Book Description
Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage.
In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms.
Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.
Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
Customer Reviews:
Very shallow.......2005-03-11
You can google in 10 minutes more relevant information than this book is able to provide. It's OK if you need to pick up some terminology and get a rough idea of what it all means before an interview. Totally useless if you need it for work.
Comprehensive, lack in depth and poor organization.......2005-01-23
For a starter, this book does offer a broad spectrum of subjects, volatility/variance measurement, PCAs, Factor Models, Time Series analysis, high frequency data modeling, etc, at the expense of rigor and depth.
Desipite the academic pedigree the author enjoys and the educational career she had, the book is rather poorly organized from a pedagogical point of view. She seems to have a tendency to refer to expressions, notions, ideas, data which appear much later than where the reference takes place. This makes first-timers cringe as they go through the chapters as they are laid out. It reads much like some published papers got dumbed down, and bundled together.
If you are looking for comprehensive introduction, without the gory details of mathematical mumblejumble, this book might be of help. But it may not be used as a reference book, for its organization and for its lack of rigor.
Worth the money.......2003-08-28
If you are looking for detailed rigorous mathematical development then look elsewhere, that is not the reason to purchase this book. It is targeted towards application and there it excels. I have not seen any other book on this topic that so effectively presents a level-headed applied approach that keeps the basic assumptions of the models firmly in sight.
What tool fits when is nicely discussed.
Nice book.......2003-06-21
I will consider this book as a good introduction to different ways to analyze market data (covering mainly equity but do touch on fixed income as well as currency). I would emphasize that the book model the market more from an empirical point of view. The author gives a good description of the GARCH model as well as PCA analysis. Being a fixed income derivatives trading, I find both sections particularly useful for real world trading. The risk modeling section should expand into topics other than VAR such as coherent risk measures which are more useful. The co-integration section is a must for any traders who want to trade mean-reversion or stats arbitrage.
Overall, I think that the book covers all basic to intermediate mathematics, econometrics and finance necessary for anyone who wants to model market data. The book explains how to use such model for trading, risk management as well as market data visualization / understanding.
Nice book.......2003-06-21
I will consider this book as a good introduction to different ways to analyze market data (covering mainly equity but do touch on fixed income as well as currency). I would emphasize that the book model the market more from an empirical point of view. The author gives a good description of the GARCH model as well as PCA analysis. Being a fixed income derivatives trading, I find both sections particularly useful for real world trading. The risk modeling section should expand into topics other than VAR such as coherent risk measures which are more useful. The co-integration section is a must for any traders who want to trade mean-reversion or stats arbitrage.
Overall, I think that the book covers all basic to intermediate mathematics, econometrics and finance necessary for anyone who wants to model market data. The book explains how to use such model for trading, risk management as well as market data visualization / understanding.
Book Description
Millions of traders participating in today’s financial markets have shot interest and involvement in technical analysis to an all-time high. This updated edition of Technical Analysis from A to Z combines a detailed explanation of what technical analysis is and how it works with overviews, interpretations, calculations, and examples of over 135 technical indicators—and how they perform under actual market conditions. Enhanced with more details to make it easier to use and understand, this book reflects the latest research findings and advances. A complete summary of major indicators that can be used in any market, it covers:
• Every trading tool from the Absolute Breadth Index to the Zig Zag
• Indicators include Arms Index, Dow Theory, and Elliott Wave Theory
• Over 35 new indicators
Customer Reviews:
Technical tool encyclopedia.......2007-06-10
If you are looking for a technical tool reference book for your investing/trading library this is the one. This book covers (in alphabetical order) every trading tool I am aware of including the O' Neal CAN SLIM method, trend lines, volume, stochastics, Williams %R, every kind of moving average, candlestick charting, decline/advance, oscillators and just about everything else you will run across in trading stocks. The author gives an overview of the indicator, the interpretation, an example, then shows how to calculate it with the mathematical formulas used and a table for reference. I read this book from cover to cover and learned a great deal. I believe it is a must have for beginners if you are serious about using technical tools to time your trades correctly at proper buy points.
Good perspective on technical analysis........2007-05-25
Steven Achelis does a pretty decent job of showing what the stock market really is: just a big jumble of numbers completely determined by human emotion. And because pretty much anything involving human emotion is cyclical, it also becomes somewhat predictable.
This book presents an excellent selection of technical indicators that do a number of different things. It also presents formulas for most of the indicators.
Not only Technical Analysis..........2007-04-30
... but also a well written understanding of the mathematical models that make them work. If you trade with indicators, you need this book along with "Pring".
Good Reference, but weak on advice........2007-02-01
As the title says, this covers technical analysis (the analysis of securities based on price patterns) from A to Z, that is to say all the various approaches are covered alphabetically. Everything is covered but not in extensive detail. Each approach is covered in terms of an overview of the approach, an interpretation of the approach, and an example (generally with suitable graphs). No attempt is made to inject the author's preferences or any statistical analysis of the effectiveness of the approach. As such, this is more of a dictionary than a book on investment advice. This is not to say that dictionaries are useless, they are very useful, but they are not the same as a book on how to write. This book will tell you what the particular system is, not whether it is any good. Also, there are many variations of most of the systems and many different values for the parameters used by the systems, so other references will be required if you actually want to apply any of these approaches. The reader should be forewarned, however, that Technical Analysis is only one approach to the market. Many believe that this approach is little more than tealeaf reading and they rely on the analysis of the fundamentals of the balance sheet of the company and its prospects for future growth.
Dictionary with concise commentary and examples.......2006-12-17
Extremely pleased with the purchase and reading experience. The book covers everything I know about and much more that I didn't. I was able to make oscillators, from the explanations given, on excel and was able to make the charts. The Chande Momentum Oscillator is an added, and needed, tool for my analysis for investment. I bought this book because it was the one called out in the Yahoo charts trying to explain the Stoch Oscillator; which, I wanted to understand, and now do.
Book Description
Successful methodology for identifying earnings-related reporting indiscretions
Creative Cash Flow Reporting and Analysis capitalizes on current concerns with misleading financial reporting on misleading financial reporting. It identifies the common steps used to yield misleading cash flow amounts, demonstrates how to adjust the cash flow statement for more effective analysis, and how to use adjusted operating cash flow to uncover earnings that have been misreported using aggressive or fraudulent accounting practices.
Charles W. Mulford, PhD, CPA (Atlanta, GA), is the coauthor of three books, including the bestselling The Financial Numbers Game: Identifying Creative Accounting Practices. Eugene E. Comiskey, PhD, CPA, CMA (Atlanta, GA), is the coauthor of the bestselling The Financial Numbers Game: Identifying Creative Accounting Practices.
Download Description
"Successful methodology for identifying earnings-related reporting indiscretions
Creative Cash Flow Reporting and Analysis capitalizes on current concerns with misleading financial reporting on misleading financial reporting. It identifies the common steps used to yield misleading cash flow amounts, demonstrates how to adjust the cash flow statement for more effective analysis, and how to use adjusted operating cash flow to uncover earnings that have been misreported using aggressive or fraudulent accounting practices.
Charles W. Mulford, PhD, CPA (Atlanta, GA), is the coauthor of three books, including the bestselling The Financial Numbers Game: Identifying Creative Accounting Practices. Eugene E. Comiskey, PhD, CPA, CMA (Atlanta, GA), is the coauthor of the bestselling The Financial Numbers Game: Identifying Creative Accounting Practices."
Customer Reviews:
The best book on the subject.......2007-10-01
I was a student of Dr. Mulford during my MBA, and I can say that the book is as great as his class. He definitvely was one of the best professors I ever had.
We are used to see in many valuation books to take Free Cash Flow as a given; therefore not understanding the real implication of FCF manipulation in enterprise value.
This book explains how the FCF can be calculated and what are the usual "tricks" that companies do in order to show better (or worse?) results. And that is what is all about: building financial criteria for managers in order to make the best decisions.
The best: meaty, well-written and thorough.......2007-08-23
This is not your typical accounting/finance book (i.e., unclear, unfocused and boring). Creative Cash Flow Reporting is the best and most important accounting/finance book I've read in many years. The authors are certainly focused on the right area (determining sustainable cash flow from operations). The interesting nuances of cash flow reporting are laid out in simple terms (e.g., debt funding and repayments are reported with Financing cash flows, but the related interest expense is reported with Operating cash flows). The authors also go beyond the numbers to provide good background re: a number of strategic alternatives (e.g., why one might enter into a sale/leaseback transaction). There are many other reasons to recommend the book.
In summary, this book is a "must have" for accountants and financial analysts, and I would strongly recommend for CEOs, COOs, corporate and securities attorneys, and corporate middle managers.
Nothing new in here.......2006-12-13
this book serves more as a dictionary of cash flow related items rather than offering any prescription for active monitoring of cash flow related mischief.
save your time and money.
Groundbreaking book.......2006-03-18
Mulford and Comiskey have delivered a tour de force for the financial and accounting community in this book. Whether you are a financial analyst, corporate accountant, auditor or an executive with a small or large firm, you absolutely will benefit from this book. It is one of the most important books of the last 20 years, and in my opinion, it is the finest book ever written on the concepts and methods of deciphering Operating Cash Flow, it's relationship to earnings, calibrating and measuring free cash flow, as well as the mechanics and drivers (and sometimes deliberate manipulation by unscrupulous management) within the business system that can lead to distortions in the Cash Flow statement.
What about earnings supported by artificial means? What are the core drivers of cash flows? What should our view be, vis a vis the Operating Cash flows, regarding non recurring charges and depreciation? Are capital expenditures really as cut and dry as we like to think they are, under GAAP? How does it impact our cash flows, in the real world? How is it sometimes manipulated, to distort the underlying cash flow realities?
If you are a financial or accounting professional, read this book. Read it twice. Read it three times. An absolutely extraordinary book. Well written, insightfull, never boring, always intriguing with unique content. The authors have such an extraordinary grasp of accounting and financial flows, and bring such groundbreaking concepts and ideas to the field, that you won't put this book down, and there are not many accounting or finance books we can say that about !! "Creative Cash Flow" by Mulford and Comiskey is absolutely a virtuoso performance. Amongst, and compared to, the entire literature that exists in the field of accounting and financial analysis, this book is an extraordinary achievement.
Simply the best book on the subject........2005-09-04
Messers Mulford and Comiskey have released a primer on what has lately become a messy subject. Unlike other books with a focus on cash--Hackel's book, for example--this one delves a little bit deeper into the subject of financial misreporting. The reader is given a synopsis of how companies say that their cash is operating, whereas it ought to be put under financing or investing cash flow. There is a multitude of similarly constructed arguments. The examples are lucid, apropos, and contemporary. The book also has a deterministic model for calculating CFFO. Read it.
Average customer rating:
|
Keeping Financial Records for Business
S. Kaliski ,
Robert Schultheis , and
Daniel Passalacqua
Manufacturer: South-Western Educational Pub
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Keeping Financial Records for Business: Working Papers 1-9
ASIN: 0538441534 |
Book Description
Master financial record keeping with KEEPING FINANCIAL RECORDS FOR BUSINESS! This up-to-date textbook equips you with a broad knowledge of business operations and the basic skills you need to keep better financial records. And developing record-keeping skills is far easier using he authors' step-by-step approach.
Average customer rating:
- Review of Chapter 10: OAS Implementation Issues
- Review of Chapter 10: OAS Implementation Issues
|
Interest Rate Risk Models: Theory and Practice
Manufacturer: Global Professional Publishing
ProductGroup: Book
Binding: Hardcover
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ASIN: 1888998040 |
Book Description
· Practical guide for asset-liability managers faced with the decision as to whether to build or buy a financial model
· Topics include modeling cash flows, net investment income versus net portfolio value, projections of interest rates, and volatility
A guide for asset-liability managers and other investment professionals who are faced with the decision of whether to build or buy a financial model to measure, monitor, and help manage their institution's risk exposure. It reviews the evolution of interest rate risk models and evaluates the state-of-the-art models in use.
Includes Modeling cash flows; modeling the term structure; OAS technology; net interest income versus net portfolio value; build versus buy analysis; practical methods for deriving input assumptions; prepayment rates; deposit decay rates; projections of interest rate and volatility.
Customer Reviews:
Review of Chapter 10: OAS Implementation Issues.......2001-01-18
Chapter 10 of this book contains the best exposition I have found to date regarding contruction of an OAS model for MBS. On the downside, in the process of replicating the model I have not been able to reproduce the interest rate cap prices on page 171 nor the the output of the prepayment model aging function depicted graphically on page 184, figure 6.
On the cap price issue, all inputs to the cap pricing were reproduced exactly, so that the failure to reproduce the prices themselves is a mystery.
Regarding the prepayment aging function it does not appear that the function presented in equation (22) on page 183, using the GNSF model coefficients, produced the output contained in figure 6, on page 184.
I point out these two issues in order to indicate the extent to which replicating the results of this chapter are possible. Finally, I was dissapointed in the willingness of the author to respond to clarifying questions regarding the presented material. I was surprised when I did not receive a response because the author was eager to answer a prior inquiry from me asking about the appicability of his chapter to my MBS modeling interests.
In any event, the chapter provides the best documentation of OAS model construction I have found. For those practitioners wanting to learn how to construct a workable OAS model for MBS fixed rate pass throughs I highly recommend chapter 10 of this book.
Review of Chapter 10: OAS Implementation Issues.......2001-01-18
Chapter 10 of this book contains the best exposition I have found to date regarding contruction of an OAS model for MBS. On the downside, in the process of replicating the model I have not been able to reproduce the interest rate cap prices on page 171 nor the the output of the prepayment model aging function depicted graphically on page 184, figure 6.
On the cap price issue, all inputs to the cap pricing were reproduced exactly, so that the failure to reproduce the prices themselves is a mystery.
Regarding the prepayment aging function it does not appear that the function presented in equation (22) on page 183, using the GNSF model coefficients, produced the output contained in figure 6, on page 184.
I point out these two issues in order to indicate the extent to which replicating the results of this chapter are possible. Finally, I was dissapointed in the willingness of the author to respond to clarifying questions regarding the presented material. I was surprised when I did not receive a response because the author was eager to answer a prior inquiry from me asking about the appicability of his chapter to my MBS modeling interests.
In any event, the chapter provides the best documentation of OAS model construction I have found. For those practitioners wanting to learn how to construct a workable OAS model for MBS fixed rate pass throughs I highly recommend chapter 10 of this book.
Book Description
Updated, refocused, and revised, this Eighth Edition of ACCOUNTING THEORY AND ANALYSIS will help you build strong critical thinking skills and a sound theoretical background, so you can evaluate accounting practice in today’s increasingly global world economy. The text’s unique and timely collection of cases covers all major areas of accounting and shows how the latest accounting standards impact decision making.
Customer Reviews:
Huh?.......2006-10-11
Apparently, the previous two reviews were written by the authors.
In all honesty, this is the most un-readable text I have encountered in my 4 years of undergrad and 1+ years of grad study.
I can understand the diffuclty in translating FASB and SFAS principles to layman's terms, but the general flow of the text is verbose and time consuming.
The follow up questions at the end of each chapter often refer to topics that are defined differently in the chapter itself, leading you to re-read and re-read the same chapter. Important topics that could be otherwise easily explained are drawn out to the point where you feel your just plain stupid.
If you are a professor and your looking for a text to assign, this is not it.
Unless you're a sadist.
A review of Accounting Theory text.......2000-03-01
In my opinion, this is an outstanding text. It is easy to read and it covers all the important areas of accouning theory. In my view, this text eliminates the need for the student to study sentences trying to understand what is being said. The writing is clear and straight to the point. Thus, one can concentrate on learning, not trying to unscramble sentences for meaning. If you are looking for an accounting theory text, give this one a look-see. My guess is that you will like what you read. Like all theory texts, however, this one does NOT come with much material to assist an instructor (e.g., no test bank, no transparencies to assist in teaching, etc.). About the only thing I found was an accompanying booklet that gives answers to "cases" that are in given for each chapter. However, this is not a serious drawback, in my view. Because of skimpy supporting material, I would think that authors would notice this and "corner the market" by trying to please educators. Given the excellence of this text, my guess is that ample supporting materials would put this text in lots of classrooms. But that is just my opinion.
Well presented and simple to understand. But lack............1999-08-18
This book has presented the Accounting Theory in a simple to understand manner. It is useful for those who need to acquire simple to understand theories in the FASB. Unfortunetly, the book does not go into the explaining of the many theories in details, eg. the prescriptive and descriptive theories.
Average customer rating:
- Poorly explained
- A very good introduction
- A dated overview, with little real meat
- Good overview, bad balance
- Commit it to the flames
|
Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility (Wiley Finance)
Edgar E. Peters
Manufacturer: Wiley
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Fractal Market Analysis: Applying Chaos Theory to Investment and Economics
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Complexity, Risk, and Financial Markets
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Fractals and Scaling In Finance
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Why Stock Markets Crash: Critical Events in Complex Financial Systems
ASIN: 0471139386 |
Book Description
The latest developments in chaos theory - from an industry expert
Chaos and Order in the Capital Markets was the first book to introduce and popularize chaos as it applies to finance. It has since become the classic source on the topic. This new edition is completely updated to include the latest ripples in chaos theory with new chapters that tie in today's hot innovations, such as fuzzy logic, neural nets, and artificial intelligence.
Critical praise for Peters and the first edition of Chaos and Order in the Capital Markets
"The bible of market chaologists." - BusinessWeek
"Ed Peters has written a first-class summary suitable for any investment professional or skilled investor." - Technical Analysis of Stocks & Commodities
"It ranks among the most provocative financial books of the past few years. Reading this book will provide a generous payback for the time and mental energy expended." - Financial Analysts Journal
This second edition of Chaos and Order in the Capital Markets brings the topic completely up to date with timely examples from today's markets and descriptions of the latest wave of technology, including genetic algorithms, wavelets, and complexity theory.
Chaos and Order in the Capital Markets was the very first book to explore and popularize chaos theory as it applies to finance. It has since become the industry standard, and is regarded as the definitive source to which analysts, investors, and traders turn for a comprehensive overview of chaos theory. Now, this invaluable reference - touted by BusinessWeek as "the bible of market chaologists" - has been updated and revised to bring you the latest developments in the field.
Mainstream capital market theory is based on efficient market assumptions, even though the markets themselves exhibit characteristics that are symptomatic of nonlinear dynamic systems. As it explores - and validates - this nonlinear nature, Chaos and Order repudiates the "random walk" theory and econometrics. It shifts the focus away from the concept of efficient markets toward a more general view of the forces underlying the capital market system.
Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today's markets and descriptions of cutting-edge technologies-genetic algorithms, wavelets, complexity theory-and hot innovations, such as fuzzy logic and artificial intelligence.
Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in-depth exploration of:
* Random walks and efficient markets - the development of the efficient market hypothesis (EMH) and modern portfolio theory
* The linear paradigm - why it has failed
* Nonlinear dynamic systems - phase space, the Henon Map, Lyapunov exponents
* Applying chaos and nonlinear methods - neural networks, genetic algorithms
* Dynamical analysis of time series - reconstructing a phase space, the fractal dimension
Tonis Vaga's Coherent Market Hypothesis - the theory of social imitation, control parameters, Vaga's implementations
Plus, Chaos and Order now contains a Windows-compatible disk including data sets for running analyses described in the appendices.
Written by a leading expert in the field, Chaos and Order in the Capital Markets has all the information you need for a complete, up-to-date look at chaos theory. This latest edition will undoubtedly prove to be as invaluable as the first.
Customer Reviews:
Poorly explained.......2004-02-04
I have a university maths degree and found the book very obvious and drawn out for the first few chapters. In spite of this I looked forward to what was going to be explained later. Suddenly from a very simple and easy to understand explanation on the EMH he starts to use mathematics in his equations that I had a lot of difficulty following. There was very little or no explanation of how these equations were arrived at and a lot of mathematics and statisics is assumed. This book does not apply the theory in ny meaningful way to the markets let alone the capital markets in my opinion. I found that I took very little away from this book and would not recommend it to anyone who has basic mathematics like myself or is looking for some deeper insight into the markets. I would hate to have Mr Peters as a teacher based on his book.
A very good introduction.......2004-02-01
I read this book, the 1991 version, years ago. Around 1980 my own attempts to crack share prices statistically convinced me that all share prices behaved like a Gaussian random walk meaning that all speculation was comparable with playing roulette and I am not one of those guys who usually wins when gambling. This view was strengthened when the option pricing model came up, meaning that even the real pro's in the field assume that share prices are nothing but a random walk. This book has opened my eyes to the fact that there is much more to randomness than just the Gaussian curve. Share prices are not fully random. Impressive is the demonstration that an RS analysis on the real data is different when applying the same RS analysis on scrambled data. So there is information hidden in these time series, somewhere. Since then I have picked up the subject of cracking time series again with great pleasure. I think this book is exceptionally well written and without it I doubt if I would have been able to follow Mandelbrot's book "scaling and fractals in finance" that I bought later. The book is about understanding a subject, not about learning a simple formula to apply on a time series.
A dated overview, with little real meat.......2003-02-10
The second edition of this book was published in 1996. The book
seems to be largely based on Feder's 1988 book "Fractals". The
dated nature of this book means that it is missing later work
on long memory processes, which Peters estimates using the Hurst
exponent.
As one reviewer already noted, don't assume that this book will
provide much in the way of useful equations. For anyone who wants
more than an overview, this book is a disappointment. Peters does
a poor job of explaining the equations and I did not find enough
detail to implement the algorithms discussed (I turned to Feder's
book and various journal articles). The book does come with a
"floppy" disk containing the Visual Basic algorithms. This is
a poor choice, since C is pretty much the lingua franca for
algorithms.
The various chaos and fractal techniques are applied to a handful
of financial data sets, but this is far from even a solid
suggestion that these techniques might be useful to anyone
developing real market models.
Some of the conclusions that Peters draws (cycles in financial
data) do not seem to be supported the evidence he presents.
In summary, if you are looking for something beyond an overview,
save your money. Feder ("Fractals") has a better description of
RS calculation. "A Non-Random Walk Down Wall Street" by Lo
and MacKinlay has a chapeter on the application of the RS
statistic and long-memory processes which is much better than
Peters. For those who need to simulate fractal brownian motion
(data sets with a particular Hurst exponent) "The Science of
Fractal Images" by Barnsley et all is a good reference.
Good overview, bad balance.......2001-03-22
If you're looking for a purely conceptual introduction to how chaos theory can be applied to financial markets, this book is as good a source as any. Peters's discussion of R/S statistics and the graphical examples drawn from the markets are clear and intuitive (Ch. 7-8). The key point demonstrating long-term memory effects in the market is well made.
However he spends an inordinate amount of time attacking the foundations of the efficient market hypothesis (EMH) to the point of being boring, yet the argument boils down to "it has errors when compared to reality". Duh, so does every other theory, including fractal. The real issue is "for the error in theory A, how bad are the results X, and is theory B much better at it?" If you're not going to do that, don't spend 40 pages (Ch. 1-4) on it. This is misleading to those not familiar with EMH, and boring to those who are.
Don't look to this book for good math. In my edition (1991), careless and erroneous notations abound. Also, the equations are written in BASIC notation which is notoriously hard to visualize, but this is probably the fault of the editor/publisher. Peters makes frequent and unannounced jumps between the apparent rigor of math and loose conjectures. The math is distracting to a qualitative reader, and the conjectures irritating to the quantitative one. Better to cater to one audience, and do it well.
Still, I would recommend this book as a good conceptual introduction to the subject. But if you're planning to go deeper, use the equations in this book at your own perils. Go to the source.
Commit it to the flames.......2001-01-04
For those of you intrigued by chaos versus the financial markets, I would suggest you get the basic knowledge in Garnett P. Williams "Chaos Theory Tamed" (if you don't mind being explained in the first twenty chapters things like the laws of exponents and logarithms), or the Devaney books, for people with some maths. By the time you finish these honest, carefully and painstakingly written books, you will have a fair understanding of what chaos theory is about, and you will also see that while it is interesting stuff, it is hard to imagine it having any practical relevance to finance, since finance is the realm of stochastic, not deterministic phenomena.
Mr. Peters' readers will not have the chance of gaining such a perspective on chaos or on finance, alas. Mr. Peters hasn't produced a clear, comprehensible text, but rather a imprecise and frustrating piece, presumably written in a very short time, filled with a huge number of graphs having epsilon informational content. It is also full of conceptual mistakes - Mr. Peters most probably doesn't have a good grasp of what he's speaking about, but to be fair, it is hard to tell since the implicit message of the book is: "Hey, like I'm going to give out all my secrets...! Forget it, baby!", so the readers are never given all of the story. Readers therefore have to decide whether they believe that the author has found a meaningful and secret way to use chaos, that unfortunately will not be revealed, or whether the author should be put in the same category as those who write about Crystals or Financial Astrology.
Can smart people make profit with chaos theory? Certainly! However, the only way to do so is by writing books about it...
Profit which seems interesting, since Wiley accepted to publish a second product from Mr. Peters, thereby losing all credibility as an editor of financial books.
Book Description
Valuation Methods and Shareholder Value Creation provides a comprehensive examination of valuation tools and guidance for analyzing and valuing a business. It covers the basics of valuation methods and shareholder value creation in addition to rigorous approaches to discounted cash flow valuation and real options for valuing a company.
By examining eight different methods of discounted cash flow valuation and discussing the pros and cons of each method, Fernández offers thorough, accessible coverage of corporate valuation. With examples and case studies from international markets, this book provides well-structured guidance for students and executives alike.
* Highlights quantitative analyses of firm value
* Emphasizes qualitative management assessments
* Integrates data from international companies
Customer Reviews:
A great book with excellent support web site.......2002-11-18
A great book with clear explanations and excellent support web site.
The book describes many tools on how to do the valuation (DCF, ratios, real options etc.). I particularly like the explanation of eight models of DCF. Chapters 19, 20 and 21 are the best ones I have ever read about discounted cash flow valuation.
For finance professionals, "Valuation methods and shareholder value creation" is a wonderful book to study, to keep and to look up for reference. I strongly recommend investment bankers (and clients), finance managers and MBAs to have one.
It explains Adjusted Present Value much better than Copelandýs and Damodaran's books. Now, I understand it!!!
All the valuation methods that you ever wanted to read about.......2002-11-14
In his new book on valuation, Pablo Fernandez presents and analyzes a variety of valuation methods. The book is comprehensive in covering ALL of the methods and contains a wealth of information, data and examples on the relevant topics. The book is a valuable source for obtaining details on the different methods. However, there is a risk, although small, that the number of trees may overwhelm the reader and the reader may miss the forest.
In Part III, which is the theoretical part of the book, he examines all the various approaches for Discounted Cash Flow Valuation. In particular, Pablo Fernandez makes the unusual claim that for FCF in perpetuity with a constant growth rate of g, the discounted value of the tax shield (DVTS) is not the present value of the tax shield (PVTS). Furthermore, he defines the PVTS as follows: PVTS = T*D*Ku/(Ku - g). At first sight, this definition of the PVTS seems very strange. To obtain this result, which is in direct contradiction with the formulas in Copeland's book, he assumes that the return to levered equity Ke does not depend on whether the growth rate is zero or nonzero. This departure from the accepted definition of the PVTS may surprise those readers who are familiar with other books on valuation.
In common with other books on valuation, the examples on the cost of capital are restricted to cash flows in perpetuity. Without providing the necessary justification, the author assumes that the formulas for the cost of capital carry over to finite cash flows. The book would be strengthened if there were numerical examples that linked the discussion on the cost of capital directly to the finite cash flow statements that are derived from the usual financial statements.
Book Description
Based on courses developed by the author over several years, this book provides access to a broad area of research that is not available in separate articles or books of readings. Topics covered include the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multiperiod portfolio problems and the Intertemporal Capital Asset Pricing Model, the Black-Scholes option pricing model and contingent claims analysis, "risk-neutral" pricing with Martingales, Modigliani-Miller and the capital structure of the firm, interest rates and the term structure, and others.
Customer Reviews:
Underrated Book.......2005-08-21
It is unfortunate that asset pricing books get outdated fairly quickly, but this is one of the best books out there. For those who are serious about finance, you have to get your hands on a copy of this book. When I bought this from Amazon, it seemed like a classic text being that the pages were yellowish in color already. However, the content of the book is very well written and covers all the major topics in asset pricing - even continuous-time finance.
A Revision, Please!.......2002-02-05
The books presents traditional finance economics. It is a very good and a classical book. But it is not easy to read because of its terrible, old-fashioned notation and writing.
It is plenty of examples and gives a very good intuition. So I'd say it is good because it teaches traditional finance since the beginning in a way one can understand finance and the underlying math.
Clearly, the book needs a revision to put it into the modern language of financial economics as well as to add the results (and models) that have been published in papers in the last 20 years.
As I said, without a revision, reading the book is not enough to allow one to understand modern papers published in the field. As a result, after reading it you will not be able to say you know finance. But without knowing what the book is about, you will not be also able to say you know finance. Of course you can consult other sources, but even with the terrible notation, it is a pleasure to read, for instance, chapter 2 (Arbitrage), chapter 4 (mean-variance portfolio analysis) or chapter 11 (discrete-time intertemporal portfolio selection).
The Best Text on Financial Economics.......2001-08-22
Ingersoll has done an exceptional job of presenting the theory of financial economics, from risk and stochastic dominance to dynamic portfolio optimization and continuous-time finance. The mathematics is clear and concise. The economic intuition shines through.
Outdated and Unclear.......2001-06-27
This book is possibly the worst textbook I have ever read. The notation is unwieldy, the explanations are unclear and there is very little to help your intuition. This, by the way, is not because of the mathematical or technical content which goes no deeper than introductory stochastic calculus and control. Even if it were a good text, however, it would urgently need revising. The material is rooted firmly in the 70's and 80's with almost no emphasis whatsover on the martinagle represntation of asset prices.
This book is excellent. Every page is important!.......1999-09-19
This book is very good. It contains broad contents. Of course, it's not sufficient for a financial economist -impossible for a single book. It contains asset pricing theories from discrete-time models to continuous-time models,and from two-period models to intertemporal models. For a beginner, starting with Huang and Litzenberger is a better idea. Need introduction to continuous-time finance? Neftci is good, Merton is good, and Dothan is for advanced.
Average customer rating:
- Somewhat dated...but still helpful
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Computational Economics and Finance: Modeling and Analysis with Mathematica (Economic & Financial Modeling with Mathematica)
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ASIN: 0387945180 |
Book Description
As with the first volume, Volume Two of
Economic and
Financial Modeling with Mathematica is edited by Hal Varian, and its contributors are carefully selected by him to assure a high quality, practical work reflecting the efforts and expertise of an international cadre of Mathematica users from the economic, financial, investments, quantitative business and operations research communities.
Customer Reviews:
Somewhat dated...but still helpful.......2002-01-19
For the reader well-versed in Mathematica and in economic theory, this book gives a fairly good overview of how Mathematica can be used to study mathematical economics and finance. It is also assumed in the articles in the book that the reader has a strong background in mathematics. Since the book was published in 1993, Mathematica has considerably expanded, with many new features that make some of the accompanying code in the book somewhat dated, but the notebooks can still be used beneficially.In addition, economic theory is currently making more use of symbolic programming, and financial analysis has exploded as an area which is now making heavy use of high-performance computing. Although Mathematica cannot compete from a performance standpoint with the needs of financial engineering, it still has an advantage from a didactic standpoint. I did not read all of the articles in the book, so my comments will be limited to the ones that I did.
The article on "Mathematica and Diffusions" is an overview of how to use Mathematica to do stochastic calculus. The Ito calculus is reviewed briefly, and the authors begin with constructing a Weiner process. The Mathematica package they employ and on the disk accompanying the book is not discussed in detail, but is merely used to simulate realizations of the process. Readers who want a more in-depth view will have to go over the code themselves. The authors use the package to generate realizations of Weiner processes that are correlated with each other, and show this correlation via Mathematica graphics. The Black-Scholes formula is derived using the standard self-financing trading strategy and ignoring transaction costs and dividends. The algebraic manipulations are done with Mathematica, and this obscures (a little) the underlying concepts behind the derivation of this important formula. Since data structures in Mathematica are essentially lists, the authors outline the construction of the data structure that could be used to represent a diffusion, namely a list consisting of five terms: the diffusion, Weiner process name, expression for the drift and dispersion, and the initial value. For the reader familiar with OO-programming, accessor functions are used to extract the components of this data structure. This is a nice move by the authors, for it is an example of how Mathematica can be used to emulate OO-programming.
The article "Itovsn3: Doing Stochastic Calculus with Mathematica" is an overview of how to use the Itovsn3 package that is on the disk to implement Ito calculus. It is assumed that the reader has a background in stochastic calculus, since the author does not give a review. However, semimartingales, so important to those working in financial engineering, are discussed and their statistical behavior described using Mathematica. The Ito formula is presented as a semimartingale-type decomposition for smooth function of Brownian motion and the author shows using Mathematica plots how the higher order terms in the second-order Taylor expansion vanish asymptotically. This article is not merely Mathematica code for Ito calculus, for the author gives an example of how to use the package in a hedging problem.
The article "Option Valuation" is a more detailed overview of how to use Mathematica in the context of the Black-Scholes model to perform options valuation and risk management. Heavy use is made of the graphics capability of Mathematica to illustrate how option values change as a function of stock price and time of expiration. The author also shows how Mathematica can be used as a OO-language to treat options as self-contained objects with accessor functions. He does however state that Mathematica does not live up to the OO toolkits available elsewhere, contrary to my experience. He closes the article with a consideration of how to use Mathematica to value options that can be exercised before expiry, the binomial model playing the central role in the discussion. It is here in particular that the performance of Mathematica is readily felt. The numerical number-crunching needed to do the calculations in these types of models cannot be done in Mathematica efficiently and profitably.
The article "Time Series Models and Mathematica" gives a general treatment on how Mathematica can be used to study ARIMA models for time series. Mathematica is used more interactively than the other articles and the visualization obtained is quite nice in giving the reader insight into such concepts as the moving average and the spectral density function. The author shows how to estimate the spectral density function and why periodogram techniques fall short in this estimation. I would have liked to see other techniques for studying time series discussed, such as neural networks and hidden Markov models, but the author does do a fairly good job with the ARIMA models.
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