Book Description
In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.
The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.
Customer Reviews:
Excellent introductory book to financial math.......2006-11-03
This book takes you through the math of finance step-by-step, passing through very simple examples first and then slowly adding complexity to the models studied. It is written very clearly and the prerequisites to reading this book are only some basic notions of probabilities (sigma-fields, probability measures).
Sometimes, the problem with math books is that they are "dry" and contain only a succession of theorems and proofs. In this one, the authors make a point of explaining in detail how different theorems and models relate to each other, and make extensive comparisons between them so that you get a better feel for how they work in practice.
The book is primarily a math book and can be light on market specifics. Do not buy this book as a practical "howto" in derivatives trading.
At the Forefront of Modern Mathematical Finance.......2005-05-23
This advanced text provides an excellent account of the current state-of-the art of options pricing/hedging models and interest rate term structure models. The book is accessible to both advanced practitioners of mathematical finance as well as to pure researchers in the field.
The book is in written in a mathematical style and contains rigorous proofs of many results. However, the main focus of the text is to describe the frontier of knowledge in the subject. Each section contains copious references to the literature and is so current that several references are to working papers. Many sections detail open problems and other areas suitable for scholarly research.
In their second edition, the authors provide an extremely useful critique of each modeling paradigm that they investigate. They also provide evidence for their position in the form of literature references which instruct the reader as to the shortcomings/limitations of a particular model. This information should prove quite valuable to model practitioners and implementers.
The authors assume an advanced background from the field of stochastic analysis, although they do provide an appendix which summarizes key results needed from the field. For the stochastic calculus prerequisites, I recommend Rogers & Williams "Diffusions, Markov Processes and Martingales" volumes I and II. Suitable prerequisites are also covered by Karatzas and Shreve in "Brownian Motion and Stochastic Calculus" 2nd edition. A good foundation in arbitrage pricing theory is also needed. I recommend the nice treatment by Bjork in "Arbitrage Theory in Continuous Time" 2nd edition.
The book is divided into two parts. The first part deals with options pricing in equity markets. Chapter 1 sets premlinaries required for the arbitrage theoretic framework, while Chapter 2 has a very nice treatment of discrete time models and finite financial markets.
In Chapter 3, the authors develop the Black-Scholes model along with the Bachelier model using arbitrage techniques. The models are compared and used as benchmark continuous time models and form the basis for all subsequent analysis.
Chapter 4 provides a nice survey of techniques used to price/hedge options in foreign equity and currency markets. The authors assume familarity of the basic workings of foriegn markets.
Chapter 5 is a terrific chapter on valuing American-style options. The American call option is thoroughly studied and approximation techniques for the American put option are introduced. The explicit derivations of the formulas are referenced to the literature.
Chapter 6 provides an introduction to exotic options, although the authors vary their use of the term 'exotic' to meaning 'not a standard European-style or American-style' in this chapter to meaning 'no readily available liquid market' in Chapter 7. The descriptions are quite accessible and the basic properties of the options are described along with pricing formulas (assuming the Black-Scholes framework).
Chapter 7 provides as complete an accounting as I have ever seen of the generalizations of the Black-Scholes model and motivates this from the point of view of volatility surfaces. Many of the well-known models are studied in detail, such as CEV, local volatility, and mixture models. The strengths and weaknesses of each model are analyzed. The stochastic volatility models of Wiggins (via Orenstien-Uhlenbeck processes), Hull-White, and Heston are studied, as is the SABR model. The chapter wraps up with a study of the SIV models, describes how the stochastic volatility models can be obtained via limits of GARCH models and surveys Jump-diffusion processes and Levy processes.
The second part of the book is concerned with term structure models and interest rate derivatives. The authors are quite well-know for their many contributions to this study and their treatment is authoritative.
Martingales & Finance.......2003-04-12
I have used this book for two courses in my MSc degree in Financial Maths...well this book is hard to understand at first glance, but, once you are introduced with a good course on stochastic analysis and applied probability, this is an illuminating book...I particularly enjoyed the part on foreing equity derivatives and exotic derivatives.....Harmed with patience this is definitely the book by which you can effectively gain a sound a knowledge on modern mathematical finance theory....reading in conjunction with Bingham-Kiesel book, could help understanding the foundation of the subject.
yes, but ..........2000-03-17
I've been using this book on and off over the last year. At first I was very impressed with the level of detail in the mathematics, especially as it was the only book at the time focussing on risk-neutral methods and covering BGM. But I've become increasing disillusioned with it of late. It's difficult to explain, but although the whole book is written in traditional theorem-proof style, there are no real proofs! (I have a PhD in math and have done research for 10 years so I should know a little about proofs.) The only "proofs" provided are basically symbol shifting, but the heart of the math is strangely absent. This is especially strange given the Springer series in which it appears.
In short, if you want a catalogue of methods this book does the job, but if you want a deeper understanding try Lars Nielsens book.
excellent book for post-John-Hull readers.......1999-08-17
This book covers essentially everything needed for a serious financial math study. It captures the spirit of modern financial math. For people with math, physics or engineering background, when you feel comfortable woth John Hull's books, then this book is right one, and a must one.
Book Description
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method.
*The first book to present a unified view of filtering techniques
*Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series
*Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
Customer Reviews:
The Guide.......2001-12-24
Various types of non-stationarities are common in time series data from financial markets. This requires a guide for selecting among numerous tools to deal with the non-stationarity. A unified treatment of filters like this book is a great help since it provides a fast and rigorous introduction.
Chapter 2 is on the general linear filtering theory with cleverly designed applications for illustrative purposes. "Optimum Linear Estimation" is the focus of Chapter 3 in which the Wiener Filter and the Kalman Filters among others are studied. Chapter 4 is on Discrete Wavelet Transforms and provides applications like filtering intraday seasonality in FX market and an examination of the relation between money growth and inflation. Long memory processes with seasonal components are analyzed using wavelets in Chapter 5. Denoising of economics and financial time series is the topic of Chapter 6. The decomposition of variance across different frequency bands as well as the cross-covariance between two time-series at different scales is covered in Chapter 7. Finally, Chapter 8 is on artificial neural networks in which both an introduction to the concept and some design issues with appropriate model selection criteria are provided.
Discussison of these relatively advanced topics is very simple and clear without sacrificing important details. Highly recommended.
Easy to understand!.......2001-10-27
The book is a wonderful reference in that it brings together various filtering methods. It is an excellent introduction to the topic, clearly written and easy to understand. The text does not assume a high-level math background. Further, unlike the various books which simply provide the theory but include very few or no applications at all, this book by Gencay, Selcuk, and Whitcher has many applications that help you get the right picture.
Book Description
The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics.
* Explains little understood techniques that will assist in the accurate more speedy pricing of options
* Centres on the practical application of these useful techniques
* Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets
Download Description
The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets
Customer Reviews:
An online Errata would be nice.......2007-02-14
I found this to be a very good book. I think, though I could be wrong, that these are typos:
p. 50 3.258 Should be S=E*exp(x)
p. 51 3.279 Should be '+w(i-1,j)' not '-'
p. 61 4.32 Should be u(x,-525/23) instead of -523
p. 64 4.50 Should be a3 = -(163*a4 +3,200,000)/880
p. 66 4.75 and 4.75 should be a5*0.05^4 and a5*0.15^4 respectively instead of a4
p. 74 4.124 Should be (x^3 -4x) not (x^4-4x)
p. 74 middle of the page first 'L(u)=...a2*u...'
should be 'L(u)=...a2(x)*u...'
p. 100 formula (4.343) has to be '...ln(xmin/xmax))' for values in Table 4.9 to be correct.
I'm sure what Table 4.9 'First Exit Time' values represent and have not gone deeper into what is being done. I.e. time is not an input
parameter and the values returned aren't premium.
p. 105 It looks like the graph line for Figure 4.15(b) is missing unless it is the single right-hand vertical line near x=1.0. However it is the
small curved line near U= -0.0000.
p. 161 8th line should be 'see Definition 11 in Appendix A, not Definition 9
p. 177 above 6.48, 'All triangular elements in Figure 6.4...' not 6.5 ?
p. 181 to 183 I don't see Figure 6.10 referenced. Probably did not need to be but transform method did not seem to be explained.
p. 191 under (6.97) & 6.104 Where did 'b' come from ?
p. 191 6.103 and 6.104 should a3 and a4 be a1 and a2 ?
p.192 5th to last line should be 'The last two columns of Table 6.5...' not 6.2
p. 192 scale for Figure (6.15) is 'u-uritz (10^-3)' I assume that was just the result of a label in the code for generating the graph
p. 216 someone else mentioned the 'V' on the right side of (9.14)-(9.16) and time 't' valuations
don't seem right. [Another person pointed this out to me and] asked "what is the meaning of the variable/parameter 'V' on the
right side of these equations? I cannot find a reference to it (maybe it is described
somewhere ) but it might be the solution of the respective BS PDE in two factors. This means
when solving the 3d case we have to solve a 2d case on each face of the cube?" Later
The same person said "I think indeed that it is the solution of the 2d PDE case (just as the 2-factor
reduces to the 1-factor on the boundary). If this is so we must do a lot of computation; at each
time level we solve for the BCs (which are also PDEs)."
p. 221 before (10.5) should be 'Inserting...' not 'Integrating...'
p. 229 3rd to last line should be 'Equivalent .. Equation (10.49)...' not 10.50
p. 229 eq. 10.35 'H' in summation not defined. Stands for 'Holding Period' ?
p. 232 5th line should be 'Inserting ...equation 10.64' not 10.65
p. 234 line above 10.95 should be 'Inserting equation 10.91 not 10.90. Also sign changed from 10.91 to 10.92. Correct ? i.e. should 10.93 be +x*sigma^2 *d^2(v)/dx^2---which seems to change your argument
p. 245 eq (10.138) = 4.3638 [correct values for sigma_min]; what is (10.139) value of .55
<2.29 ? [2.29 is the FE value but the eq (10.138) is not the 0.55 [the wings at sigma_min and body at
sigma_max is .56---is this the 0.55 on line (10.139?].
p. 319 B.86 [y',p_sub(y')] should be [y',p]_sub(y') Sorry for the notation. _sub(y') means a
subscript on the variable shown, here on 'p' and '[...]' respectively.
p. 324 are equations B.131 and B.133 missing a division sign after c*sigma1 and sigma2 respectively ?
p. 349 for the Shreve entry it has 'Journal of Finance and Stochastics' instead of just 'Finance and Stochastics.' I think I've seen that for at least one other bibliographic entry.
p. 330 under Theorem 35, 'as defined in Definition 18...' is correct, not 'Definition 15'
p. 338 under C.56, should be '...positive definite (see Theorem 35)...' not 34.
Book Description
Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills.
For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date--essential in today's rapidly evolving financial environment--Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors.
This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.
Customer Reviews:
Sloppy.......2003-06-14
This book is not completely useless. It does tell you something about models that are used in finance. But the title misleads: there is a lot of description of models, but not much on estimation and inference procedures.
There is a general air of editorial sloppiness in a combination of factual errors, grammatical slips, awkward language and inscrutable logic. For example, on p.36 a process is defined to be I(1) iff its first difference is a weak white noise. And on p.172 there is this: "It is likely the asset prices to [sic] follow a nonstationary process, whereas the dividends and the excess gains are stationary processes." Huh? In the discussion of the consumption-based CAPM money and a price level are inexplicably included. Things of this kind recur through out.
A great introduction to financial econometrics.......2002-10-25
The book introduces a number of topics that usually can be only found in papers. For example, the treatment of the econometrics of derivatives, although not very extensive, is excellent. In this regard the book is vastly superior to Cambell and Lo's book. Overall, the book covers a wealth of topics in very accesible and concise manner. Probably, the best introduction to modern financial econometrics for practitioners.
Victor, try Google.......2002-04-15
(Forget the stars; I'm just posting the Table of Contents)
Table of Contents
Preface vii
1. Introduction 1
2. Univariate Linear Models: The AR(1) process and Its Extensions 17
3. Multivariate Linear Models: VARMA Representation 53
4. Simultaneity, Recursivty, and Casuality Analysis 81
5. Persistence and Cointegration 105
6. Conditional Heteroscedasticity: Nonlinear Autoaggressive Models, ARCH Models, Stochastic Volatility Models 117
7. Expection and Present Value Models 151
8. Intertemporal Behavior and the Method of Moments 173
9. Dynamic Factor Models 195
10. Dynamic Qualitative Proceses 219
11. Diffusion Models 241
12. Estimation of Diffusion Models 285
13. Econometrics of Derivatives 317
14. Dynamic Models for High-Freguency data 351
15. Market Indexes 247
16. Management of Extreme Risks 427
References 451
Index 477
Book Description
This book--an overview of contemporary topics related to the modelling of financial time series--is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied.
The book forms part of a new series of upper level textbooks, Routledge Advanced Texts in Economics and Finance and includes the following features:
* an exposition of the use of three popular computer packages used for econometric estimation - including Microfit
* end of chapter points for discussion
* contexts that provide background.
Customer Reviews:
Financially Viable.......2003-03-14
This is the first book of its kind on the market and it was a real relief to see it when it came out. It covers everything an advanced student of financial econometrics needs to know and does so with impressive mathematical clarity.
I can see this book doing very well indeed, and the contents list alone should be enough to recommend it.
Book Description
Understanding and working with the current models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built. Banks and financial houses all over the world recognize this and are avidly recruiting mathematicians, physicists, and other scientists with these skills.
The mathematics involved in modern finance springs from the heart of probability and analysis: the Itô calculus, stochastic control, differential equations, martingales, and so on. The authors give rigorous treatments of these topics, while always keeping the applications in mind. Thus, the way in which the mathematics is developed is governed by the way it will be used, rather than by the goal of optimal generality. Indeed, most of purely mathematical topics are treated in extended "excursions" from the applications into the theory. Thus, with the main topic of financial modelling and optimization in view, the reader also obtains a self-contained and complete introduction to the underlying mathematics.
This book is specifically designed as a graduate textbook. It could be used for the second part of a course in probability theory, as it includes an applied introduction to the basics of stochastic processes (martingales and Brownian motion) and stochastic calculus. It would also be suitable for a course in continuous-time finance that assumes familiarity with stochastic processes.
The prerequisites are basic probability theory and calculus. Some background in stochastic processes would be useful, but not essential.
Average customer rating:
- They ought to reprint and update this book
|
Financial Econometrics for Researchers in Finance and Accounting
H. Russell Fogler
Manufacturer: Prentice Hall
ProductGroup: Book
Binding: Hardcover
 Econometrics
| Economics
| Business & Investing
| Subjects
| Books
Theory
| Economics
| Business & Investing
| Subjects
| Books
General
| Popular Economics
| Business & Investing
| Subjects
| Books
ASIN: 013315887X |
Customer Reviews:
They ought to reprint and update this book.......2001-12-07
This book was a fairly decent introduction to financial econometrics. While some of the things in the book are dated, the intent behind the book was noble one. It is probably the most accessible book out there dealing with financial econometrics. (...)
Average customer rating:
- Depends on what you want....
- Outdated and irrelevant, don't bother.
|
New Methods in Financial Modeling: Explorations and Applications
Houston H. Stokes , and
Hugh M. Neuburger
Manufacturer: Quorum Books
ProductGroup: Book
Binding: Hardcover
Econometrics
| Economics
| Business & Investing
| Subjects
| Books
Public Finance
| Economics
| Business & Investing
| Subjects
| Books
Statistics
| Economics
| Business & Investing
| Subjects
| Books
Theory
| Economics
| Business & Investing
| Subjects
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General
| Popular Economics
| Business & Investing
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General
| Business & Investing
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Banks & Banking
| Industries & Professions
| Business & Investing
| Subjects
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Investing
| Business & Investing
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| Bonds
| Commodities
| Futures
| General
| Introduction
| Mutual Funds
| Options
| Real Estate
| Stocks
Systems Analysis
| Management & Leadership
| Business & Investing
| Subjects
| Books
General
| Finance
| Accounting & Finance
| Professional & Technical
| Subjects
| Books
ASIN: 1567201253 |
Book Description
The authors present a number of financial market studies that have as their general theme, the econometric testing of the underlying econometric assumptions of a number of financial models. More than 30 years of financial market research has convinced the authors that not enough attention has been paid to whether the estimated model is appropriate or, most importantly, whether the estimation technique is suitable for the problem under study. For many years linear models have been assumed with little or no testing of alternative specification. The result has been models that force linearity assumptions on what clearly are nonlinear processes. Another major assumption of much financial research constrains the coefficients to be stable over time. This critical assumption has been attacked by Lucas (1976) on the grounds that when economic policy changes, the coefficients of macroeconomics models change. If this occurs, any policy forecasts of these models will be flawed. In financial modeling, omitted (possibly non-quantifiable) variables will bias coefficients. While it may be possible to model some financial variables for extended periods, in other periods the underlying models may either exhibit nonlinearity or show changes in linear models. The authors research indicates that tests for changes in linear models, such as recursive residual analysis, or tests for episodic nonlinearity can be used to signal changes in the underlying structure of the market. The book begins with a brief review of basic linear time series techniques that include autoregressive integrated moving average models (ARIMA), vector autoregressive models (VAR), and models form the ARCH/GARCH class. While the ARIMA and VAR approach models the first moment of a series, models of the ARCH/GARCH class model both the first moment and second moment which is interpreted as conditional or explained volatility of a series. Recent work on nonlinearity detection has questioned the appropriateness of these essentially linear approaches. A number of such tests are shown and applied for the complete series and a subsets of the series. A major finding is that the structure of the series may change over time. Within the time frame of a study, there may be periods of episodic nonlinearity, episodic ARCH and episodic nonstationarity. Measures are developed to measure and relate these events both geographically and with mathematical models. This book will be of interest to applied finance researchers and to market participants.
Customer Reviews:
Depends on what you want...........2005-10-23
If you are an MBA student, this book is useless for you...
but for a PhD student, this book is quite insightful and worth reading.
Outdated and irrelevant, don't bother........2005-09-01
This work is outdated and expensive compared to other available texts or even free information on the internet, don't bother purchashing it.
Book Description
This digital document is an article from Quarterly Journal of Business and Economics, published by University of Nebraska-Lincoln on June 22, 1996. The length of the article is 7243 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
Citation Details
Title: An empirical analysis of the choice of payment method in corporate acquisitions during 1980 to 1990.
Author: Walter J. Mayer
Publication:
Quarterly Journal of Business and Economics (Refereed)
Date: June 22, 1996
Publisher: University of Nebraska-Lincoln
Volume: v35
Issue: n3
Page: p48(16)
Distributed by Thomson Gale
Average customer rating:
|
Finance and economics discussion series
Paul W Bauer
Manufacturer: Division of Research and Statistics, Division of Monetary Affairs, Federal Reserve Board
ProductGroup: Book
Binding: Unknown Binding
Banks & Banking
| Industries & Professions
| Business & Investing
| Subjects
| Books
ASIN: B0006QRRI6 |
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- Practical Financial Management
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- Pro BizTalk 2006 (Pro)
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