A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, Ninth Edition

A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, Ninth Edition
Average customer rating:

Quarterlife Finance says, "A Classic that Every Investor Should Read"

not a fan.

Excellent Message. Sweeps some exceptions (particularly those noted herein) under the rug.

Best guide ever

Still the Best

A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, Ninth Edition
Burton G. Malkiel
Manufacturer: W. W. Norton
ProductGroup: Book
Binding: Hardcover

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ASIN: 0393062457

Book Description

The million-copy bestseller, revised and updated with new investment strategies for retirement and the most current research into behavioral finance.

Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, here is the best-selling, authoritative, and gimmick-free guide to investing. Burton Malkiel evaluates the full range of investment opportunities, from stocks, bonds, and money markets to real estate investment trusts and insurance, home ownership, and tangible assets such as gold and collectibles. This edition includes new strategies for rearranging your portfolio for retirement, along with the book's classic life-cycle guide to investing, which matches the needs of investors in any age bracket. A Random Walk Down Wall Street long ago established itself as a must-read, the first book to purchase before starting a portfolio. So whether you want to brief yourself on the ways of the market before talking to a broker or follow Malkiel's easy steps to managing your own portfolio, this book remains the best investing guide money can buy.

Customer Reviews:

Quarterlife Finance says, "A Classic that Every Investor Should Read".......2007-10-03

I recently finished reading the 9th edition of Burton Malkiel's classic text A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, Ninth Edition. First published in 1973, this book is a classic text that deserves a place on any investor's bookshelf.

Malkiel presents two possible security valuation models - one based on a firm foundation of value and one based on finding a "greater fool" to sell your speculative buys to. He analyzes the history of investment bubbles from the Dutch tulip mania some two hundred years ago all the way through the tech stock bubble of the late 1990s. He discusses fundamental analysis of stocks and thoroughly trashes technical analysis. Finally, Malkiel presents a strategy that virtually guarantees that your investments will keep pace with the market with minimal investment of time.

I enjoyed and recommend this book for several reasons. First and foremost, it blows the whistle on many common "beat the market" strategies, including all manner of technical analysis. As a relatively young investor, I was always intimidated by the chartist strategies (moving averages, buy points, etc) but after reading Malkiel there is no cause for fear. Those strategies simply do not work.

Moreover, I found the book to be an easy read relative to many texts on investment. While he covers different types of stock analysis, modern portfolio theory, the efficient market hypothesis, and asset allocation in detail, the book is not weighted down with too much heavy terminology. His writing style, use of historical anecdotes, and ability to challenge your beliefs again and again keeps you riveted to the book.

Finally, I believe that the strategies presented in the book are clear, concise, and can be employed by anyone to their immense gain. Too many people pay for poor investment advice, make mistakes by chasing gains and paying for active portfolio management, or even pay absurd 12b-1 fees on underperforming mutual fund investments. By reading this book and taking Malkiel's advice to heart, I believe that just about anyone can end up with more dollars in hand.

On the other hand, the book does delve into financial topics that may be intimidating for someone completely new to the investment world. The basic message (buy and hold a well-diversified portfolio of extremely low-cost index funds) could be expressed much more succinctly. However, I wouldn't change a thing with this book...just be prepared for a wild ride that challenges everything you thought you knew about investing.

not a fan........2007-10-03

This book was not what it was trumped up to be, as far as I am concerned. It's a gloomy, negative, pessimistic, unending drivel of known and common sense information and data presented in a much more complicated manner that they are in real life. After reading this book you may be inclined to start taking anti-depressants and definitely stay away from the stock and other securities markets. Weeooogh!!

Excellent Message. Sweeps some exceptions (particularly those noted herein) under the rug........2007-10-02

Particularly in a day and age where mutual funds are often touting themselves on the television, this book has an excellent, largely unbiased message for the average investor: buy low cost index funds and stay in them for the long haul.

The book is exceptionally well written, covering most of the lessons of an introductory to intermediate finance course in a very accessible format (i.e. all the right *ideas* without the confusing math). He utilizes dozens of powerful examples and good data to show that his basic premise, despite now being 30 years old, is sound. Due to its theoretical strength and accessible style, this book could be of particular value to Undergrad Business and MBA students who find the professor's academic approach to an Introductory Finance course confusing. Get the big picture here, making the math just that much easier to follow. (5 stars for making difficult financial concepts readable and interesting)

Despite my strong recommendation for both his message and style, the book does have some drawbacks. Number one is that he has clearly taken a side on the issue and has thrown impartiality to the wind. Regularly, the author depends on "transaction costs" (the cost to trade) to ensure that a trading strategy cannot beat his preferred portfolio (implying that it would have succeeded without the transaction costs). This "sweeps under the rug" several clear counter-examples to the basic efficient market thesis in order to reinforce his index-investment message. While I understand his reasoning for doing so -- a desire not to encourage investment in high cost funds or heaven forbid day trading -- it does lead to some skepticism about his willingness to admit any possibility that his thesis has weaknesses. To that end, I would discourage readers who are familiar with CAPM and efficient-markets from reading the book (2 stars as a brush up).

In the end, however, I think the message is sound. Rather than cite trading costs, I think the message can effectively be said another way: If you spent 5h a day investigating stocks, what are the odds that you can beat a professional manager? If a manager has a staff of 20 that invest 8h per day investigating stocks, what are the odds that they're going to beat the whole financial services industry? If the whole industry is taking advantage of every opportunity to profit from small deviations, and you're going to pay a manager most if not all of that profit anyway, investing in an index basically gets you the benefit of thousands of mutual funds and investment bankers without the cost of any of them (or of your time to do research).

With qualifications to the highly technical reader, who should pass on the book, I can't, in good conscience, fail to give this book 5 stars for a profoundly valuable message targeted at the individual investor.

Best guide ever.......2007-10-02

A good informative writing on the handling of your finances in regards to investing. I found it to be quite basic but I have been investing since a club in the 1960's. It still gave me a lot of information and ideas that I knew a little or nothing on. I would recommend it highly to any and all that wish to have anything in the future for their retirement.

Still the Best.......2007-09-10

I first read this book in its seventh edition. I was great then. I recently purchased the ninth edition as a "refresher." It's still a great book and the one I recommend to prospective clients or other investors prone to believe all of the active management garbage out there. Burton Malkiel does a masterful job of dismantling all of the Wall Street hype and laying out investing in a simple, straight-forward, and long-term approach.

If you read this book and still believe in the Wall Street gurus then you're hopeless. And, you deserve every bit of the bad advice you're following.

Principles of Financial Engineering (Academic Press Advanced Finance)

Average customer rating:

great book
Simply a must own for anyone with any use for Quant Finance
I can't praise this book too highly!
This is one of the top books on quantitative finance
Great!

Principles of Financial Engineering (Academic Press Advanced Finance)
Salih N. Neftci
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

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Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)

ASIN: 0125153945

Book Description

Bestselling author Salih Neftci presents a fresh, original, informative, and up-to-date introduction to financial engineering. The book offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. Also included are end-of-chapter exercises and case studies.

In a market characterized by the existence of large pools of liquid funds willing to go anywhere, anytime in search of a few points of advantage, there are new risks. Lacking experience with these new risks, firms, governmental entities, and other investors have been surprised by unexpected and often disastrous financial losses. Managers and analysts seeking to employ these new instruments and strategies to make pricing, hedging, trading, and portfolio management decisions require a mature understanding of theoretical finance and sophisticated mathematical and computer modeling skills.

Important and useful because it analyzes financial assets and derivatives from the financial engineering perspective, this book offers a different approach than the existing finance literature in financial asset and derivative analysis. Seeking not to introduce financial instruments but instead to describe the methods of synthetically creating assets in static and in dynamic environments and to show how to use them, his book complements all currently available textbooks. It emphasizes developing methods that can be used in order to solve risk management, taxation, regulation, and above all, pricing problems.

This perspective forms the basis of practical risk management. It will be useful for anyone learning about practical elements of financial engineering.

* Exercises and case studies at end of each chapter and on-line Solutions Manual provided
* Explains issues involved in day-to-day life of traders, using language other than mathematics
* Careful and concise analysis of the LIBOR market model and of volatility engineering problems

Customer Reviews:

great book.......2007-05-07

Prof. Neftci gave one of our mandatory course - Financial Engineering, in HEC Lausanne. This book is the reference book for this course. His lecture is great, a lot of jokes and funny stories as well as insights about financial engineering. However, I find out that the book is even better than his lecture.

Simply a must own for anyone with any use for Quant Finance.......2006-08-26

Neftci is one of those rare authors who can begin at the begining, explain his major point and logic without excessive jargon or short-cuts, and do so without sacrificing depth and substance.

In a field were the readable texts are for MBAs or elementary practioneers or for the initiated members of the priesthood, here is one of a few handful of authors (Wilmott and Joshi as well) that are both clear and serious, rigorous and accessible, insightful and a plerasure to read.

I can't praise this book too highly!.......2005-12-09

As someone who teaches derivatives to practitioners and in a Masters program, I can't praise this book too highly. It is clear, comprehensive and, most importantly, concentrates on practical applications. I was particularly pleased with the chapter on repo, which is usually underestimated in importance, without requiring a whole, specialist book.

For someone with a fundamental, but non-quantitative background in financial markets (MBA or CFA level), this is the ideal place to go next before more specialised and quantitative books. The advantage of having studied this book first will be to have a clear picture of the forest for the trees.

My only (small) criticism is that the book would have been even better if it had included a chapter (or two) on the multi-tranche asset backed security structure followed by cash and then synthetic CDOs. I do hope that might be rectified in the next edition.

Bravo!

This is one of the top books on quantitative finance.......2005-11-22

I am a student of Prof Neftci in the Applied Math for Finance MS program at Baruch College. He is a great teacher and has written this wonderful book. This is the text book for the Calibration course he teaches at baruch.

The best thing about it is in the practical approach it is written with. It tries to explain the finance as interpreted by practioners like traders...the engineering of finance rather than the science of it. Knowledge of basic parobability thoery, martingales, PDE and some stochastic calculus is assumed. The book itself has less emphasis on mathematical rigour but there are plenty of other references for that.

The strength of this book is in its practical utility in understanding the market and the rational behind the products that exist in it and the priciples of pricing and hedging those.
Chapter 11 on the Fundamental Asset prcing theory is a gem and is the workhorse for pricing many of the products like swaps or swaptions.

Great!.......2005-11-20

A wonderful book with a great didactic approach! Very clear but never mundane. The best introduction to the field so far. It's only drawback is the sometimes slightly unintuitive notation.

Payback: Reaping the Rewards of Innovation

Average customer rating:

Solid idea; very weak exposition
Freshman overview
I must have read a different book
Business libraries and business managers will find it inspirational.
Leading Beyone Where The Numbers Can Tell You

Payback: Reaping the Rewards of Innovation
James P. Andrew , Harold L. Sirkin , and John Butman
Manufacturer: Harvard Business School Press
ProductGroup: Book
Binding: Hardcover

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ASIN: 1422103137

Book Description

If you're like most people, you bet your career and company on innovation--because you must. Payback: Reaping the Rewards of Innovation offers you a new way to think about and manage innovation that will dramatically improve the odds of success.

Authors James Andrew and Harold Sirkin, senior partners in The Boston Consulting Group, describe an approach to managing innovation based on the concept of a cash curve--which tracks investment against time. They ask the questions you need to ask: How much should you invest in a new product or service? How fast should you push it to market? How quickly can you get to optimal value? How much additional investment should you pour into sustaining and building the product or service?

Payback offers you practical and economically sound advice on when to pursue cash flow indirectly by first pursuing other benefits, such as brand and knowledge. It also shows you how to reshape the cash curve by using different business models--integrator, orchestrator, and licenser--each of which balances risk and reward differently.

The authors then present a short list of decisions and activities that you must make--not delegate--to achieve a high return on innovation. You won't find facile answers in Payback--but you will find valuable insights and practical guidance for mastering one of the most challenging and critical business activities: innovation.

Customer Reviews:

Solid idea; very weak exposition.......2007-05-24

This book bears all the weaknesses one expects from management consultants. It has a solid core concept, the cash curve, and a very simple graph to go with it. Virtually everything worth knowing gets said in the first 50 pages of the book.

What follows is a logical, step by step exposition of each point in more detail using selected examples from the authors' consulting experience. Sadly, no single customer example is longer than four pages, and details are sparsely strewn. It is especially noteworthy that they graphic of the key concept, the cash curve, is wholly absent from the second (much longer) half of the book.

One also gets the feeling that if the authors had had different customer engagements, they would have come to different conclusions. For instance, they discuss how Intel practices the integration business model in their chip business. However, virtually every other semiconductor company of any note on the planet is using outside factories (fabs in semiconductor parlance). Many, such as Qualcomm and Broadcom just to pick two examples have built market capitalizations in the tens of billions of dollars practicing the orchestration business model. It would have been very instructive to compare and contrast how two different models in essentially the same business can both lead to outstanding results for investors. Sadly, that discussion is wholly absent.

In summary, the core principal of the book is a very important one. I cannot think of a single business that could become a big success not understanding it. However, the lack of details in the customer examples keeps this book from realizing anywhere close to its real potential.

Freshman overview.......2007-05-14

Don't expect any insight into the process of innovation. Payback provides a freshman-level overview of innovation taking place in various companies, but is not a source of insight into the process. Years after the results of internal policies of many companies have become apparent to the business World, the author merely points to seeming successes and says "Do That", and to the failures "Don't Do That".
There is a decent comparison of the Integrator, Orchestrator, and Licensor models and some of the issues facing decision makers. Look for this around the middle of the book.
For a far more profound study that is immediately useful there is probably nothing better than Christensen's Innovator's Solution - cover-to-cover. Payback lacks any reference at all to many of the biggest challenges to implementing policies and deriving return in the market place, from innovation. Beginning with Christensen's Innovator's Dilemma, learn first of all why established companies get stuck in a rut of satisfying the demands of existing customers and simply cannot produce new products and services that really will produce big paybacks. Learn also the big difference between sustaining innovations and disruptive innovations. Discussing payback without this understanding is like studying Rocks without studying Geology.

I must have read a different book.......2007-04-09

Based on the other reviews I must have read a different book. But seriously Payback bills itself on the ideas behind creating practical and actionable innovation, how else could you meet the promise of 'reaping the rewards of innovation.'

Unfortunately the rewards they are talking about are all in terms of cash and profits making this book a 101 finance book built around the authors notion of the Cash Curve with the following basic tenants:

- don't spend to much to create an idea because that consumes upfront cash
- don't take too long to commercialize and bring the idea to market
- get your idea into volume production as soon as possible
- support the idea with a measured post launch investment.

Sorry but that's it. The book is heavy on the finance 101 side and extremely light on the idea of practices and ideas. Sure they say that you can play different role: innovation integrator, orchestrator, or liscensor but you pretty much know what the authors are going to say just by the role names.

The book does have an number of case studies, many that are available in the public domain, however these cases are more narrative telling you what happened without being analytical and telling you why the did this or that and the result it took.

Overall this book is very light on the ideas and actions required to deliver the rewards of innovation because it treats innovation as a financing event that is intended to generate cash. While that view is true, there is allot of insight, actions and practices that must happen before we can start thinking about how to get cash out of an innovation. I only hoped that the authors had taken the time to tell us that.

Business libraries and business managers will find it inspirational........2007-03-12

Written by professional consultants James P. Andrew and Harold L. Sirkin, Payback: Reaping the Rewards of Innovation is a solid guide to the difference between having a good idea and turning that idea into financial reward. Payback puts forth the argument that the biggest challenge facing most companies today is their need to increase returns from their innovation spending. Introducing a concept called the "cash curve", Payback explores the fundamental factors that affect how much financial return will be netted. From how and when it can be profitable to apply innovation to noncash goals (such as the acquisition of new knowledge or enhancement of the company's brand), to models that accurately assess financial, technical and market risks to the relative advantages and disadvantages of the integration, orchestration, and licensing models and when to employ each, Payback is a reservoir of solid, high-stakes insight into skilled decision making. As valuable for innovative small business owners as for managers of grand enterprises.

Leading Beyone Where The Numbers Can Tell You.......2007-02-18

Innovation is one of the biggest problems facing companies today. This book does an excellent job of analyzing innovation into various types of companies and showing several examples of successful and unsuccessful companies.

The authors break innovation approaches within companies into three broad categories:

1. The Integrator - Here is where a company has a core competence and they hold the developement very close to their chest. The example they use is BMW who has a core technology in engines that they protect as much as they possibly can. Afer discussing a couple of other successes they then discuss Polaroid who attempted to move from film to digital cameras but failed.

2. The Orchestrator - where a company has the broad general idea and the ability to take a product to market but doesn't have the time, expertise, or desire to do this particular design/manufacturing job.

3. The Licensor - Some companies develop technologies that they are not going to take to market themselves. Dolby is the example they use, with technology licensed to various manufacturers. They have become the standard for audio professionals.

These decisions cannot be made by accountants, they take a leader. Someone has to see the potential beyone what the sheer numbers are showing.

Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

Average customer rating:

Mathematics for Finance: A useful tool for the unskillled investor
Incoherent
Insufficient and disappointing. Not even a good introductury text.
Great Book for Undergrad Quants
Joining the chorus

Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)
Marek Capinski , and Tomasz Zastawniak
Manufacturer: Springer
ProductGroup: Book
Binding: Paperback

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Principles of Financial Engineering (Academic Press Advanced Finance)
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Accessories:

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)

ASIN: 1852333308

Book Description

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.

Customer Reviews:

Mathematics for Finance: A useful tool for the unskillled investor.......2007-03-19

I enjoyed reading the book and solving exercises in it. I have a Ph.D.in chemistry and my wife and I did our his and her's MBA in the 1990s. I wanted to learn more concepts in finance and needed an easy entry, something I could enjoy, and without spending much money. The book by Capinski came recommended from a friend who teaches Economics at Cal State. I can speak for myself: I feel reasonably informed and I feel the book gave me concepts I can use to handle my own portfolio.

In the future, this text should be offered with an interactive CD that contains Xls, matrix, calculus, and graphing capabilities so one (I) can visualize the outcomes of proposed solutions.

Incoherent.......2007-01-18

Anyone can scribble a bunch of equations on paper and call it a book. Without sufficient context, they are useless.

Insufficient and disappointing. Not even a good introductury text........2006-05-15

As a graduate student in Financial Engineering I have found this book useless.
The title of the book is "Mathematics for Finance", but can you find in it even an elementary introduction to the stochastic processes? No. Ditto for the Ito's lemma and many other topics. The derivation of the Black Scholes formula is just sketched, and the insight that you can get from it is very limited.

Nevertheless, I wouldn't mind these limitations if this book provided a clear introduction to more advanced topics: unfortunately this book is not good even in that. In comparison to other textbooks the theorems and definitions are convoluted and do not go straight to the point. For example, in Shreve's "Stochastic Calculus for Finance" or Baxter & Rennie "Financial Calculus" the Fundamental Theorem of Asset Pricing is stated in this way: "In a market with risk neutral probability there is no arbitrage". Can you find such a simple and explanatory definition in Capinski's book? Not at all. The theorem at page 83 (you can see it yourself by searching inside the book) basically says the same thing using 8 lines of text and little financial intuition.
The only good thing that I can say about this book is that all exercises are resolved.
Overall, "Mathematics for Finance" has been a big disappointment: it doesn't have either the mathematical depth of Shreve's books or the conciseness in explaining financial concepts of Baxter & Rennie.
Whatever is the level of education that you are pursuing, graduate or undergraduate, I don't see any point in using it.

Great Book for Undergrad Quants.......2005-08-29

Mathematics for Finance (An Introduction to Financial Engineering) is a book intended for undergrad students "IN MATHEMATICS" or other discipline with a relative high mathematical content.

The book assumes some basic notion of Calculus and Probability Theory and it is focused more on the mathematics than in its theory and application of Finance. If you are looking to dwell into the mathematics (Proof of Equations) this is a great book, but if you are looking for a book that is rich in theory and in application then you should consider "Option, Future and Other Derivatives" or "Quantitative Methods for Finance" as an alternative. Both books are "a most" for any finance student and are of great help. Now if you want an introduction into the mathematics behind Finance then this book is a perfect purchase.

Important to state that all the problems presented in this book are solved meaning that it is great for self teaching. Marek Capinsi and Thomas Zastawniak have done a great job on this book.

I gave it four stars, because it has room for impovement.

Joining the chorus.......2005-08-03

I can only echo the other reviewers. As far as I can tell this book has no serious competition. This is an excellent introduction to mathematical finance for those with a solid undergraduate level understanding of higher math but without graduate level exposure. I agree that it is ideal for self study as that is exactly what I am using it for. The price is right especially in contrast with its overpriced brethren. Five stars!

Average customer rating:

Excellent book in time series
No complaints.
Absolutely Excellent (for what it is)
Awesome book for TS
A review of Time Series Analysis

Time Series Analysis
James Douglas Hamilton
Manufacturer: Princeton University Press
ProductGroup: Book
Binding: Hardcover

Econometrics | Economics | Business & Investing | Subjects | Books

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Similar Items:

The Econometrics of Financial Markets
Econometrics
Econometric Analysis of Cross Section and Panel Data
Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
Applied Econometric Time Series (Wiley Series in Probability and Mathematical Statistics)

ASIN: 0691042896

Book Description

The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems (including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing and interpreting real-world data. Time Series Analysis fills an important need for a textbook that integrates economic theory, econometrics, and new results.

The book is intended to provide students and researchers with a self-contained survey of time series analysis. It starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.

Customer Reviews:

Excellent book in time series.......2007-06-29

I don't think there is another book out ther that would outperform this book in time series econometrics. A must have if you are a graduate student in economics.

No complaints. .......2007-02-14

No complaints. I received the book before deadline and book is same as descrition. 100% recomended seller

Absolutely Excellent (for what it is).......2007-02-06

Hamilton is often dubbed, "too hard to understand." That may be true, but actually it seems to be much more reasonable and readable than other econometrics texts I have attempted to read.

I would definitely not start out into econometrics with this book though. You probably will not be able to appreciate how good this book is until you have tried to read something as atrocious as Greene.

As is typical with almost every upper level econometrics book, it assumes you have a wide mathematical and statistical knowledge base that you may or may not have. I would not recommend it as a beginning graduate econometrics book but it is a great reintroduction to time series methods. I will say that I haven't found a single book yet in intermediate econometrics that I felt was written clearly or concisely.

Still, overall, this has been by far the best among the worst and I would highly recommend reading it to anyone who is beginning to study time series econometrics in some detail.

Awesome book for TS.......2006-03-06

If you are thinking of mastering TS this is the book to start with. Do not get intimidated however with all the symbols and notations, the author does a pretty good job explaining each and every equation. A seperate book is needed for application eg RATs handbook by Enders.

A review of Time Series Analysis.......2005-08-05

The book provides a good overview of the analysis of time series and it also gives a good treatise of the economitric background of the use of estimation methods.

Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals

Average customer rating:

Fantastic!
Useless
Make backtesting meaningful
Best for professional, intellectual and philosophical trading system developers
A must-have for TA practitioners

Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals
David R Aronson
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Enhancing Trader Performance: Proven Strategies From the Cutting Edge of Trading Psychology (Wiley Trading)
Way of the Turtle: The Secret Methods that Turned Ordinary People into Legendary Traders
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Entries & Exits: Visits to 16 Trading Rooms (Wiley Trading)
New Trading Systems and Methods (Wiley Trading)

ASIN: 0470008741

Book Description

Evidence-Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.

Customer Reviews:

Fantastic!.......2007-09-26

Just wanted to add to the praise of this book. If you're not following the backtesting practice of this book then you're playing slots with your trading (hey, maybe you'll get lucky!!). Some of the material is tough going and will require a second reading, but it'll be worth it. As another reviewer said about this being a kind of in-depth follow on to "Fooled by Randomness", I couldn't agree more. As matter of fact it's what I read just prior, so I couldn't help smiling as I went through this book, because he was putting the meat on the plate that Nassim set! Thank you, thank you..

The previous reviewer (Useless..) that gave it one star clearly did not get the concepts of the book. Did he even read it? That review does not compute. The *only* negative I would say is that if you're just looking for how to do robust backtesting, then the extensive material on the scientific method might be a bit much (but you can always read lightly those sections). But I understand why he put it in there, since it's the entire premise of taking a different and more rigorous approach to TA.

Now back to re-reading Chapter 6... Thank you Mr. Aronson!

Useless.......2007-08-29

I found this book useless..a total waste of time and money.Instead of analyzing the results obtained by using the various technical indicators,the author simply trashes their use,and does so in a preverse use of mathematical formulas,from which the reader gains nothing.I truly felt like my money was taken,for the purchase of the book,under false pretenses.

Make backtesting meaningful.......2007-08-24

Most trading books are pseudoscience or entertaining reminiscences of successful traders. Aronson has done an admirable job of applying the requisite rigor to the many difficulties associated with analyzing the results of historical backtesting.

Best for professional, intellectual and philosophical trading system developers.......2007-08-08

I had thought of using another review title "For fans and followers of Victor Niederhoffer" as inspired by his praise on the front cover. Pardon me to assume the following: if you had not heard of Niederhoffer, the chance is high that you have no prior experience/idea of testing the statistical significance of various TA tools, nor dwelling into the philosophical/scientific aspects of TA at all. Please accept the fact that this book is not for you. For trading professionals who deem themselves philosophical and intellectual (preferably with a college level of knowledge on statistics), this book is an inspiration. Highly recommended!

A must-have for TA practitioners.......2007-08-01

This book shakes some of your most deep beliefs in TA - and this is a healthy thing. Read it with an open mind.

Introduction to the Mathematics of Financial Derivatives

Average customer rating:

Good Companion Book
Good book
Very thoughtful and clear explanation of financial math
sophisticated maths
Remarkable Introduction to Serious Math, Serious Finance, and Real-World Applications

Introduction to the Mathematics of Financial Derivatives
Salih N. Neftci
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Options, Futures and Other Derivatives (6th Edition)
Principles of Financial Engineering (Academic Press Advanced Finance)
Financial Calculus : An Introduction to Derivative Pricing
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

ASIN: 0125153929

Book Description

This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals.

Customer Reviews:

Good Companion Book.......2007-08-29

good companion book for the other book "Principles of Financial Engineering" by the same author
Clear and easy to understand treatment. The author does not assume a high level of math knowledge of the reader.

Good book.......2007-05-09

As title states this is a good Introduction to the mathematics of derivatives.
If you're looking for some book with C/C++/C#/Java code samples this isn't the book. Indeed a good mathematical introduction; its pre-requirements are a good mathematical and statistical ones.

Very thoughtful and clear explanation of financial math.......2007-02-05

I turn to this book after I get frustrated with Tomas Bojork's book "Arbitrage Theory in Continuous Time." As I am not from a strict math background, this Neftci's book makes much more sense to me. What I particularly like about this book is explanation in plain English of why the mathematical formulae are so, and how they are connected to the bigger picture. Also Neftci has a good grasp of how many real-life examples included in this book so that it doesn't lose its focus on the real math in finance.

sophisticated maths.......2006-06-16

Neftci takes us on a mathematically sophisticated tour of financial derivatives. The treatment is on a level akin to a senior-level undergrad text on physics or engineering. Indeed, to a reader who might come from that background, there will be a lot of similarities and familiar ideas.

For example, partial differential equations arise naturally in the pricing of derivative assets. But unlike many places in physics, here it is not sufficient to assume smoothly varying variables. The inherently discrete nature of most financial variables means that derivatives have to be approximated numerically.

Neftci also describes the various types of options, like basket, knock-out, multi-asset and so on. Each has a slightly different modelling. Another key idea involves the time aspect of pricing. So Wiener processes naturally arise, and the text shows how to handle these.

Much more is covered in the book. Perhaps just as importantly, it gives you enough maths preparation that you should be able to analyse other new types of financial instruments. Maybe even ones that you create yourself.

Remarkable Introduction to Serious Math, Serious Finance, and Real-World Applications.......2006-06-14

Neftci's book is easily grouped into a large number of texts that provide graduate level (considerable more rigorous than the MBA version) introductions to mathematical finance. Some are written for MBA with want to be exposed to as little math as possible without short changing the financial and valuation aspects and with considerable attention to a broad range of financial products and applications (Hull's classic comes to mind). Others are extremely implementation driven and are more a hybrid of finance and computer programming (Duffy, London, Wilmont). Still others are math books that speak above the heads of almost all practitioners and cover the finance topics poorly (or not at all).

Netfci's book is a rare gem in this field. Excellent coverage of financial topics and fundamentals (Arbitrage Theorem, Forwards Futures, Equity Derivatives, Interest Rate Derivatives), serious graduate level review of financial math and mathematical techniques (Probability, Numeric Processes, Binomial Methods, Stochastic Calculus, Finite Difference, Martingales, Monte Carlo methods), and applications (Bond Pricing, Term Structure Modeling, Exotic Options, Rare Event Modeling).

Best of all, it start assuming very little, builds aggressively, and progresses logically.

The biggest drawbacks are a lack of coverage for credit modeling and credit derivatives, Merton-model and contingent claim models for distressed equity, and more common financial engineering applications (hedging, rebalancing).

It is also remarkable well-written.

Average customer rating:

It might be a good finance book,
superb coverage of subject matter
good but not excellent
Good book to understand quantitative finance
Investment Science must have

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

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ASIN: 0195108094

Book Description

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

Customer Reviews:

It might be a good finance book,.......2007-08-14

but it's a terrible math book.

Too often, explanations, examples, and problems do not clearly explain the meanings of variables and applicable assumptions. This poor presentation of material makes the book barely usable to someone trying to learn the material for the first time.

superb coverage of subject matter.......2007-07-30

Prof. Luenberger currently teaches at Stanford and this book is used as the textbook for a 2-quarter series in investment science there. The coverage is concise and the math is manageable and yet extremely practical. I agree that this an excellent self-study book in the subject of investment science.

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

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

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

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

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

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

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

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

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

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

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

The Mathematics of Financial Derivatives: A Student Introduction

Average customer rating:

Good Buy
Okay but not an introduction
Introduction to partial differential equations in finance
A good introduction to the PDE approach
waste of time

The Mathematics of Financial Derivatives: A Student Introduction
Paul Wilmott , Sam Howison , and Jeff Dewynne
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

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Similar Items:

Options, Futures and Other Derivatives (6th Edition)
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Introduction to the Mathematics of Financial Derivatives
Financial Calculus : An Introduction to Derivative Pricing
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance)

ASIN: 0521497892

Book Description

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.

Customer Reviews:

Good Buy.......2007-08-29

maps one to one with many chapters in Hull. more elaborate derivations than Hull. Fixed income area treatment is very slim though. Good Buy for the Price.

Okay but not an introduction.......2006-07-31

If you want an introduction, read another book like Hull. If you want to learn how to apply Partial Differential Equations (PDEs) approach to finance then it is a useful book. However, it is better to read an elementary PDEs book before reading this book. At least, learn how to solve parabolic PDEs analytically because the technical notes in the book would not help much.

Introduction to partial differential equations in finance.......2005-10-13

This book treats only the partial differential equations
in Finance and how to treat them using Finite Differences
and Tree. For this purpose it is very well written and
understandable. A very good beginning for student. Even
undergraduate.

Now after reading it you should understand the martingales reading the baxter and how to implement Monte Carlo using, for example Glasserman (see my reviews)

A good introduction to the PDE approach.......2005-10-10

Contrary to what many readers believe, this book explains the pricing of derivatives much better than Hull. Hull gives an overview of the mechanics and properties of the derivative pricing industry, along with its pricing methodologies, and this book provides an in depth method to one of the pricing methods.

Financial derivatives can be priced by a wide range of methodologies, among some the elegant equivalent martingale measure approach (or risk-neutral pricing), replication, multinomial tree approximation, Monte Carlo simulation, partial differential equations etc etc.

This book gives an excellent introduction, and an insight to the PDE approach. Although being a big fan of the Girsanov-change-of-measure method myself, these analytical methods often fail in the valuation of highly complex derivatives like the exotics. Pricing americans prove to be hard and inefficient too, even with simulation and the risk-neutral approach.

This is where PDE methods come in. Since most derivatives (or term structures) have a PDE describing its evolution, solving the PDE seems to be a good (or sometimes the best) way, no matter how complex the derivative can get. PDEs on the other hand, have very robust and easy methods for solving. Therefore, this book brings the reader through basic PDE solving methods, analytical solutions, techniques for fast and efficient numerical approximations as well as rigorous technical explanations for some of the mathematics of partial differential equations (which arise in the financial industry).

The authors are famous for their research in the field of Industrial and Applied Mathematics, and this book continues to be a classic for undergraduates in mathematics in Oxford. If you want to have an overview of the pde approach to option valuation, without the hassle of learning up Radon-Nikodým and martingales, I highly recommend this book!

waste of time.......2005-03-10

This book is very bad, lacks almost everything you can think of, but if you don't know any better you probably won't care. It certainly needs to be supplemented by a respectable book if you want to learn derivatives (c.f. Hull's textbook, for example), and on the other hand, the math isn't rigorous at all, so you'll need a book on stochastic calculus (e.g. Michael Steele's, actually there are tons of better books out there, it's not hard to find better).

Average customer rating:

really great book
Absolutely Fabulous!

Fixed Income Mathematics, 4E
Frank Fabozzi
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Hardcover

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Similar Items:

The Handbook of Fixed Income Securities
The Handbook of Mortgage-Backed Securities
Fixed Income Analysis (CFA Institute Investment Series)
Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities
Bond Markets, Analysis and Strategies (6th Edition)

ASIN: 007146073X

Book Description

The standard reference for fixed income portfolio managers

Despite their conservative nature, fixed income instruments are among the investment industry's most complex and potentially risky investments. Fixed Income Mathematics is recognized worldwide as the essential professional reference for understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments.

This fully revised and updated fourth edition features all-new illustrations of the future and present value of money, with appendices on continuous compounding and new sections and chapters addressing risk measures, cash flow characteristics of credit-sensitive mortgage-backed and asset-backed securities, and more.

Customer Reviews:

really great book.......2007-01-06

like the handbook of fixed income securities, this is a comprehensive text. it is a great reference for the methodology of fixed income math.

Absolutely Fabulous!.......2006-05-11

I work in Equity research and recently had to move over to Fixed income. Two things happened at this stage - (a) Work-pressure dictated that I learn FI (b) I started taking a course from NYSU.
Thus, this review is applicable to both sets of people - those who're learning and those who are working.
The language - is very free-flowing and easily can be grasped.
The alma-mater - very, very professionally presented. Without spending too much time covering the absolute basics, i.e. taking the subject from ground-zero, he covers each topic from a perspective of an intelligent reader. Quickly covers the basics, the derivation explanation and then the core equation. The equation is very heavily exploded through various examples and situations. TERRIFIC stuff... really what "hits" you in work.

Critical areas which he has carefully covered this particular edition has the VERY BEST COVERAGE on the latest developments related to: (missing in prev. edition)
* Interest rates and their modelling.
* Credit risk concepts (CDS, etc. also explained)\
* Pre-payment modelling - perhaps the only book covering this ever-important subject, esp. relevant nowadays.
* Corporate bonds and their measures of risk
* MBS Structuring - don't know any book covering this!

The best - tracking errors and multi-factor risk-models... the models and techniques explored here, though rudimentary gives you that 1 single-aspect on every analyst's mind .. i.e. fear of errors. Where it might happen, how to mitigate it, pre-empt it.

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