Books

Average customer rating:

good but not excellent
Good book to understand quantitative finance
Investment Science must have
One of the few books I have purchased twice.
Excelent book! Great clarity and depth in the subject

Investment Science
David G. Luenberger
Manufacturer: Oxford University Press, USA
ProductGroup: Book
Binding: Hardcover

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Enterprise Risk Management: From Incentives to Controls
Options, Futures and Other Derivatives (6th Edition)
Fundamentals of Private Pensions
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Heard on the Street: Quantitative Questions from Wall Street Job Interviews

ASIN: 0195108094

Book Description

Fueled in part by some extraordinary theoretical developments in finance, an explosive growth of information and computing technology, and the global expansion of investment activity, investment theory currently commands a high level of intellectual attention. Recent developments in the field are being infused into university classrooms, financial service organizations, business ventures, and into the awareness of many individual investors. Modern investment theory using the language of mathematics is now an essential aspect of academic and practitioner training. Representing a true breakthrough in the organization of finance topics, Investment Science will be an indispensable tool in teaching modern investment theory. It presents sound fundamentals and shows how real problems can be solved with modern, yet simple, methods. David Luenberger gives thorough yet highly accessible mathematical coverage of the standard and recent topics of introductory investments: fixed-income securities, modern portfolio theory and capital asset pricing theory, derivatives (futures, options, and swaps), and innovations in optimal portfolio growth and valuation of multiperiod risky investments. Throughout the book, he uses mathematics to present essential ideas of investments and their applications in business practice. The creative use of binomial lattices to formulate and solve a wide variety of important finance problems is a special feature of the book. In moving from fixed-income securities to derivatives, Luenberger increases naturally the level of mathematical sophistication, but never goes beyond algebra, elementary statistics/probability, and calculus. He includes appendices on probability and calculus at the end of the book for student reference. Creative examples and end-of-chapter exercises are also included to provide additional applications of principles given in the text. Ideal for investment or investment management courses in finance, engineering economics, operations research, and management science departments, Investment Science has been successfully class-tested at Boston University, Stanford University, and the University of Strathclyde, Scotland, and used in several firms where knowledge of investment principles is essential. Executives, managers, financial analysts, and project engineers responsible for evaluation and structuring of investments will also find the book beneficial. The methods described are useful in almost every field, including high-technology, utilities, financial service organizations, and manufacturing companies.

Customer Reviews:

good but not excellent.......2007-03-15

This book serves very good introduction to mathematical finance. Particularly,
I enjoyed the discussion of bonds immunization, mean-variance theory, CAPM, APT.
It's most suitable for senior undergraduates or any junior graduate students.
But it doesn't deserve 5 star for the following reasons:

1) Most of the theories discussed so far in the book are TOO idealized and
over simplified. Financial data is dynamic and massive. In model quantitative/computational finance, the most important thing is to understand what the data says rather than what one thinks the data structure might be. With the book, one probably can only do some macroeconomic/very coarse analysis. Author should incorporate more data analysis evidence together with proposed theories.

2) The proof of ito's lemma is wrong(i.e. "Deltaz^2 --> deterministic as Deltat --> 0"). It's surprising since most books make the same mistake. It is the law of the large number contributes to the equality!(i.e. integration sense). The misunderstanding of the proof might lead to the misunderstanding of the hedging process.

3) In the commodity option pricing session, author demonstrated the use of futher market to price the option. This should be discussed further (i.e. black's model).

4) The volatility pumping session should be further researched. The explanation is
not satisfactory.

Good book to understand quantitative finance.......2005-06-10

Luenberger was a professor of optimization and his books on that subject are also very good. Clear and Precise. But sometimes he is extremely concise, so that you need to work a bit to completely understand a point.

In this book, we have again the same style (after all, it is the author style): Clear and precise book, GOOD choice of notation (I cant say the same thing about HULL's books) but sometimes extremely concise.
Overall, a good book to start learning and on a solid foundation.

Investment Science must have.......2005-03-24

Great book, covers lots of material and goes beyond by using the log utility to portfolio growth. Great buy!!!!

One of the few books I have purchased twice........2003-09-10

This is the best book by far on the theory of finance. The book covers all the important fundamental concepts and develops them into practical models without going overboard and introducing every possible variation on the model. the style is both conversational and mathematical. It is replete with discussions about the material, but it doesnt gloss over the math. I took professor Luenbergers course at Stanford, and it piqued my interest in finance enough to pursue it professionally. (At the time, I was a masters student in electrical engineering.) I purchased several other books in finance. I dont even know where they are now, every time I have a question or need to build a new model, I go straight to Luenberger. This book is so good, I bought a second copy just as a backup, in case I lose my copy and the book goes out of print.

Excelent book! Great clarity and depth in the subject.......2000-10-06

I attended his courses at Stanford and indeed he's an eminence in the subject, and all his wisdom has been printed in this excellent book. This book provides you with the required tools to fully understand the theory and practical methods for valuation. A plus is the introduction of Real Option valuation concept. It's adequate for advanced undergraduates or mainly for graduate studies in preparation for deeper courses.

Advanced Financial Risk Management: Tools & Techniques for Integrated Credit Risk and Interest Rate Risk Managements

Average customer rating:

Introduction to the KRM
Great book on the subject. A must have.

Advanced Financial Risk Management: Tools & Techniques for Integrated Credit Risk and Interest Rate Risk Managements
Donald R. Van Deventer , Kenji Imai , and Mark Mesler
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk (with CD-ROM)
The Fundamentals of Risk Measurement
Risk Management and Financial Institutions
Financial Risk Management In Banking: The Theory and Application of Asset and Liability Management
Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance)

ASIN: 0470821264

Customer Reviews:

Introduction to the KRM.......2006-11-19

Risk management, as the authors define it, delineates for the management of a firm the risks and returns of every strategic decision at the institutional and transactional levels. It indicates how the management must change a particular strategy with the goal of aligning the trade-off between risk and return with the optimal long and short-term goals of the firm. If one desires an in-depth quantitative understanding of risk management as it is practiced at the present time, this book offers a comprehensive and useful overview. Although the authors are clearly showing bias towards a particular tool used for risk management, namely the Kamakura Risk Manager @ product which they helped to develop and market, the reader still gains insight into the relevant factors that go into successful risk management and will understand just how challenging this field is. The book is geared towards the student, for there are usually exercises at the end of each chapter. The goal of the book is very ambitious, in that the authors attempt to integrate credit, market, and operational risk, along with asset and liability management, performance measurement, and transfer pricing into a single framework. The justification for this integration is given as the book unfolds, and because of this the reader may frequently feel impatient, and thus tempted to skip ahead. However, readers who do this will miss out on the interesting argumentation and historical analysis the authors give, with each chapter setting up next. There is therefore a heavy dependence between chapters, and this makes a "skim read" more difficult, at least from the standpoint of in-depth comprehension of the subject matter. Those readers who are not experts in risk management, such as this reviewer, but who have a sound background in probability theory, stochastic processes, and financial engineering (at the level of the Black-Scholes model) will find this book ideal. Options theory plays a central role in the book, as the authors propose that the Jarrow-Merton put option is the best comprehensive measure of integrated credit, interest rate, and foreign exchange risk. The authors believe that risk management should make no distinction between credit risk, market risk, operational risk, asset and liability management, performance measurement, and transfer pricing.

The authors begin the book by discussing the difference between risk management from the standpoint of net income and from the standpoint of mark-to-market, and how a failure by some financial institutions to adopt the latter caused them great pain. Their historical commentary on this topic is enlightening for it gives insight into some of the biases concerning risk that exist even at the present time. For this reviewer, one of the most interesting discussions in the book concerned the transaction cost approach to prepayment modeling in asset-backed securities. In this approach, the authors divide the borrowers into three classes, with the first being those who make prepayments even when they should not. The second class are borrowers who prepay at a time when the advantages of prepayment exceeds the transaction costs of doing so. The third class are those borrowers who make prepayments when advantageous to do so, even though in the past they have refrained from doing so. Following the book's paradigm, the authors formulate the prepayment model in terms of options, with the value of the option to prepay being calculated from observable market data. The authors claim that this approach fits the movements in loan prices better than the approaches based on prepayment speeds and prepayment tables, but they do not offer explicit evidence for this claim. In fact throughout the book there are many instances where the authors do not offer any real case studies that would illustrate the superiority of their approach and the use of the Kamakura Risk Manager@. Risk analysts and managers will insist on the availability of these studies before committing themselves and institutional resources to this product or any others that make such claims.

The book should not be viewed therefore as purely a "theoretical" overview of risk management techniques. The authors give examples illustrating the main principles. For example, in their discussion of one-period models they assert that a collection of homogeneous risks are not sufficient, since the likelihood, magnitude, and timing of risks are closely linked. As examples, they quote the debacles in the U.S. Savings and Loan and Long Term Capital Management, and the takeover of Security Pacific Corporation by Bank of America. They also give examples of 'selection bias' in measuring risk.

Many interesting questions are addressed in the book, such as: 1. Why are 'fat-tailed' events important in risk analysis? 2. What is 'transfer pricing' and why is it useful? 3. Should risk be measured in terms of the volatility of the mark-to-market value of the relevant portfolio or in terms of the volatility of the net income? 4. How large should risk limits be for each part of a financial institution? 5. How is the mark-to-market value of a portfolio measured? 6. How is tracking error measured? 7. How is a hedging strategy to be priced? 8. What advantages, if any, are there in using Monte Carlo simulations of returns over a chosen time horizon? 9. What are the implications to credit risk of the new Basel II accords? 10.Why are stress tests important in a hedging strategy? 11.What area of the financial organization should be responsible for credit risk?

The authors also give a thorough discussion of yield curve smoothing, and how to derive the zero-coupon bond prices from observable data. The method of splines seems to be their preferred method of choice as a smoothing technique, which they advertise as being one that allows the calculation of zero-coupon bond prices for a large number of payment dates. They show, interestingly, that a cubic spline of zero-coupon bond yields is the smoothest yield curve.

Great book on the subject. A must have........2006-05-11

I think this book is a must have for everyone involved in managing or supervising interest rate risk. The authors are clear in their explanations and light to read, but they also get in-depth in several technical aspects.

I am a banking supervisor and I had been lookin for a book on this subject for a while, specially one with an emphasis on managing interest rate risk since the Basel committee has very few pointers on this.

The book tackles the most common problems, including the managerial aspects, as well as the techniques frequently used for modelling things like deposits (DDAs), revolving credit and a product by product guide to financial instruments, and much, much more. Definitely a must have, if you can browse through a few sections or the index and you will quickly see what I mean.

Managing Risk in the Foreign Exchange, Money and Derivative Markets

Average customer rating:

Managing Risk in the Foreign Exchange, Money and Derivative Markets
Heinz Riehl
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Hardcover

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Foreign Exchange And Money Market: Managing Foreign and Domestic Currency Operations

ASIN: 0070526737

Book Description

A professional's guide to controlling risk when investing in the foreign exchange and money markets. Particular emphasis on the use of derivatives. The book offers a unique perspective combining coverage of all three areas.

Average customer rating:

One of the worst books
Purchase at your own risk
Stick to SOA/CAS Syllabi
Perfect for FM exam
Where to get more information

Mathematical Interest Theory
James W. Daniel , and Leslie Jane Federer Vaaler
Manufacturer: Prentice Hall
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Derivatives Markets (2nd Edition) (Addison-Wesley Series in Finance)
Derivatives Markets (Student Solutions Manual)
An Introduction to Optimization, 2nd Edition
Fundamentals of Actuarial Mathematics
Mathematical Statistics with Applications (Mathematical Statistics (W/ Applications))

ASIN: 0131472852

Book Description

Written in a reader-friendly manner, this reference is designed to meet the needs of readers who want to master the interest theory and finance topics addressed in the Financial Mathematics exam. Requires an algebra background; calculus not a prerequisite. Encourages readers to practice writing throughout, and more than 30 end-of-chapter writing exercises are included. Provides more than 240 worked examples in a wide range of difficulty. Features abundant examples, discussion, and problems throughout. A useful guide for readers planning to take the Financial Mathematics exam.

Mathematical Interest Theory, 1/E

James W. Daniel

Leslie Jane Federer Vaaler

Customer Reviews:

One of the worst books .......2007-05-23

I'm a computer engineering and math double major. I took a math class about interest and this is the book associated with the class. This is one of the worst books, the sections do not prepare you for the end of chapter problems. The questions are unclear it's either that they need to improve the questions or the sections. This book sucks, I rated it 1 star because there are no negative stars. This is the worst book ever. I was so angry at this book I actually burnt it after I was done with that class. Waste of money, waste of time. Infact my I.Q. probably decreased after reading this book and attempting the excersises at the end of the chapter.

Purchase at your own risk.......2007-05-05

To begin with, I think that this book is written for those who already have a familiarity with the material. Just so you know my experience with this book, I took a college math course where this was the required text. I soon found out, that the examples through the chapter were decent, but the questions at the end had little or no correlation to those previously read in the chapter. I should add that what made these questions decent is that you could decipher the meaning of the chapter examples because the examples solutions were directly after.

I think that if the author spent a little more time making the review problems a little more understandable and similar to those seen previously, than thinking up different names for the people in every single problem, He may have written a decent book. And that is a BIG MAYBE!

If you are thinking of purchasing this book to prepare for the Actuary FM Exam, DON'T. Stick to the ones on the SOA recommended list, or one of the Temple or Actex study manuals.

Stick to SOA/CAS Syllabi.......2007-03-20

I used this text in a class designed to prepare me for my FM exam. It didn't. The text has some usefull calculator exercises but the homework problems are not comensurate with the level of difficulty in the section examples. If you are preparing for the actuarial FM exam, don't use this book. Stick to the texts reccomended by the SOA and CAS.

Perfect for FM exam.......2006-07-26

I highly recommend this book for students studying for the FM exam. I read the book cover to cover and passed the exam. It is easy to read and is full of examples to illustrate the concepts. The difficulty levels presented make a nice range; there are a good mix of problems designed to reinforce the concept as well as problems using a combination of concepts (much like the FM exam).

Where to get more information.......2006-03-24

Of course I like the book---I'ma co-author. For sample sections and more information, see http://www.actuarialseminars.com/book.html .

Managing Interest Rate Risk: Using Financial Derivatives (Institute of Internal Auditors Risk Management Series)

Average customer rating:

Managing Interest Rate Risk: Using Financial Derivatives (Institute of Internal Auditors Risk Management Series)
John J. Stephens
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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Managing Currency Risk: Using Financial Derivatives
Introduction to Structured Finance (Frank J. Fabozzi Series)

ASIN: 0471485497

Book Description

As with previous titles in the IIA (Institute of Internal Auditors) series this is a clear and practical guide to a subject of key importance to financial managers. Whether borrowing, investing, saving or trading, a company will always have to take into account the cost of capital and therefore interest rate risk. The highly accessible style explains everything from the basic principles through to the techniques allowing those without prior knowledge to understand the nature and use of a variety of financial tools, including derivative instruments. This is the third part of the trilogy on market risk, the previous two being Managing Currency Risk and Managing Commodity Risk.

Modelling Fixed Income Securities and Interest Rate Options (2nd Edition)

Average customer rating:

Incomplete
Excellent!
required reading in fixed income
At last a real well written Book on Interest Rate Modeling!
Modelling Fixed Income Securities and Interest Rate Options

Modelling Fixed Income Securities and Interest Rate Options (2nd Edition)
Robert Jarrow
Manufacturer: Stanford Economics and Finance
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (The Wiley Finance Series)
Options, Futures and Other Derivatives (6th Edition)
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
Statistics and Finance: An Introduction

ASIN: 0804744386
Release Date: 2002-07-01

Book Description

This book teaches the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easily be learned “on the job,” Jarrow is more concerned with presenting a coherent theoretical framework for understanding all basic models. His unified approach—the Heath Jarrow Morton model—under which all other models are presented as special cases, enhances understanding while avoiding repetition. The author’s pricing model is widely used in today’s securities industry.
In this revised edition, the author has added new chapters to enrich coverage, and has modified the order of chapters slightly to smooth the progression of material from simple to complex. Online material will be available with the text, replacing the diskette included in the first edition; lecture notes for instructors will be available on PowerPoint slides. MathWorks has provided a free online, limited version of the MATLAB’s financial derivatives toolbox, with which users of the book can apply the theory presented in each chapter.

Customer Reviews:

Incomplete.......2003-12-08

This book is at its best when explaining the theory. Jarrow provides lots of very explicit examples that really help to illuminate the ideas. Unfortunately, the reader is left to fend for himself when it comes to implementing the theory. The author simply breezes over how to estimate and calibrate these models. There is a rich--but abstruse--literature on how to apply HJM models. This book would be greatly improved if it covered this aspect of the topic with the same care and detail as is devoted to the theoretical segment of the book.

Excellent!.......2003-09-27

The book is very good, unquestionably. It provides you with a deep understanding of interest rate models and risk management. Mind you, you need to know the basics of bonds and fixed income contongent claims, before you try this book. The examples are apt, and explanations are succint, and easily understood. The mathematics involved can be mastered easily, and no arcane stuff (like measure-theoretic probability etc.) are used. So, the book will be accessible to MBA students too. This book has helped me understand the subject very well.

required reading in fixed income.......2003-02-11

Excellent job on the detail analysis of fixed income models, accessible to non-mathematician, no stochastic calculus involved. this book is more focused than Tuckman's book. this is absolutely more easy reading than all other fixed income model books out there. read this one, you will be on the way to "martingale methods in financial modelling". also recommend "fixed income analytics".

At last a real well written Book on Interest Rate Modeling!.......2002-08-16

This book will definitely replace all the books on interest rate modeling- Brigo Murcurio etc. The book starts at an elementary level, explains every details of the concept, and then develop the subject matter one needs to know to be a pro in interest rate modeling. Even the simple concepts like duration, convexity are clearly explained that many other books take pages, and even then not very clear. Buy it, Read it! After all you will be learning from a master! The clarity and the writing style are simply great! Good job Prof. Jarrow!

BTW: Neither Prof.Jarrow knows me nor I know him personally

Modelling Fixed Income Securities and Interest Rate Options.......2000-02-29

Bob did an excellant job on Derivative Securities and a horrible job with this book. All the tree pictures packed with discount bond prices, rates and risk neutral prob just confuse people even more. Read Derivative Securities and you would understand how HJM works better.

Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities (Financial Management Association Survey and Synthesis Series)

Average customer rating:

Very good Book for a practitioner
Very poorly written
He knows how to design derivatives and make them work
EXCELLENT AND IN PATCHES OUTSTANDING

Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities (Financial Management Association Survey and Synthesis Series)
Fred D. Arditti
Manufacturer: Harvard Business School Press
ProductGroup: Book
Binding: Hardcover

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Options, Futures and Other Derivatives (6th Edition)

ASIN: 0875845606

Book Description

Arditti describes and explains four major classes of derivative instruments: options, futures, interest rate swaps, and mortgage derivatives. He discusses each market's structure and the applications and pricing of each instrument, focusing on the valuation methods that are most commonly used by professional market participants. Each segment begins with a description of the institutional arrangements that have come to characterize the markets in which the instruments trade. Arditti examines basic derivatives in each class with respect to their risk transference properties, risk management applications, and pricing. He then traces the evolution of these markets in terms of new instruments introduced, the factors inspiring their development, and the alterations in pricing technology required by more complex derivatives. Arditti includes numerical examples to clarify the procedures. The Financial Management Association Survey and Synthesis Series.

Customer Reviews:

Very good Book for a practitioner.......2005-12-09

I found the book very useful in practice. It gave you a lot of details.

Very poorly written.......2004-02-13

I found Arditti's writing to be simply attrocious. What the marketplace needs is a clear, concise guide to instrument structure and valuation, and Mr. Arditti writes in circles. As an example, his chapter on option pricing refers to "using the methods used previously in this chapter" without referring to how to apply these to the method just introduced. The method just introduced was explained using numbers that were presumably fabricated, but lord only knows, because the author can't be bothered to specify how his example was structured.

In trying to explain things simply, the author fails to explain anything clearly. "Derivatives" is an extreme disappointment. As a reference, this book may have some use, but if you're looking to learn something from it, stear clear.

He knows how to design derivatives and make them work.......2003-07-28

I am completely satisfied with this book. He knows how to design derivatives and make them work. This book does a remarkable job of explaining the theory and practice of derivative securities.

EXCELLENT AND IN PATCHES OUTSTANDING.......2000-08-09

This book is an excellent resource for beginning and intermediate level fund managers who want to understand the derivatives to be able to use them in risk hedging and income maximization.

The book is excellently organized in four sections and each section is self sufficient. Each of the sections begin with basics, illustrates the concepts with example, introduces the mathematics of pricing and methodology of hedginag of risks

Every section has also a nice subsection on terminology and definitions.

Book Description

Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position.

Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging.

Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale Universitys School of Management.

Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London.

Book Description

What are forward rate agreements * using FRAs * what are interest rate futures * closing positions * using futures.

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