex level, introducing the concept of path dependency.
Part Three: concerns extensions of the Black-Scholes world, both classic and modern.
Part Four : deals with models for fixed-income products.
Part Five : describes models for risk management and measurement.
Part Six : delivers the numerical methods required for implementing the models described in the rest of the book.
Derivatives also includes a CD containing a wide variety of implementation material related to the book in the form of spreadsheets and executable programs together with resource material such as demonstration software and relevant contributed articles.
At all times the style remains readable and compelling making Derivatives the essential book on every finance shelf.
Customer Reviews:
Great book on PDE approach to derivatives........2003-10-02
This is actually a wonderful introduction to the theory of derivatives and personally I find it to be a little humorous on occasion as well. There is definitely some ego here but it does not interfere with the author's sincere attempt to present the material in such a way that it can be understood easily by anyone with the required math background. That of course is the problem for some: this book requires a fairly extensive math background to be really understood. Fakers may try, but the successful will have a pretty good background in mathematics. That said, the discussion of stochastic calculus is better than many have led the casual onlooker to believe. It is not rigorous but is perfectly sufficient for the subject matter at hand. A good understanding of the material in this book will make the reader truly dangerous in the realms of the PDE theory of derivatives.
A fine introduction from the standpoint of PDEs.......2003-09-26
Financial engineering as a profession has exploded in the last 15 years, and has enlisted the minds of mathematicians, physicists, economists, engineers, as well as course everyday brokers and traders. This book is geared towards a mathematical audience, as one will need a background in the numerical solution of nonlinear partial differential equations and an understanding of stochastic processes (at the level of the Ito calculus). The author does devote a chapter to partial differential equations for readers who need it. Those readers with such a background will find the book very straightforward to read, especially those readers who are mathematicians or physicists, and are desiring to enter into the exciting field of financial engineering. The book is out of print, and an updated collection of books has been written by the author, but this one could still serve as an excellent introduction to the subject. In addition, this book has exercises, while the updated ones do not. Most of the results in the book can be used to develop practical trading strategies, and so the book qualifies more than being a mere academic exercise.
The author's approach is not always rigorous from a mathematical standpoint, but this is fine since the emphasis is on developing insight into the principles behind the subject, such as the principle of arbitrage, the idea of hedging, etc. Early on, the author shows what is involved in removing oneself from the Black-Scholes world, with clear explanations of jump conditions, time-dependent volatility, and path dependency. The discussion on the valuation of American style options using partial is illuminating considering this is typically done with Monte Carlo simulations. Another interesting part of the book is the derivation of the partial differential equation for the market price of volatility risk. In addition, the author gives an overview of how to speculate with options, a topic that is truly removed from the Black-Scholes world, but of course is taken up with enthusiasm by many traders the world over. This discussion is very interesting, in that it sheds light on just how subjective preferences enter into options trading; but it also shows that such preferences can be treated quantitatively. Assuming the asset price follows a random walk, the author derives an equation for the present value of the expected payoff, an equation that differs from the Black-Scholes equation in having the drift rate rather than the interest rate in the delta term. This risk-neutral valuation is dealt with in more detail in the author's discussion on portfolio management.
The author uses spreadsheets and Visual Basic to perform some of the numerical calculations, with many included on the accompanying CD. This is done no doubt to maintain the connection with practical trading. All of the mathematics and numerical studies could be done more efficiently though with a high-level programming language, such as Mathematica or Maple. The graphical capabilities of these languages will allow the reader to view the results of the calculations on-the-fly.
Some omissions in the book include discussions on energy and weather derivatives, but these are covered, although in not too much detail, in the author's more recent books. Also omitted is any discussion on bandwidth markets or derivatives trading in network capacity. This is also a new area, but one that is growing rapidly. Discussion of it will no doubt be included in future books on derivatives.
Not to be passed by any derivative readers.......2003-01-29
I myself find a hard time writing a review about this book, and thus not to be misleaded by the stars I gave. Perhaps what's preventing it from 5 stars is the nature of the task rather than the author's capability.
The book is so comprehensive such that it's going to be very difficult if not impossible to find the book with greater coverage on the subject. The level of discussion should be on the intermediate level or first-year graduate students. A good background on basic derivatives or mathematics ( algebra, differential calculus, and statistics) will proof sufficient in most of the cases to follow the mathematical detivations in the book. Working out the exercises at the end of each section will be a great pleasure to all the derivative students. Unlike many other text books which provided many difficult but interesting exercises but never the solutions elsewhere as if it's the author's intention to keep the secret with themselves forever, the Book's Instructor Manual with the solutions to all the exercises is separately available through the Publisher. However, I feel that the unexperienced readers should spend some time with a more directly accessible derivatives book such as Hull's classic ( Options, Futures, and Derivatives Securities ) before approaching this book. Once this is done, you'll realize that the Author knows the subjects very well and has his interesting ways to take you to a very heart of the concepts.
I think there are 2 limitations of this book that should be put forward. Some mathemetical concept on modern derivative pricing theory such as martingale or measure theory are only scantly touched throughout the book. Yet I have a good perception that it;s the Author's intention to follow his preferred PDE approach on derivatives pricing and to make a book more directly accessible to a practitioners i.e., derivative traders or researchers, rather than the full academic researchers. Also the treatments on interest rate through sufficiently comprehensive, is far from completion. However, the literature on interest rate derivatives is very farflung such that it should be treated in a place of it's own. I myself don't really look at this as a handicap on this book.
All in all, I can't find any good reason why this book shouldn't be on derivatives section shelf.
Wide but lopsided coverage.......2000-09-01
Paul Wilmott's book has an impressive but lopsided coverage. Paul is clearly an expert in numerical solutions of Partial Differential Equations (with a leaning towards non-linear ones, I would guess) and this topic does find useful applications in derivatives valuation. His expositions of techniques and concepts in this area is lucid and helpful. Unfortunately the 'martingale revolution' seems to have by-passed him altogher. Not only he avoids probabilistic techniques and jargon in his treatment (this could be an intelligent choice), but he gives far too scant treatment to very important related concepts - such as the change of numeraire - which have very powerful practical applications and are coneptually very far reaching. Similalry, the treatment of interest rate models is far too centered on the 'traditional' approaches, to the detriment of a serious analysis of such approaches as the BGM (in this context, I found his dismissive commnents about his colleagues in poor taste). The book would have been very good in the early 90s. Finance has moved on too much, though, for such as weeping title as 'Derivatives' to be warranted today.
THE DERIVATIVE BOOK.......2000-07-31
Paul Wilmott's passion for derivatives / quantitative finance is fantastic. It's a great pleasure to read his book. Not only does he cover a vast range of topics (50 chapters), but he also presents it with loads of examples. Paul's addition of Excel Visual Basic formulas plus the wide range of references make it the book on financial engineering. It's very rare to find people who can explain such a technical topic in such a individualistic style (reminds me of Richard Feynmann who explained quantum theory without maths).
It's still very technical though, be reminded that Paul is a mathematician, so readers who are looking for a non math book on derivatives are well advised to look for another book (e.g. Kolb).
Amazon.com
This handy fact-filled book initiates you into the mysteries of the financial pages -- buying stocks, bonds, mutual funds, futures and options, spotting trends and evaluating companies. For those who are curious but intimidated by everyday financial jargon, this guide offers a literate, forthright and lively alternative. Recommended.
Book Description
The Wall Street Journal Guide to Understanding Money & Investing initiates you into the mysteries of the financial pages -- buying stocks, bonds, mutual funds, futures and options, spotting trends and evaluating companies. For those who are curious but intimidated by everyday financial jargon, this guide offers a literate, forthright and lively alternative.
Customer Reviews:
Great!.......2007-03-27
Just finished reading it. Wow, what a mind trip. Fast shipment too!
Investing for Dummies.......2005-05-03
I cant believe that I went through college without taking business or econ classes (except for political economy). This is a way for me to catch up.
I like this book because it is easy to read and understand. So easy even an elementary school kid could understand....ok maybe junior high.
Eventually I would hope to read the Intelligent Investor.
Excellent basics.......2004-12-08
This book is excellent for learning the basic concepts in investing and finance. If you would like to iniciate in this area, i recommend this book as an entry door with the basics.
The Best.......2004-05-25
As many have said in their reviews, this is a great starting point for those new to investing and financial markets. In fact, it's the best I've ever found and I've looked a lot. The simple, plain English explanations are what makes this book stand out. For the nuances and more detailed information regarding the topics in the book, look to a textbook from a college finance class. But for the person who knows very little, start with this.
Good for beginner investors.......2004-05-23
If you are new to investing and need a simple primer, read this book. It's well organized and written. Those that have invested for a while will find this book simplistic. Nevertheless, I think every beginning investor should get a copy and read it.
Book Description
Find out how institutional and private investors can safely invest into private equity funds including venture capital and buyout funds. Two experienced practitioners provide you with a review of the private equity fund indistury and a description of all the relevant management issues of fund investments - from a day-to-day an a portfolio perspective to indirect investment vehicles such as funds of funds and securitised notes.
Customer Reviews:
Comprehensive introduction into the world of Private Equity.......2005-08-31
This new book gives a very good insight and overview into the world of private equity for the interested student and practitioner.
In fact, it starts from the very basics, explaining the market and the nature of PE fund investments, presenting the various data providers in the market, and goes on to tread very complex issues like state-of-the-art forecasting & monitoring portfolios, important legal issues, advanced cash flow modelling and risk assessment techniques, funds of funds, CFOs and secondaries.
The authors are both highly renowned experts in the PEF industry, Mr. Weidig as a consultant with various publications regarding funds and funds-of-funds, and Mr. Grabenwarter as head of division for Venture Capital Operations at the EIF.
Both combine theoretical understanding with years of experience in the PE funds market, as well as hands-on experience with building risk management systems for this specific type of financial investment - a combination rarely encountered in the world of PE funds!
Customer Reviews:
There is an alternative........2007-08-20
WSJ Guide to Money is out of print. That is why the cost has gone through the roof. Standard and Poor's Guide to Money and Investing (Standard & Poor) The Standard and Poors Guide to Money is by the same authors and is even a year more current. Take a look at the cover you can even see that it is the same book and that all that was done is WSJ in the title is changed to "Standard and Poors Guide to Money and Investing". Same book by the same author. The only difference is that is is in print so the price is reasonable.
Handy Little Book.......2007-05-03
Although this isn't the largest book in the world, I really enjoyed reading it. I thought that I was pretty savvy as far as the way things worked, but this book definitely enlightened me. I also appreciated the pictures that made things clearer.
A little bit tough to read, but worth it........2007-04-28
If you're a beginner, interested in investing, this is a very decent primer to start with. Buy it with Eric Tyson's Investing for Dummies, and you'll be fully set!
Not impressed.......2007-02-12
A nice introduction to wall street if you were raised on Mars. For people who want to do investing for a living this is a waste of time
To get the whole picture.......2006-12-22
I think this book did a great job in helping me understand the universe of money and investing beyong the scope of stock. I have been trading for 1 year and wanted to buy a small book that gave me a general education on the subject. Although much more can be written on each topic covered it is good for beginning to understand the whole picture.
Book Description
Discover How Investing in Exchange-Traded Funds Can Help You Build a Winning Financial Portfolio
"Archie Richards delivers the nuts and bolts of ETFs---and much more that the investor needs to know."
Gary L. Gastineau, early developer of exchange-traded funds, Managing Director of ETF Consultants, LLC
"ETFs are not a form of extraterrestrial, but they do remain a mystery to many. We should be grateful to Archie Richards for explaining everything about them and also offering mush useful advice. This is a timely and terrific book on one of today's hottest investment topics."
Hunter Lewis, Co-founder, Cambridge Associates, LLC
"Understanding exchange-Traded Funds is a no-nonsense approach to setting financial priorities, and a crash course on the basics of investing. Archie's description of various investments gives the information you need to become a wise investor."
Steve and Annette Economides, Authors of America's Cheapest Family Gets You Right on the Money
“Archie Richards is the go-to guru for ETFs, and Understanding Exchange-Traded Funds simply cements that reputation. If you're dipping your toe into the ETF waters for the first time, now you can jump right in instead. Understanding Exchange-Traded Funds is the investment life preserver you've been waiting for, and Archie Richards is the guy you want guiding you through the strokes.”
Angele McQuade, author of Investment Clubs for Dummies and book reviewer for Better Investing magazine
Turn to Understanding Exchange-Traded Funds for a quick, accessible overview of ETFs_the hottest and most significant investment tool of recent years. This expert guide explains why exchange-traded funds are important and why they work so well, highlighting the advantages of ETFs over traditional mutual funds and discussing all the new types of ETFs.
Keeping complex mathematics to a minimum, Understanding Exchange Traded Funds thoroughly covers:
- The key elements of ETFs: costs, redemption, the three basic categories, tax consequences, and more
- How to use ETFs for asset allocation or retirement accounts
- How and where to buy ETFs
- The ETFs offered by Barclays, Vanguard, State Street, and other companies
- Avoiding common ETF mistakes and misconceptions
Book Description
Capitalize on the Opportunities Hedge Funds Offer for Increased Investment Returns and Reduced Risk
Understanding Hedge Funds is a clear, direct guide to the nature and use of hedge funds. This concise resource demystifies the different types of hedge funds, weighs the opportunities and risks, and helps you determine which ones are best for you.
Writing in an informal, user-friendly style, financial expert Scott Frush answers any question you may have about these largely unregulated investments. Avoiding complex mathematics, he presents an overview of the hedge fund market…describes the place of hedge funds in the global financial system…explains how to pick a hedge fund manager… and shows you how to avoid common mistakes and misconceptions.
With this wealth-building resource you'll be to:
Learn the advantages and disadvantages of hedge funds vs. mutual funds
Discover strategies for low, moderate, and high-risk investing
Learn about the role of hedge funds in asset allocation
Explore important legal and regulatory issues impacting hedge funds
Utilize the author's valuable hedge fund checklist and toolkit
Product Description
Your guide to understanding Investing covers buying stocks, bonds, mutual funds, and futures and options. It discusses spotting trends, evaluating companies and preparing for retirement. This guide provides a clear and consice survey of the information you want, and need, to make financial decisions.
Average customer rating:
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The Bond Fund Advisor: Understanding the Risks and Rewards
Werner Renberg
Manufacturer: Kaplan Publishing
ProductGroup: Book
Binding: Hardcover
 General
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ASIN: 0884629120 |
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Cutting the Gordian Knot: Understanding Investing in Stocks, Bonds, and Mutual Funds
A. A. Neese
Manufacturer: American Literary Press
ProductGroup: Book
Binding: Hardcover
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| Economics
| Business & Investing
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Mutual Funds
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ASIN: 1561674966 |
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The Financial Services Revolution: Understanding the Changing Roles of Banks, Mutual Funds, and Insurance Companies
Clifford E. Kirsch
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Hardcover
General
| Popular Economics
| Business & Investing
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Public Finance
| Economics
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General
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Banks & Banking
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ASIN: 0786309628 |
Book Description
Financial services are facing numerous challenges caused by the rapid changes occurring in the marketplace. These events have called into question the fundamental principles upon which the current regulatory structure was built. In the past, the roles of banks, mutual funds, and insurance companies have been somewhat separate; today the differences are becoming less noticeable. The Financial Services Revolution explores the current regulatory environment. This title is an essential tool for any financial professional seeking to keep abreast of this rapidly changing industry. Specific topics include: Banks and insurance companies moving away from their traditional business operations and entering the investment management arena; The increasing role of mutual funds in the financial services industry; The explosion of new financial instruments into the industry.
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
The Volatility Surface: A Practitioner's Guide (Wiley Finance)
Efficient Methods for Valuing Interest Rate Derivatives
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