Book Description
Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedging and arbitrage for professional traders and money managers
Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management.
Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Customer Reviews:
Dynamic Hedging...goo stuff.......2007-06-13
Great book, very easy read as it is written in a conversational tone. Covers all the issues associated with derivative trading in an intuitive manner.
Good Work.......2006-10-24
Definitely for pros. This book is one of the fewest which is concentrated on the hedging compared to the tons which explain pricing. The other pro of the book is you don't need to be a quant or a PhD guy to understand the book. If this seems what you are looking for, i recommend you get it.
the best book in options.......2006-03-24
This book is a really useful and practical introduction in derivatives from a guy who knows what he is talking about.
Plenty of illustrations and stories from real life. Mathematics is quite informal, and hence the book may not be used for PhD programs - it's a good master's level... good for a guy who wants to start trading options.
FOR EXPERIENCED TRADERS.......2006-02-27
VERY INFORMATIVE, WRITTEN BY AN ACTIVE TRADER, MANY USEFUL TIPS TO BE APPLIED ON THE JOB. ALL IN ALL AN EXCELLENT BOOK. PROVIDES REAL HELP AND KNOWLEDGE, MUST BE READ BY ACTIVE TRADERS.
Real book for traders.......2004-06-27
really great to figure out the intricacies of options. if you need something more conventional just get hull; this book is by someone who does it for a living and has different intuitions than what you get in the ivory tower.
some of the points are great but may need more updating
Book Description
Praise for Rocking Wall Street
". . . the only four investment strategies you will ever need. . . I dare anyone to read this book and not wake up to the realities of Wall Street, and change their investing habits on the spot."
—Steve Trager Watson Retired CEO and CIO of the hedge fund Watson Investment Partners, LP
"A true Renaissance man and teacher, Gary Marks adeptly explores four investment strategies that can achieve strong results and peace of mind-two concepts usually considered mutually exclusive in the world of Wall Street investing. Using his vast experience and folksy storytelling, Gary provides lessons, anecdotes, and strategies that will help readers find multiple levels of success."
—Mitch Levine Founder and CEO, Enable Capital Management
"Rocking Wall Street brings a musician's heart and soul to the investment process, balancing strategic investing with 'living your life.' Marks's creative approach is sure to strike a major chord with both new and seasoned investors."
—Kerry Paul Altman, PhD Clinical Psychologist
"Rocking Wall Street tips the scales over to the side of the investor and away from the hype masters and media 'experts,' whose lures and promises all seem to vanish in a bear market."
—Michael J. Sell Former auditor, CPA, Investment Consultant
Customer Reviews:
Very Negative Tone.......2007-05-12
Being an investor I thought that this would be worth the read - especially after seeing the names recommending it. It didn't really offer anything new. The big secret insight to give your life back is no real secret (stop investing and basically put your money in the bank when you have enough money to live on confortably - don't keep 'playing the game' forever) and it certainly didn't shake up the way I invest and don't worry, Wall Street won't be rocked either. Overall it carried a very negative tone in my opinion.
I ended up flicking through the last pages and then just put it in the bin. There are better investment reads out there.
This book is an infomercial for fund of funds.......2007-05-10
I was expecting a discussion of diversification such as option strategies, long-short poistions and other hedging techniques backed up by well explained math. This book is none of that. In fact I can save you all the price of the book with this summary: big losses are bad, the market has big down periods, hedging is good but you give up some upside to reduce your down exposure, Warren Buffet is not just a buy and hold investor, he moves in and out but you are probably not as good as he is, therefore invest in a fund of hedge funds and you will get a more consistent return without the large downside. BRILLANT!!! Oh by the way, in case you decide to take his advice and invest in a fund of funds, the author happens to run one. His other points include: day trading is a fools game, if you are rich you should enjoy life and not waste time on investing your own money etc. There is absolutely nothing new in this book. There is however a good due diligence out line for investing in hedge funds in the appendix.
If you are a serious investor that is looking for real insight into diversification theory and ways to do it, THIS IS NOT YOUR BOOK
Helpful financial philosophy, but not enough practical detail about hedging techniques.......2007-04-19
Hi Everyone,
I really enjoyed reading about Mr. Marks investing philosophy. In particular, I liked how he defines the "end game", his attention to risk management, and how he stresses the importance of managing time wisely.
Unfortunately, I thought that information regarding the practical details about hedging techniques was sorely lacking. I think the hedging techniques of individual hedge funds and their effects on portfolio performance should have been explored. For instance, although he mentions Dr. John Hussman in a reference to economists, Mr. Marks fails to mention that Dr. Hussman manages SEC accredited hedged equity and bond mutual funds that are accessible to even average net worth investors (see http://www.hussmanfunds.com/ for more info). I would have very much liked to see a statistical analysis of how funds like Dr. Hussman's might allow hedging of the standard (and in my opinion risky) portfolio that Mr. Marks recommends for average net worth investors.
R. Harazin
P.S. Disclosure -- I own shares of Dr. Hussman's hedged equity fund (HSGFX).
very fragmented review of investment priciples.......2007-04-17
Since there are many positive reviews this book must appeal to some people, to me it seems like a very fragmented approach and re-hash of a lot of well known investment fundamentals. It also obviously is touting hedge funds. It is also talking up fund of funds, which in the case of hedge funds puts the fees into pretty astronomical territory. I generally enjoy John Mauldin and his column, but for Mauldin to recommend this book is somewhat suspect. Serious investors can find better books than this.
How to lead your life and invest you money.......2007-03-22
A great booooook. I think it makes people realise that time is a limited asset. If you accept this and do not want to spend your limited time on handling dollars and conts then it give you a great alternatives
Book Description
Learn the successful strategies behind hedge fund investing
Hedge funds and hedge fund trading strategies have long been popular in the financial community because of their flexibility, aggressiveness, and creativity. Trade Like a Hedge Fund capitalizes on this phenomenon and builds on it by bringing fresh and practical ideas to the trading table. This book shares 20 uncorrelated trading strategies and techniques that will enable readers to trade and invest like never before. With detailed examples and up-to-the-minute trading advice, Trade Like a Hedge Fund is a unique book that will help readers increase the value of their portfolios, while decreasing risk.
James Altucher (New York, NY) is a partner at Subway Capital, a hedge fund focused on special arbitrage situations, and short-term statistically based strategies. Previously, he was a partner with technology venture capital firm 212 Ventures and was CEO and founder of Vaultus, a wireless and software company.
Download Description
Learn the successful strategies behind hedge fund investing
Hedge funds and hedge fund trading strategies have long been popular in the financial community because of their flexibility, aggressiveness, and creativity. Trade Like a Hedge Fund capitalizes on this phenomenon and builds on it by bringing fresh and practical ideas to the trading table. This book shares 20 uncorrelated trading strategies and techniques that will enable readers to trade and invest like never before. With detailed examples and up-to-the-minute trading advice, Trade Like a Hedge Fund is a unique book that will help readers increase the value of their portfolios, while decreasing risk.
James Altucher (New York, NY) is a partner at Subway Capital, a hedge fund focused on special arbitrage situations, and short-term statistically based strategies. Previously, he was a partner with technology venture capital firm 212 Ventures and was CEO and founder of Vaultus, a wireless and software company.
Customer Reviews:
Primer for You Creativity.......2007-08-03
I thought the trading examples and strategies were creative and well explained. It might not be completely appropriate to take these "trading systems" and use them as-is directly in your trading, but they certainly are a good primer to get you thinking of creative ways to find and exploit market inefficiecies and tendencies. The stock market is not completely random, which is why I think these "panic" and other stategies have merit. You've got to think up you're own trading stategies to fit your personality and strengths and I think this book is a good start towards that objective. I've used my own adaptation of the QQQQ crash system and it has worked well. The only thing I wished the book covered more was maybe a short rebuttal chapter to those who would suggest that this is all data mining, which I don't believe it is.
This is a unique book and one that is worth reading.
Simplistic like a Childs Toy = Trade Like a Hedge Fund.......2007-03-03
I should have known better, after buying and reading 50 or so books related to trading, the title should have given me pause for thought before purchase. No hedge fund trades like this (with the exception of trend following but certainly not with the proposed strategy) Give me a break. The worst $40 I've spent in a long time. Don't waste your time or money
Focused Strategies for Gaming Institutions and Retail.......2007-02-26
This is not a book about how to pick the next MSFT, or how to be a master of the Universe. It outlines several strategies by which traders can make money from
1. Panic
2. Slippage as the result of institutional biases
There is not a lot of detail about risk management, back testing crietria, optimized bet sizes etc. - the author dismisses a lot of The Street's "curve fitting" and over-rationalization through numbers. The basics of how to run your own book - that is for you to figure out. What this book does is demonstrate how one trader - who makes a living from it - thinks and tries to game his opponents.
As for the opinion that Mr. Altucher is not running a hugely successful fund (in AUM terms), that seems to be the case. But then again, he seems more intent on being an asset MANAGER, rather than an asset ACQUIRER, which is what most >$5bn HFs are now.
Give this book a read - it will give you IDEAS, not a roadmap.
Trade Like a Hedge Fund: 20 Successful Uncorrelated Strategies & Techniques to Winning Profits (Wiley Trading).......2007-02-19
Very well written. Clearly understandable systems. Not all would work for my style of trading but quite a few would work just fine. I've already recommended this book to several other traders. I especially like that the systems work without leverage or short selling which means they are suitable for deferred taxation type accounts (IRAs and 401ks).
Good book but missing some of Toby Crabel's meat.......2006-10-12
James Altucher comes closest to describing some good trading strategies.
However, you still need to know the fundamentals of trading taught by Toby Crabel or Linda Raschke. A good book.
Book Description
Minimize risk and maximize profits with convertible arbitrage
Convertible arbitrage involves purchasing a portfolio of convertible securities-generally convertible bonds-and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals to increase their returns while decreasing their risks. Convertible Arbitrage offers a thorough explanation of this unique investment strategy. Filled with in-depth insights from an expert in the field, this comprehensive guide explores a wide range of convertible topics. Readers will be introduced to a variety of models for convertible analysis, "the Greeks," as well as the full range of hedges, including titled and leveraged hedges, as well as swaps, nontraditional hedges, and option hedging. They will also gain a firm understanding of alternative convertible structures, the use of foreign convertibles in hedging, risk management at the portfolio level, and trading and hedging risks. Convertible Arbitrage eliminates any confusion by clearly differentiating convertible arbitrage strategy from other hedging techniques such as long-short equity, merger and acquisition arbitrage, and fixed-income arbitrage.
Nick Calamos (Naperville, IL) oversees research and portfolio management for Calamos Asset Management, Inc. Since 1983 his experience has centered on convertible securities investment. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University.
Download Description
Minimize risk and maximize profits with convertible arbitrage
Convertible arbitrage involves purchasing a portfolio of convertible securities-generally convertible bonds-and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals to increase their returns while decreasing their risks. Convertible Arbitrage offers a thorough explanation of this unique investment strategy. Filled with in-depth insights from an expert in the field, this comprehensive guide explores a wide range of convertible topics. Readers will be introduced to a variety of models for convertible analysis, "the Greeks," as well as the full range of hedges, including titled and leveraged hedges, as well as swaps, nontraditional hedges, and option hedging. They will also gain a firm understanding of alternative convertible structures, the use of foreign convertibles in hedging, risk management at the portfolio level, and trading and hedging risks. Convertible Arbitrage eliminates any confusion by clearly differentiating convertible arbitrage strategy from other hedging techniques such as long-short equity, merger and acquisition arbitrage, and fixed-income arbitrage.
Nick Calamos (Naperville, IL) oversees research and portfolio management for Calamos Asset Management, Inc. Since 1983 his experience has centered on convertible securities investment. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University.
Customer Reviews:
Requires a very, very careful approach...........2007-05-18
This is no book for beginners, as I have a background in economics, econometrics, and trading, but I find the prose jumps over and casually breezes past assumptions, leaving me thinking I must have missed something. In almost each sentence and paragraph you have to absorb and absorb and keeping trying to figure out the author's angles on what he means. Currently I am on pages 139-140, and I find impatience when encountering one-time blithe statements like "In practice, some slight additions to the short position on the way up will lock in some gains and avoid a hedge ratio that is extremely low relative to the delta." Or, "The hedge ratio on a leveraged bullish tilt position should generally be slightly more than the hedge ratio on the un-levered bullish tilt position to reduce some of the added volatility in the return." The syntax while trying to be plain language, loses the reader. I keep asking what exactly is "generally be slightly more than the hedge ratio" mean in the context of a portfolio; and do you own one each of the levered and unlevered to reduce volatility, and if not how can I be so confident my hedge ratio is thus adjusted properly if the volatility is well, volatile? It is like he writes to impress, which is not a bad thing by itself. It's clear he's having a good time. But if read aloud at a conference of CEO's, I can envision them nodding their heads and furrowing their sagacious brows without actually a full understanding of what is said.
So the prose is dense. But it eventually "sounds" right to the ear if read over a couple times quickly, but still loaded with very subtle ideas watered down into plain words which can makes me stop and pause to consider each idea as if it were some kind of rosetta stone to the prior material. At the same time it gets me to pause and think, which is an upside and rewards patience. But it's getting harder to gauge at this chapter how much progress I have made or not made, but I optimistically press on. I keep it hand so I can have more chances to peek inside this mysterious veil of conv arb. and learn something new and interesting.
It would be helpful to have more specific details where a natural question of 'why?' occurs if asked by a reader. From my own perspective, formulas would be far more compact and precise in conveying these ideas. English studies or philosophy enthusiasts may find it an enjoyable challenge to discern the Da Vinci-code like meanings.
good but cryptic.......2006-09-19
i studied from this book for the CAIA exam. while it presented some very fascinating approaches and ideas for me, keeping in mind i am not a practising arbitrageur yet, it was very poorly edited and written in general.
every book starts with an assumption about the level of sophistication the reader. this book seems to assume different levels in different chapters and even paragraphs. the chapter on equity valuation is written for kids (lose the chapter, nick) and the ones on hedging techniques doesn't even bother to list assumptions behind complex positions.
the author uses the most confusing notations. e.g. Nu-1, literally typed out like that, which is supposed to represent a variable with subscript u-1. geez - whatever happened to computer typesettng with actual subscripts, and why use the same notation for different variables in different formulae? at least he could have used Nu-1 and Mu-1. I spent a lot of time making sense out of this one and assumed he was referring to Nu minus 1!
basically, if the same ideas were carefully thought out and presented by better editing and writing (and typesetting!), this would be an enjoyable book. as it stands, its a torture to go through. such wonderful ideas and such poor presentation. this one went out the door too early.
An Excellent Primer on the subject.......2006-08-23
As a technologist charged with implementing a convertible arbitrage fund, this book was incredibly helpful. By reading it, I learned enough about the strategy and how it works to have intelligent conversations with portfolio managers and analysts and understand what needs to be done to make it work. The book covers the Greeks and why they matter, and gives explanations of the strategies that are easily understood, but whose details are laid out in sufficient depth that the layperson might not be able absorb them all the first time through.
The books doesn't, and really can't, get into issues relating to data providers, prime brokers, and other execution-related topics. Yet it does cover almost every permutation of the strategy that you might find currently being implemented by a CA fund.
Overall, I think that this book provides an excellent grounding in the strategy, is a very engaging read, and will be a good reference as your understanding of the subject grows.
In closing, let me say this: The chapter on the Greeks alone justifies the purchase of this book. I have received questions from people wanting to know how I gained such depth of understanding in convertible/capital structure arbitrage so quickly, and I do not hesitate to hand them this book. (Well, maybe there is some hesitation.)
Do it yourself: no need for this book.......2005-10-07
I have not read this book,but if you are really serious about arbitrage you should be able to write a program, that simulates the Black-Sholes model using discrete mathematics and random walk.
In short, you should be able to, from first principles, derive all you need to know about arbitrage.
But for those of you that prefer canned solutions, this book is OK I suppose.
Not the best book.......2005-05-16
To successfully employ convertible arbitrage, you need to value convertible bonds (CBs) correctly to be able to find underpriced CBs to buy, and then you need to know the number (delta) of stocks to short sell to hedge your position. How do you do this? The book correctly tells you that a binomial method must be used, but it spends only 10 pages or so on this matter! And even if you are proficient with binomial valuation, this description is quite poor and confusing. Most important though, the book does NOT cover the more complex attributes of convertible bonds (such as call and put provisions) that are very common. How can you expect to find underpriced CBs if you don't value them properly? If you truly want to learn convertible arbitrage, I instead recommend the book "Pricing convertible bonds" by Kevin Connolly who carefully explains all the things you need to know about the valuation of CBs, so that even if you have never heard about binomial trees you will still understand it (he also supplies a disc with excel files).
Average customer rating:
- A good book for the designer of energy risk managment tools
- Not for the average industry professional
- Good overview
- Excellent subject treatment
- excellent book
|
Energy and Power Risk Management: New Developments in Modeling, Pricing and Hedging
Alexander Eydeland , and
Krzysztof Wolyniec
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover
 Economics
| Business & Investing
| Subjects
| Books
| Agricultural
| Commercial Policy
| Comparative
| Consolidation & Merger
| Cooperatives
| Debt & Deficits
| Development & Growth
| Econometrics
| Economic Conditions
| Economic History
| Economic Policy & Development
| Exports & Imports
| Free Enterprise
| Inflation
| International
| Labor & Industrial Relations
| Macroeconomics
| Microeconomics
| Money & Monetary Policy
| Natural Resources
| Privatization
| Public Finance
| Statistics
| Sustainable Development
| Theory
| Unemployment
| Urban & Regional
General
| Popular Economics
| Business & Investing
| Subjects
| Books
General
| Business & Investing
| Subjects
| Books
General
| Accounting
| Industries & Professions
| Business & Investing
| Subjects
| Books
Oil & Energy
| Industries & Professions
| Business & Investing
| Subjects
| Books
General
| Real Estate
| Business & Investing
| Subjects
| Books
Commodities
| Investing
| Business & Investing
| Subjects
| Books
Pricing
| Management & Leadership
| Business & Investing
| Subjects
| Books
Entrepreneurship
| Small Business & Entrepreneurship
| Business & Investing
| Subjects
| Books
General
| Accounting
| Accounting & Finance
| Professional & Technical
| Subjects
| Books
General
| Finance
| Accounting & Finance
| Professional & Technical
| Subjects
| Books
Look Inside Business Books
| Trip
| Specialty Stores
| Books
Look Inside Nonfiction Books
| Trip
| Specialty Stores
| Books
All Amazon Upgrade
| Amazon Upgrade
| Stores
| Books
Business & Investing
| Amazon Upgrade
| Stores
| Books
Professional & Technical
| Amazon Upgrade
| Stores
| Books
All Titles
| Qualifying Textbooks - Fall 2007
| Stores
| Books
Business & Investing
| Qualifying Textbooks - Fall 2007
| Stores
| Books
Professional
| Qualifying Textbooks - Fall 2007
| Stores
| Books
Similar Items:
-
Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy
-
Energy Risk: Valuing and Managing Energy Derivatives
-
Trading Natural Gas: A Nontechnical Guide
-
Fundamentals of Trading Energy Futures and Options
-
Understanding Today's Electricity Business
ASIN: 0471104000 |
Book Description
Praise for Energy and Power Risk Management
"Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals."
-Helyette Géman, Professor of Finance
University Paris Dauphine and ESSEC
"The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals."
-Vincent Kaminski, Managing Director
Citadel Investment Group LLC
"Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market."
-Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading
"This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation."
-Ron Erd, Senior Vice President
American Electric Power
Customer Reviews:
A good book for the designer of energy risk managment tools.......2005-09-29
If you develop computer code in this field it could be a help, but if you are more interested in knowing more about the ways to avoid risk in the energy business I would recommend another book. There are also not enough practical examples to give a good understanding of the principles.
Dynamic hedging is not explained to the extent wanted. The examples are also not very clear.
Not for the average industry professional.......2004-08-20
The authors have written a very detailed, well structured text on the different models and developments in the power and fuel markets. It's a very complex, mathematical analysis of the different techniques being used, and the text may lose a number of readers in the overly rigorous formulations. For those involved in risk management, market modeling, or asset management, the book would be a good secondary or tertiary read after you've established a sound understanding of stochastic models and current hedging and pricing techniques in the marketplace. For the layman in the industry, the book will be far too heavy and not worth the read.
Good overview.......2004-06-07
The management of risk in the context of energy or weather is quite different than in other contexts, due to the peculiarities of the data that occurs in energy prices. The high volatility of energy prices can range, as the authors of this book point out, between 50-100% for gas, to 100-500% for electricity. No doubt this kind of volatility, and other properties such as correlations and mean reversion, entails that some different mathematical strategies for modeling energy derivatives be devised. The authors give a good tour of some of these strategies, and anyone interested in energy derivatives will gain a lot of insight into their modeling when reading this book. Due to space constraints, only chapters 5 and 7, which this reviewer considered the most important of the book, will be reviewed here.
In chapter 5 the author presents techniques for energy modeling that go beyond the used of the convenience yield by using forward pricing techniques. The goal is to describe the dynamics of future contract prices that takes into account the correlations with other futures, and not on the price evolution of a single contract. Thus it is the `forward curve' that is relevant for obtaining a useable model for derivative cash flow. The HJM model is presented as one of these, with changes in the forward curve over a particular time interval represented as a linear combination of random perturbations. For energy markets, each perturbation is specified by a deterministic shape function multiplied by a Gaussian factor. The unobservability of the factors determining the forward curve evolution makes the use of historical data mandatory if the parameters are to be estimated. But lack of sufficient historical data and its nonstationarity complicate this estimation. The authors discuss the Schwartz-Smith multi-factor model as an example of a forward curve dynamics model and give some solutions. They then move on to a model that specifies the dynamics for only the contracts that are actually traded, which in the literature are called `market models.' The model they actually discuss is a multivariate geometric Brownian motion representation of the forward curve dynamics, where the volatility and drift functions are linear functions of the forward prices. The authors then derive the `discrete string models', where it is assumed that the number of factors is equal to the number of contracts, and the random factors are governed by ordinary Brownian motion. String models are represented as having the advantage of being able to directly observe the factors in the historical data. The authors apply string models to multi-commodity cases, and discuss an example for monthly forward prices. They show how to match the current forward curve, the option prices, and the correlation structure for this model.
The discussion in chapter 7 revolves around finding better models for the dynamics of power prices that capture the special properties of energy prices, such as mean reversion and seasonality, and the need for stable models. They therefore introduce `hybrid models', which they claim give a more natural representation of the dynamics of power prices, make use of nonprice forward-looking information, and can take the historical data on power prices and then extend it to information on fuel prices, outages, etc. The construction of these models is based on the use of nonlinear transformations on a collection of random variables. The random variables are essentially the system demand, natural gas and oil price, outages, emission prices, and weather at a particular time. The power price then can be written as a function of the dynamics of these factors, the latter written by the authors in terms of the corresponding tradables. Recognizing that hedging cannot be done on some of these factors, they adjust the power price formula so that the power tradables, i.e. the forwards and option prices, are exactly matched. This matching transformation is chosen so that if the forward contracts and options are priced using the adjusted formula, one recovers the exact current prices. The model, as the authors summarize it, is an attempt to explain the behavior of the tradables in terms of the evolution of the underlying factors and static adjustments to the terminal probability distribution. Historical information on the tradables and spot products is not used to calibrate the model, but it is used to validate the model. The authors distinguish between `reduced-form' hybrid models, where the transformation is calibrated from the historical prices, and `fundamental' hybrid models, where the transformation is calibrated from the market structure and is only tested on the historical prices. The authors discuss an example of a reduced-form hybrid model that is heavily parametrized, but has the advantage of using price data more efficiently. The rest of the chapter concentrates on fundamental hybrid models, with the author first discussing how power prices are formed in competitive markets. They consider a typical pool market, with the price determined via auction mechanisms. The authors then try to identify and characterize the underlying random variables that actually affect power prices. The time series for the price of power is written in terms of the demand using a `bid stack' function. The bid stack function is approximated by a `generation stack' that is found for a given time by sorting generation units by their generation costs. This approximation is checked by comparing the marginal generation costs generated by the generation stack with the distribution of power prices determined by the time series via the bid stack. There should be agreement in both approaches between the higher order moments. This comparison forms the basis of the authors' hybrid approach to modeling power prices. A transformation is found which relates the marginal generation costs to the distribution of power prices with the requirement that the prices of market instruments used for calibration are matched, and the higher moments are (approximately) preserved. The transformation is not unique, and in fact a family of transformations induced by the multiplication and stack scaling operators can be found.
Excellent subject treatment.......2004-05-06
Until now there were a handful of papers, precious few books, and mostly inside proprietary models and experience that dealt with the complex subject of power trading and all its flavors. This book provides a nice summary of many of the present issues. The treatment of the subject is somewhat mathematically rigorous, so the book might not be for traders as much as it is for quants or risk managers.
To me, the greatest strength of the book lies in its fairly detailed analysis of what DOESN'T work, i.e. why common models and methods from the financial and other commodity realms can not be successfully grafted onto the energy market without risking significant valuation and cash flow prediction errors. The hybrid model they formulate towards the end of the book is very similar to Skantze and Ilic (2001). The departure from most previous models is that they attempt to use the markets to formulate and calibrate the structure instead of relying too much on past historical price/load data, which without some empirical understanding of the underlying processes, is fraught with danger due to rapidly evolving nature of the power market (or at least once rapidly evolving--it seems to be a little static at the moment).
Some familiarity with the market and stochastic/statistical mathematics is assumed. References to specific topics and more in depth analysis of particular subjects are good. The authors have a grip on real-world trading, risk, and cashflow issues, which makes this a useful reference for just about anyone associated with those aspects of the power market. I recommend it.
excellent book.......2003-03-18
Extremely well written and right to the point, with the appropriate level of technical detail, Eydeland and Wolyniec's Energy and Power Risk Management is arguably the best book on the subject. A must have for every professional in the industry.
Book Description
Convertible securities, combining aspects of both stocks and bonds, truly create a "best of both worlds" investment. This instructive book uses everyday terms and illustrations to explain types of convertibles, reveal high-return investment strategies, and decode pricing, hedging, and risk/return considerations.
Customer Reviews:
Content free.......2003-11-10
To even to most junior quant, this book would be content free. What's more, he promises the revolutionary new Calamos valuation method (now, not even Nobel prize winners name their theories after themselves, they let other people do it for them, so already, suspicion) but again, nothing, just some snapshots from the screen of his software. The book blurb is misleading, it actually promises the method, not just an advert for it. Do not buy this book, you will learn nothing.
Converted to Convertibles.......2003-03-01
Upon reading this book I realized what I was missing from my portfolio. Investing in convertible over the past 3 years has enabled me to keep my head above water since the market peaked back in 2000. My portfolio was only down 4% in 2001 and 5% in 2002 because of the addition of converts.
Author's Conflicted Intentions Evident.......2000-09-09
The table of contents and size of this book suggests a real winner, perhaps even a Graham & Dodd treatment of the convertibles arena. The wonder is how such a long-winded tome can leave the convertibles student so wanting. The book's problem is probably the author's conflicted intentions: "Do I want my readers to go out and find some nice convertible bonds, or do I want them to pay me to go find them some nice convertible bonds?" Guess who gets short shrift?
The introduction to convertibles section is reasonably well written. But the analysis and strategy sections of the book are suspiciously hazy. I say " suspiciously " because the book's author delivers just enough information so one might be comfortable handing over portfolio management to the author's investment management firm, but not nearly enough to implement a portfolio for oneself. Even Calamos' simple price model is insufficiently described.
Thus, after a windy, winding road of nearly 400 pages, CONVERTIBLE SECURITIES reads as a mediocre introduction to convertibles imbedded within an advertisement for the Calamos firm (for which I had to pay $65!).
A Pedestrian Discourse on an Interesting Topic.......1999-06-03
This book's jacket promises "The Latest Instruments, Portfolio Strategies, and Valuation Analysis." A pretty tall order which, not surprisingly, this book does not deliver, in my humble opinion.
I found the analytical sections particularly incomplete and essentially unusable.
Convertible securities combine the appeal of simplicity with the opportunity for serious quantitative analysis. When this book deals with the simple ideas, it does ok. When it ventures into quant-land, I found the short-comings unbearable.
I am sorry to have such a negative opinion. Perhaps other, more enlightened, readers will find redeeming attributes in this book that excaped me.
Basics, History, Develops Strategies, Pricing models.......1999-01-25
Calamos begins by describing the convertible securities markets underpinnings, both historically and fundamentally. Then, the reader's understanding is developed through dissecting many common convertible securities' structures, when and why they came to market, and their benefits to investors, their issuers, and the investment bankers that brought them to market.
To close, Calamos identifies the issues with investing in convertibles including those concerning: pricing, liquidity (retail vs. institutional), hedging strategies (when so desired by the investor), some discussion of portfolio mixes, and comparisons to major market and custom indices to demonstrate convertible security market performance.
This book was a tremendous help as fundamental underpinning for my own education into convertible securities. The pricing models for the components of convertible securities were alone worth the purchase of the book. Comparing and contrasting the several convertible securities discussed also went a long way to understanding their drawbacks and strengths.
Personally, I felt that the opportunity to expand the book further exists in a couple of areas. First, the convertible hedging strategies were my highest interest in obtaining the book, but I felt that they were left with a shorter than necessary analysis. Only one or two real-life examples were given, and the decision-making criteria of a hedging strategy vs. bond's (relative) price seemed to need more expanded discussion.
Second, the descriptions of the marketplace for these securities was left only at a high-level. In defense of the marketplace description, it's clearly an institutional, dealer-driven market that would probably require another edition to describe that market's inner workings. Perhaps that's a worthy follow-up, Mr. Calamos. "The Mechanics of the Institutional Convertible Securities Markets"??
BUY this book. Calamos' years of experience are clearly demonstrated within the chapters. This is not one of those meritless, sham investment books so often written solely to benefit the author. This is a quality educational tool and long-term reference.
Book Description
A groundbreaking collection on currency derivatives, including pricing theory and hedging applications.
"David DeRosa has assembled an outstanding collection of works on foreign exchange derivatives. It surely will become required reading for both students and option traders."-Mark B. Garman President, Financial Engineering Associates, Inc. Emeritus Professor, University of California, Berkeley.
"A comprehensive selection of the major references in currency option pricing."-Nassim Taleb. Senior trading advisor, Paribas Author, Dynamic Hedging: Managing Vanilla and Exotic Options.
"A useful compilation of articles on currency derivatives, going from the essential to the esoteric."-Philippe Jorion Professor of Finance, University of California, Irvine Author, Value at Risk: The New Benchmark for Controlling Market Risk.
Every investment practitioner knows of the enormous impact that the Black-Scholes option pricing model has had on investment and derivatives markets. The success of the theory in understanding options on equity, equity index, and fixed- income markets is common knowledge. Yet, comparatively few professionals are aware that the theory's greatest successes may have been in the derivatives market for foreign exchange. Perhaps this is not surprising because the foreign exchange market is a professional trading arena that is closed virtually to all but institutional participants. Nevertheless, the world's currency markets have proven to be an almost ideal testing and development ground for new derivative instruments.
This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional traders in the dealing rooms of London, New York, Tokyo, and Singapore.
The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options, Asian options, and various sorts of quanto options.
Customer Reviews:
Excellent choice of papers!.......2001-08-18
DeRosa has picked excellent papers. If one reads the papers in detail, the currency derivatives literature, as well as related derivatives literature, becomes very easy to understand.
Comprehensive.......1999-06-19
This book presents highly technical papers on diverse topics from variuous academics. It would be very helpful to anyone looking to understand theoretical aspects of FX derivatives. Since most papers are written by different authors, notation is not consistent. In addition, academics do not always write like Hemingway. Nevertheless, the book covers everyhting from vanillas to exotics very well.
Book Description
Accounting for Derivatives and Hedging, by Mark Trombley, is a short (250-page) supplement for Advanced Accounting and other upper level accounting courses. While many books used for these courses contain some coverage of Derivatives, professors must spend valuable time preparing their own materials in order to thoroughly cover this complex subject. Trombley's text provides the desired information and detail, allowing faculty to cover derivatives in class without a lot of prep work. Using simple but realistic examples, Trombley explains options, forwards, futures, swaps, and other types of derivatives, and helps students understand applications of derivative financial instruments.
Customer Reviews:
Nice attempt, fails in execution.......2004-11-20
The book provides an introduction to the accounting for derivatives. Its attempt is good, but it fails because it attempts to cover too much and worse it is riddled with mistakes. Many examples have one or more errors, making the book frustrating to follow.
Book Description
Revolutionary techniques that traders can implement to improve profits and avoid losses
No trader, professional or individual, can afford not to have a solid risk management program integrated into his or her trading system. But finding a precise mathematical model to replace subjective decision-making processes is a challenge. Traditionally, risk management has focused solely on loss avoidance, but in Trading Risk, hedge fund risk manager Kenneth Grant presents some-thing completely new—how to manage a portfolio to minimize risk and increase profits by putting more capital at risk. Trading Risk details a risk management program that can help both money managers and individual traders evaluate which elements in a portfolio are working efficiently and which aren’t. By illustrating an extremely simple set of statistical and arithmetic tools this book can help readers enhance their performance in many financial markets.
Kenneth L.Grant is Cheyne’s Global Risk Manager, and is the Managing Member for Cheyne Capital, LLC, the firm’s U.S. arm. Mr. Grant is a pioneer in the field of hedge fund risk management and capital allocation. Before joining Cheyne, he created risk control programs at two of the world’s leading hedge funds, Tudor Investments and SAC Capital, where he was eventually promoted to the title of Chief Investment Strategist. Mr. Grant holds a Bachelor of Science in Economics and Mathematics from the University of Wisconsin, an MA in Economics from Columbia University, and an MBA from the University of Chicago Graduate School of Business.
Download Description
Revolutionary techniques that traders can implement to improve profits and avoid losses No trader, professional or individual, can afford not to have a solid risk management program integrated into his or her trading system. But finding a precise mathematical model to replace subjective decision-making processes is a challenge. Traditionally, risk management has focused solely on loss avoidance, but in Trading Risk, hedge fund risk manager Kenneth Grant presents some-thing completely newhow to manage a portfolio to minimize risk and increase profits by putting more capital at risk. Trading Risk details a risk management program that can help both money managers and individual traders evaluate which elements in a portfolio are working efficiently and which arent. By illustrating an extremely simple set of statistical and arithmetic tools this book can help readers enhance their performance in many financial markets. Kenneth L.Grant is Cheynes Global Risk Manager, and is the Managing Member for Cheyne Capital, LLC, the firms U.S. arm. Mr. Grant is a pioneer in the field of hedge fund risk management and capital allocation. Before joining Cheyne, he created risk control programs at two of the worlds leading hedge funds, Tudor Investments and SAC Capital, where he was eventually promoted to the title of Chief Investment Strategist. Mr. Grant holds a Bachelor of Science in Economics and Mathematics from the University of Wisconsin, an MA in Economics from Columbia University, and an MBA from the University of Chicago Graduate School of Business.
Customer Reviews:
A decent book on risk.......2006-10-01
I think this book covers the topic of risk adequately. I got it last year and finally got around to reading it this week. If I had to buy it today I would probably pass, at $55 its twice what I paid for it in November. Someone must really like it?
I read this book to further refine my risk strategies. What I found was a book that explained risk in detail, but did not seem to offer me much in the way of finetuning my system. Although it did give me more confidence in my system and confirmed to myself that I am on the right road.
I liked the story of one risk manager from the book. This person had pages and pages of complex mathematical formulas to arrive at his funds risk levels. But if you turned over the page it said "equals five percent". LOL. So my 5% risk strategy has been correct all this time and I didn't have to use a Cray supercomputer to arrive at that number!
If you are new to risk assesment or need to figure out complex hedging risk strategies this is a good book. If you have a pretty good understanding of risk already, you may want to pass on this book.
Basic with good ideas but nothing exceptional. Very common sense stuff........2006-08-25
I suppose if I had read this when I started to trade 14 years ago, it would have helped me. If you've traded for more than four years, you should already know most of the things covered in this book or you are an ex-trader. The book is mostly targetted towards money managers which is somewhat different from what I do which is proprietary trading in fixed income. The book will help you understand to risk less when you are down and risk more when you are up. Nothing earth shattering. I personally liked "Fortune's Formula" a lot better although the subject matter differs. Overall a good solid book for a novice trader.
Dissapointed. Not practical........2005-08-12
If you are looking for a book whith detailed risk management techniques this is not your book. This book is oriented to money managers that are currently aplying risk control and want to read some stories about that. There is no practical information that allows the reader to implement a real risk control mechanism. Just ideas like "keep your volatility below 10% of your trading capital" or "make a correlation analysis of your P/L with everything to see if you find something". Too much stuff to say "be prudent"
If you want to understand the mathematics of money management, risk control and position sizing you'd better read RALPH VINCE. I suspect that those that are publicy dissapointed with optimal f do not understand the issue very well. In "the new money management" by Vince you have a clear procedure to obtain the maximum profit from your money with the risk level you are comfortable with. (dynamic fractional f).
If you (like me) are looking for new ways to get the best for your money, with examples and practical demostration of the statements so you understand every single line do not buy this book. I does not provide that.
A good course on Trading and/or Trading Risk Management.......2005-06-13
Perhaps some reviewers might disagree but to me this is just an intermediate to advanced level trading book that focuses primarily on risk management with decent coverage of systematic risk management strategies or tools (say, correlation analysis on P/L vs holding period, VAR, number of positions, exposure level etc etc) plus many vividly written stories of traders anonymous that help traders of all levels to sharpen their edge.
To those traders who are willing to go and work the extra mile for better defense in the trading battlefield, it can really help, for sure. In other words, those who are already preparing their own daily trading journals or have somebody else to complete the job will definitely benefit from the advice of this book. However, if you wont bother to do even the minimal daily book keeping job, not to say those relatively complicated analysis made easy by software readily available in the market, please give this book a pass.
Trading Risk by Kenneth Grant.......2005-01-29
Unlike most financial authors, Grant has the highest credentials, having been entrusted by legends like Paul Tudor Jones and Steve Cohen to calculate risk on their billion dollar portfolios. Many traders ignore the subject of risk as too dry, even though it is far more important to trading success than buy and sell signals. Grant makes this argument well, and his advice about going against one's natural emotions during drawdowns is alone worth the price of the book. It is disrespect for risk that kills most traders (including professionals) - reading this book could save your trading career. I recommend reading it in conjunction with Taleb's 'Fooled by Randomness' to drive home the importance of measuring risk more conservatively than you might have imagined. Essential reading.
Average customer rating:
- Comprehensive and excellent
- Important stuff but hard slogging
- Good book on risk management, February 4, 2002
- Don't miss it
- The best risk management book
|
Risk Management
Michel Crouhy ,
Robert Mark , and
Dan Galai
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Hardcover
General
| Popular Economics
| Business & Investing
| Subjects
| Books
Corporate Finance
| Finance
| Business & Investing
| Subjects
| Books
General
| Business & Investing
| Subjects
| Books
General
| Accounting
| Industries & Professions
| Business & Investing
| Subjects
| Books
Introduction
| Investing
| Business & Investing
| Subjects
| Books
Management
| Management & Leadership
| Business & Investing
| Subjects
| Books
Risk Assessment
| Management & Leadership
| Business & Investing
| Subjects
| Books
General
| Personal Finance
| Business & Investing
| Subjects
| Books
General
| Accounting
| Accounting & Finance
| Professional & Technical
| Subjects
| Books
All Titles
| Qualifying Textbooks - Fall 2007
| Stores
| Books
Business & Investing
| Qualifying Textbooks - Fall 2007
| Stores
| Books
Professional
| Qualifying Textbooks - Fall 2007
| Stores
| Books
Similar Items:
-
The Essentials of Risk Management
-
The Fundamentals of Risk Measurement
-
Value at Risk: The New Benchmark for Managing Financial Risk
-
Options, Futures and Other Derivatives (6th Edition)
-
Value at Risk, 3rd Ed.
ASIN: 0071357319 |
Book Description
Last year's headline-grabbing stories of the notorious bailout of Long-Term Capital Management and the 1.4 billion credit loss for BankAmerica opened the eyes of the investment world. These turbulent times have meant increased awareness of risk management and have lead to late breaking developments in new research, techniques, and theories in the field. Given the high stakes in today's business world with financial dealings in the billions (e.g., derivatives), it's easy to see why risk management has become the key buzzword on Wall Street. While Jorion focuses strictly on market risk, today's financial professionals are also evaluating credit risk and operational risk. Managing Risk provides a comprehensive description and analysis of modern risk management, including the regulatory aspects, organizational issues, potential problem areas, and tools to control and manage the many different kinds of risks: market risk, credit risk, and operational risk. It also discusses: structuring and managing the risk management function in a firm; practical measurement issues in the field; risk management in both financial and non-financial institutions.
Download Description
Risk Management introduces and explores the latest financial and hedging techniques in use around the world, and provides the foundation for creating an integrated, consistent, and effective risk management strategy.
Customer Reviews:
Comprehensive and excellent.......2003-01-11
This book is the most comprehensive treatment I've seen of financial risk management, particularly from a banking perspective. It covers both the regulatory and practitioner perspectives of modern risk management -- it's a veritable encyclopedia.
It's drawn from the wealth of experience of the authors, who are well known in both the academic world and on Wall St.
I guess what I like most about the book is the inside look it provides at the various aspects of financial risks -- no other book does it better, and I found the discussion enthralling.
While mainly geared toward banks, the book also includes a fascinating chapter on risk management in regular corporations. I think the book would serve equally well as a textbook for a risk management course or a handbook for the risk management practitioner.
Important stuff but hard slogging.......2002-07-16
This is an encyclopedia, and reading such things is not what most people, even when deeply interested in the subject are likely to do. It does provide a fair reference for specific topics, but this is not a subject one can really pick and choose.
VAR is the ususal starting point, and its famous authors (one of whom I hired for his skill in these matters) cover most of the bases in an interesting way.
Good book on risk management, February 4, 2002.......2002-02-05
I bought this book because some readers highly recommended it. I'm a financial derivatives strategist and risk management consultant. When a reviewed the book I disappointed in five main particular points: 1) The chapter on VaR is unsatisfactory and insufficient. The authors discuss this subject in a general approach. From my view point I have a preference for Jorion's Value At Risk. 2) There is no discussion about GARCH models, which decrease the importance of this book. I recognise "Risk Management" is a great book. It's a vast encyclopaedia of risk. 3) There's a great discussion of all types of risk, but without any practical solved case. This particular point demerit the seriousness and greatness of the book. 4) The level of mathematics in the book is a little advanced and without any support en practical cases, these poor numerical exercises and calculus tools are useless. 5) Montecarlo simulation approach is bad. There is a great discussion on this subject in Hull's Options, Futures and other derivatives, where the theme is practical, objective and concise. Finally and taking into account these five particular disadvantages, I'll give my rating to this book: 3 stars.
Don't miss it.......2001-08-24
I think it the best book about Risk management I read so far. I was impressed even by the way they treat market risk although it does not seem their main interest. The chapter on VaR is much better than a whole book on it. Great!!! Everyone should have a copy...
The best risk management book.......2001-06-14
This is by far the most comprehensive and well-written book on risk management. If you were to read only on book on the subject, there is no doubt you should choose Crouhy, Galai, Mark. The book reflects not only the authors' serious academic background - all of them have been professors at top universities - but also their detailed hands-on experience.
Books:
- Econometric Analysis of Cross Section and Panel Data
- Economics of Money, Banking, and Financial Markets, Update (7th Edition) (Addison-Wesley Series in Economics)
- Entrepreneurial Finance
- Excel 2000 for Windows for Dummies Quick Reference
- Execution: The Discipline of Getting Things Done
- Fee-Only Financial Planning: How to Make It Work for You (J.K. Lasser Pro.)
- Finance: Introduction to Institutions, Investments, and Management
- Financial Accounting: An Introduction to Concepts, Methods, and Uses
- Financial Accounting: Information for Decisions
- Financial Reporting and Analysis (3rd Edition)
Books Index
Books Home
Recommended Books
- The Ecology of Commerce
- Lost Triumph: Lee's Real Plan at Gettysburg--And Why It Failed
- Financial Accounting: In an Economic Context, 5th Edition, Study Guide
- Global Scriptwriting
- History: Fiction or Science
- Messenger of Truth: A Maisie Dobbs Novel
- Living in Britain: Results from the 2001 General Household Survey
- Intermediate Accounting Solutions Manual on Disk for Univ. of Houston
- Global Capital Markets: Integration, Crisis, and Growth
- Let It Bleed
The Volatility Surface: A Practitioner's Guide (Wiley Finance)
Option Volatility & Pricing: Advanced Trading Strategies and Techniques
The Black Swan: The Impact of the Highly Improbable
Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets
Inside Volatility Arbitrage : The Secrets of Skewness
