Central Banking, Asset Prices and Financial Stability (Routledge International Studies in Money and Banking): Éric Tymoigne

• Filed under: Recommended

Editorial Reviews

The current literature on central banking contains two distinct branches. On the one side, research focuses on the impact of monetary policy on economic growth, unemployment, and output-price inflation, while ignoring financial aspects. On the other side, some scholars leave aside macroeconomics in order to study the narrow, but crucial, subjects of financial behaviours, and financial supervision and regulation. This book aims at merging both approaches by using macroeconomic analysis to show that financial considerations should be the main preoccupation of central banks. Eric Tymoigne shows how different views regarding the conception of asset pricing lead to different positions regarding the appropriate role of a central bank in the economy. In addition, Hyman P. Minsky’s framework of analysis is used extensively and is combined with other elements of the Post Keynesian framework to study the role of a central bank.Tymoigne argues that central banks should be included in a broad policy strategy that aims at achieving stable full employment. Their sole goal should be to promote financial stability, which is the best way they can contribute to price stability and full employment. Central banks should stop moving their policy rate frequently and widely because that creates inflation, speculation, and economic instability. Instead, Tymoigne considers a pro-active financial policy that does not allow financial innovations to enter the economy until they are certified to be safe and that focuses on analyzing systemic risk. He argues that central banks should be a guide and a reformer that allow a smooth financing and funding of asset positions, while making sure that financial fragility does not increase drastically over a period of expansion. This book will be of interest to students and researchers engaged with central banking, macroeconomics, asset pricing and monetary economics.

About the Author
California State University, USA

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The Options Strategist: How to Invest and Trade Equity-Related Options: Marc Allaire

• Filed under: Recommended

Editorial Reviews

Provides effective strategies for using options for either hedging or trading, walks readers through basic hedging strategies and then moves on to the advanced trading techniques including spreading, straddling, and more.

From the Back Cover
Equity options, the all-purpose vehicles that today’s smartest investors use to increase profits, reduce risks, or both

Equity options, considered overly complex and aggressive by most investors, are actually among today’s most straightforward and easy-to-use investment vehicles. Providing both protection against loss and potential for exceptional profits, they are ideal for virtually any trader or investor.

The Options Strategist outlines effective and easy-to-follow strategies for incorporating the power of equity options into your trading program. Starting with the basics of options and options trading, it goes on to reveal specific strategies that you can use to:

• Maximize your trading profits in up, down, or sideways markets
• Protect your portfolio against sudden market declines
• Take advantage of price swings, regardless of their direction
• Hedge your corporate stock and/or options against unforeseen events
• Employ advanced options techniques to take your trading success to the next level

It’s time that you discovered the many benefits of equity options. Let The Options Strategist show you just how easy and profitable options investing can be and provide you with the knowledge and tools you need to give your portfolio the options advantage.

Investors of all types, with portfolios of every size, are beginning to realize the protection and profit in equity options. Long seen as a volatile investment designed strictly for gamblers and high rollers, options in fact offer unique advantages to even the most conservative investor and are suitable for rounding out virtually any investment portfolio.

The Options Strategist tells you everything you need to know to trade and invest with equity options. Whether you use options to aggressively increase trading profits through the power of leverage or conservatively protect the stocks in your portfolio against sudden market reversals, this hands-on, practical guide will introduce you to strategies from basic to advanced, including:

• Buying calls and puts
• Writing covered calls and puts
• Writing naked calls and puts
• Straddles
• Spreads
• Strangles
• Collars
• Combinations

But more than just discussing what to do and how to do it, The Options Strategist explains why to do it. Why would an investor buy an option to purchase 100 shares of a stock instead of just buying the stock itself? Why would an investor write calls on shares of stock he or she already owns? Or write both puts and calls on that same stock? This plain-talking guidebook explains the strategic motivation behind each of these examples and dozens more, along with the rewards, risks, best outcomes, and worst outcomes for each.

In addition, The Options Strategist takes an in-depth look at the theory behind options investing. Option pricing, implied and historical volatility, the Greeks, the Black-Scholes Option Pricing Model: For each of these topics, key questions are asked and answered, central arguments are introduced and analyzed, and specific technical terms are demystified to underscore their practical applications (or lack thereof) for options traders and investors.

The result is a guidebook that lays a solid foundation for equity option trading and investing. The Options Strategist explains how to use basic techniques for both profit and protection and then explores more advanced aspects for the truly serious student of options trading. It is, in short, today’s most comprehensive introduction and rulebook for making equity option trading an integral part of your everyday investing strategy.

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Financial Engineering Principles: A Unified Theory for Financial Product Analysis and Valuation (Wiley Finance): Perry H. Beaumont

• Filed under: Recommended

Editorial Reviews

"Quite simply, he’s done it again. Building upon his previous writings from the fixed income markets, Beaumont has successfully applied his practical hands-on style to bring us a fresh cross-market perspective of bonds, equities, and currencies. Financial Engineering Principles now occupies that portion of my bookshelf reserved for texts with long shelf-life and little dust."
–Steve Oristaglio
Senior Managing Director, Co-head of Investments, Putnam

"This book provides a sophisticated understanding of finance, using commonsense explanations that do not depend on obscure jargon or advanced-level mathematics."
–Martin Fridson
Publisher, Leverage World

"Beaumont challenges us to rethink the standard tools that we use to analyze asset allocation and financial markets. The result of the challenge is to help us deal with financial innovation in new and interesting ways."
–Bruce Brittain
Global Relative Value Product Manager, PIMCO

From the Inside Flap
The world of finance today is not necessarily a more complex place, though it has experienced a profound evolution over just the past few years. A major step toward understanding this new world is to embrace the notion of how similar financial products truly are, rather than hold on to the outdated belief of how they are so different. Financial Engineering Principles is an invaluable resource that can help you do just this.

The unique aspect of Financial Engineering Principles is that, for the first time, a single unified valuation approach is used to build bridges across fundamental financial relationships. This book clearly shows investors how to focus on the dynamics of processes and interrelationships of different investment choices–rather than concerning themselves with the stale definitional and static concepts that have permeated this field.

Divided into two information-packed parts, Financial Engineering Principles provides you with the financial tools and knowledge necessary to deconstruct and value any financial product that may evolve. First you will be introduced to the top layer of this new methodology, namely products (equities, bonds, currencies), cash flows (spot, forwards and futures, options), and credit (from the perspective of products, cash flows, and issuers).

In the second half of this comprehensive guide–after the groundwork has been laid in part one–you will receive an executive education on the implications for investment-making decisions. Through discussions and explanations of financial engineering (product creation, portfolio construction, strategy development), risk management (quantifying, allocating, managing), and market environment (tax, legal, regulatory), Financial Engineering Principles develops a framework that will help investors and portfolio managers better evaluate market opportunities and use specific trading strategies to build more efficient portfolios.

Financial Engineering Principles provides an innovative way to think about market linkages and synergies, and sketches a practical blueprint that both students and practitioners can use for a variety of applications. Whether you’re a portfolio manager interested in creating optimal portfolios or an individual investor looking to enhance your current as well as future position in the markets, Financial Engineering Principles provides a simple yet powerful introduction to analyzing and identifying value in any financial product–and shows you a better way to invest.

Order Financial Engineering Principles: A Unified Theory for Financial Product Analysis and Valuation (Wiley Finance): Perry H. Beaumont form Amazon.

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance): Damiano Brigo, Fabio Mercurio

• Filed under: Recommended

Editorial Reviews

Review

From the reviews:

SHORT BOOK REVIEWS

“The text is no doubt my favorite on the subject of interest rate modeling. It perfectly combines mathematical depth, historical perspective and practical relevance. The fact that the authors combine a strong mathematical (finance) background with expert practice knowledge (they both work in a bank) contributes hugely to its format. I also admire the style of writing: at the same time concise and pedagogically fresh. The authors’ applied background allows for numerous comments on why certain models have (or have not) made it in practice. The theory is interwoven with detailed numerical examples…For those who have a sufficiently strong mathematical background, this book is a must.”

From the reviews of the second edition:

“The book ‘Interest Rate Models – Theory and Practice’ provides a wide overview of interest rate modeling in mathematical depth. … The authors found a good approach to present a mathematically demanding area in a very clear, understandable way. The book will most likely become … one of the standard references in the area. … if one were to buy only one book about interest rate models, this would be it.” (David Skovmand and Michael Verhofen, Financial Markets and Portfolio Management, Vol. 21 (1), 2007)

“This is the book on interest rate models and should proudly stand on the bookshelf of every quantitative finance practitioner and student involved with interest rate models. If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice. … is simply a must for all. Especially, I would recommend this to students … . Overall, this is by far the best interest rate models book in the market.” (Ita Cirovic Donev, MathDL, May, 2007)

“This is a very detailed course on interest rate models. Its main goal is to construct some kind of bridge between theory and practice in this field. From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus. … Advanced undergraduate students, graduate students and researchers should benefit from reading this book and seeing how some sophisticated mathematics can be used in concrete financial problems.” (Yuliya S. Mishura, Zentralblatt MATH, Vol. 1109 (11), 2007)

The 2nd edition of this sucessful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.

The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of convertible bonds and inflation-linked derivatives.

Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives — mostly Credit Default Swaps (CDS) and CDS Options - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market.

Order Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance): Damiano Brigo, Fabio Mercurio form Amazon.

Forecasting Financial Markets: The Psychology of Successful Investing: Tony Plummer

• Filed under: Recommended

Editorial Reviews

Review
‘This book will entertain and intrigue keen investors…’ Financial Times ‘Tony Plummer… has written a book that is almost breathless in its enthusiasm for his chosen craft.’ The Independent ‘… a brilliant, original, insightful work… deserves to be read by all serious technical analysts.’ Futures Magazine ‘… as clear-cut and easy-to-read an introduction as one could want.’ The Independent ‘Should interest not only practitioners and sceptical economists, but also countless thoughtful managers who are rightly impatient with expert “forecasts”, which are, alas, not always worth the paper they are printed on.’ Sir Adam Ridley, Director General, London Investment Banking Association
–This text refers to an out of print or unavailable edition of this title.

Review
“A brilliant, original, insightful work… deserves to be read by all serious technical analysts.” — Futures Magazine

“This book will entertain and intrigue keen investors.” — Financial Times

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Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Making: Hilary Till, Joseph Eagleeye

• Filed under: Recommended

Editorial Reviews

Review
“The booming commodity investment market offers considerable rewards to investors who understand the unique characteristics, benefits and challenges of these ‘capital’ assets. Orchestrating contributions from an impressive line-up of industry and academic experts, Till and Eagleeye have delivered an orderly, accessible, and opportune reference on active and passive natural resources investing. Encompassing asset allocation, investment strategies, and risk control, this is a must-read for all those interested in commodities as a new alternative investment class” Noel Amenc, Ph.D., Professor of Finance, EDHEC Business School and Director, EDHEC Risk and Asset Management Research Centre

From lasting principles in commodities investing to recent trends and leading edge techniques, this book covers a full range of concepts that are critical for anyone investing in these markets. At once comprehensive and relevant to the current environment, this book offers important information to both the experienced commodities practitioner as well as those simply interested in learning more about these increasingly important markets. –Mr. David Kuenzi, Head of Risk Management and Quantitative Research, Glenwood Capital Investments, LLC; A member of the Man Group (USA)

In recent years, commodity investing has come of age. But the analytical underpinnings of the market are still less well understood than those of markets in other asset classes. Till and Eagleeye have, in this collection, gone a long way towards filling that gap, and in an easily comprehensible style. It will be essential reading for commodity investors, or would-be investors, everywhere. –Sir Howard Davies, Director, London School of Economics and Political Science; and Former Chairman of the Financial Services Authority

The booming commodity investment market offers considerable rewards to investors who understand the unique characteristics, benefits and challenges of these capital assets. Orchestrating contributions from an impressive line-up of industry and academic experts, Till and Eagleeye have delivered an orderly, accessible, and opportune reference on active and passive natural resources investing. Encompassing asset allocation, investment strategies, and risk control, this is a must-read for all those interested in commodities as a new alternative investment class. –Noël Amenc, Ph.D., Professor of Finance, EDHEC Business School and Director, EDHEC Risk and Asset Management Research Centre

As commodities move into the realm of respectable investments and with research continually demonstrating their attractiveness in an overall portfolio, this book provides institutional investors with a framework for intelligent commodity investing.

With the booming interest in commodity investment as investors seek alternatives to more traditional investments there is a growing demand for up-to-date investment information. This book provides timely and intelligent insights from a broad range of institutional investors, consultants, hedge funds, commodity index providers, risk managers as well as research from academia.

This is the only multi-contributor book on commodity investment offering a breadth of opinions for sophisticated investors. It looks at commodity investment from the following perspectives:

• The Investor
• The Active Manager
• The Commodity Index Provider
• The Risk Manager
• The Researcher

  The size of the global commodities derivatives market is now estimated to be around $750 billion. This growth is evident by the increased investment in commodity indexes and the growth of commodity hedge funds. Further evidence of growth is also seen in the increasing size of natural-resources mutual funds. China and other fast-growing countries are snapping up raw materials at a pace that, at times, is faster than mines and oil wells can produce them.

  In response to the rapid growth in the market, this timely publication will bring you up to speed on the trends and challenges of commodity investment, providing you with a practical investment framework.

  Recommended reading for hedge fund managers, pension fund consultants, mutual fund portfolio managers, endowment chief investment officers, futures traders, family office investors, commodity trading advisers, brokers, dealers and MBA students researching this important subject.

  Order Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Making: Hilary Till, Joseph Eagleeye form Amazon.

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance): Damiano Brigo, Fabio Mercurio

• Filed under: Recommended

Editorial Reviews

Review

From the reviews:

SHORT BOOK REVIEWS

“The text is no doubt my favorite on the subject of interest rate modeling. It perfectly combines mathematical depth, historical perspective and practical relevance. The fact that the authors combine a strong mathematical (finance) background with expert practice knowledge (they both work in a bank) contributes hugely to its format. I also admire the style of writing: at the same time concise and pedagogically fresh. The authors’ applied background allows for numerous comments on why certain models have (or have not) made it in practice. The theory is interwoven with detailed numerical examples…For those who have a sufficiently strong mathematical background, this book is a must.”

From the reviews of the second edition:

“The book ‘Interest Rate Models – Theory and Practice’ provides a wide overview of interest rate modeling in mathematical depth. … The authors found a good approach to present a mathematically demanding area in a very clear, understandable way. The book will most likely become … one of the standard references in the area. … if one were to buy only one book about interest rate models, this would be it.” (David Skovmand and Michael Verhofen, Financial Markets and Portfolio Management, Vol. 21 (1), 2007)

“This is the book on interest rate models and should proudly stand on the bookshelf of every quantitative finance practitioner and student involved with interest rate models. If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice. … is simply a must for all. Especially, I would recommend this to students … . Overall, this is by far the best interest rate models book in the market.” (Ita Cirovic Donev, MathDL, May, 2007)

“This is a very detailed course on interest rate models. Its main goal is to construct some kind of bridge between theory and practice in this field. From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus. … Advanced undergraduate students, graduate students and researchers should benefit from reading this book and seeing how some sophisticated mathematics can be used in concrete financial problems.” (Yuliya S. Mishura, Zentralblatt MATH, Vol. 1109 (11), 2007)

The 2nd edition of this sucessful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.

The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of convertible bonds and inflation-linked derivatives.

Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives — mostly Credit Default Swaps (CDS) and CDS Options - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market.

Order Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance): Damiano Brigo, Fabio Mercurio form Amazon.

Multiple Criteria Decision Analysis:State of the Art Surveys (International Series in Operations Research & Management Science): Jose Figueira, Salvatore Greco, Matthias Ehrgott

• Filed under: Recommended

Editorial Reviews

Review

Roman Slowinski (Poznan University of Technology, Editor of EJOR): “The Editors are to be congratulated for an excellent work. They attracted the most representative authors and contributors for contemporary MDCA. I have never seen such a complete and up-to-date book on MCDA. It will be a basic reference for the next decade.”

MULTIPLE CRITERIA DECISION ANALYSIS: State of the Art Surveys is the most comprehensive work available to survey the state of the art in MCDA to date. Its 25 chapters are organized in eight parts and are written by 52 international leading experts. Each of these parts covers one of the central streams of multiple criteria decision analysis literature. These literature streams are: MCDA today, Foundations of MCDA, Our Ranking Methods, Multiattribute Utility Theory, Non-Classical MCDA Approaches, Multiobjective Mathematical Programming, Applications, and MCDM Software.

The handbook presents the most up-to-date discussions on well-established methodologies and theories in the field, while systematically surveying emerging fields in MCDA such as conjoint measurement, fuzzy preferences, fuzzy integrals, rough sets, etc.MULTIPLE CRITERIA DECISION ANALYSIS: State of the Art Surveysis a valuable reference volume (more than 2000 references) for the field of decision analysis.It provides graduate students, researchers, and practitioners with a sweeping survey of MCDA theory, methodologies, and applications. It is a handbook that is particularly suitable for use in seminars in Decision Analysis, Decision Support, and Decision Theory.

Order Multiple Criteria Decision Analysis:State of the Art Surveys (International Series in Operations Research & Management Science): Jose Figueira, Salvatore Greco, Matthias Ehrgott form Amazon.

Quantitative Equity Portfolio Management (McGraw-Hill Library of Investment and Finance): Ludwig B Chincarini, Daehwan Kim

• Filed under: Recommended

Editorial Reviews

Praise for Quantitative Equity Portfolio Management

“A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management.” ERIC ROSENFELD, Principal & Co-founder of JWM Partners

“This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a host of relevant practical examples. The book excels in melding theory with practice.” STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology

“The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor.” DAVID BLITZER, Managing Director and Chairman, Standard & Poor’s Index Committee

“Making the transition from the walls of academia to Wall Street has traditionally been a difficult task…This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting.” MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors

“This text provides an excellent synthesis of a broad range of quantitative portfolio management methods…In addition, there are a number of insightful innovations that extend and improve current techniques.” DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc.

Capitalize on Today’s Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio

Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts.

Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking…to fundamental factor models, economic factor models, and forecasting factor premiums and exposures.

Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance.

Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features:

Hedge Funds: An Analytic Perspective (Advances in Financial Engineering): Andrew W. Lo

• Filed under: Recommended

Editorial Reviews

Review
Anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go.
(The Economist )

Review
Andrew Lo’s Hedge Funds is likely to be the high-water mark in the analysis of hedge funds for years to come. Focusing on hedge fund returns and trading strategies, risk characteristics, and potential for illiquidity, Lo brings to bear his always fresh and insightful thinking.
(Richard Bookstaber, author of “A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation” )

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