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Options, Futures, and Other Derivatives (5th Edition) by John C. Hull Average Customer Review: Hardcover (03 July, 2002) list price: $156.00  our price: $156.00 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (45)
A good first step into the world of Quantitative Finance
The bible of derivatives
A musthave on your shelf Isbn: 0130090565 
$156.00 
Dynamic Hedging : Managing Vanilla and Exotic Options (Wiley Finance) by Nassim NicholasTaleb Average Customer Review: Hardcover (20 December, 1996) list price: $100.00  our price: $63.00 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (33)
Real bookfor traders
Not Worth the Read
Derivatives Theory meets Practice Taleb focuses on hedging, which is a trader's main task when running a large portfolio of options.Instead of using a flood of equations, Taleb relies on charts, graphs, and tables to make his points. Most of the equations & heavy mathematics are relegated to the appendix, presumably because quants (or software) will price the instruments.He covers the behavior of the Greeks (delta, gamma, vega, theta, etc.) for vanilla options as well as behavior of exotic options, and delves into the practicalities of volatility, hedging at discontinuities, and various other topics. The book is very popular on trading desks, and although I found it pretty good, I didn't find it to be outstanding.Also, notably, the book does NOT cover credit & interest rate derivatives at all; hopefully this will be corrected in the next edition. So if you need a book on the practicalities of hedging a portfolio of vanilla/exotic options, then get this book. On the other hand, if you want some basic options theory, or want to focus more in pricing, or need a basic introduction, look elsewhere (perhaps to Hull's or Wilmott's books). ... Read more Isbn: 0471152803 
$63.00 
Option Theory (The Wiley Finance Series) by PeterJames Average Customer Review: Hardcover (10 January, 2003) list price: $123.90  our price: $123.90 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (2)
The right combination of rigor and practicality This may be the perfect book to read after mastering a superb introductory text like Robert L. McDonald, Derivatives Markets.
Option Theory Fits the Bill Isbn: 0471492892 
$123.90 
Pricing and Hedging of Derivative Securities by L. T. Nielsen, Lars Tyge Nielsen Average Customer Review: Hardcover (01 August, 1999) list price: $74.50  our price: $74.50 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (6)
Learn continuoustime finance from this book!
Nielsen is simply amazing
Excellent textbook Isbn: 0198776195 
$74.50 
Fixed Income Analytics by Kenneth D. Garbade Average Customer Review: Hardcover (15 November, 1996) list price: $75.00  our price: $64.06 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (4)
Wonderful but outdated
A classic, despite being somewhat dated
Excellent for both academic and practitioners Isbn: 0262071762 
$64.06 
Introduction to Fixed Income Analytics by Frank J.Fabozzi, Steven V.Mann, Frank J. Fabozzi Hardcover (May, 2001) list price: $69.95  our price: $69.95 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Isbn: 1883249945 
$69.95 
Fixed Income Securities: Tools for Today's Markets, Second Edition by BruceTuckman, Bruce Tuckman Average Customer Review: Hardcover (16 August, 2002) list price: $77.03  our price: $77.03 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (13)
Excellent introdution to the world of Fixed Income
This book is too simple, mostly words, no indepth coverage
Unmatched clarity Isbn: 0471063177 
$77.03 
Interest Rate Models by Damiano Brigo, Fabio Mercurio Average Customer Review: Hardcover (09 August, 2001) list price: $89.95  our price: $62.39 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (6)
Best book on interest rate models
The best book I have read on the subject Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it. I would just say that this is certainly a must have in the field.
New stuff and nice overview: hard to beat! I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this BrigoMercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing. 1factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1f model. I like the treatment of lognormal 1f models and the explanation of Monte Carlo and trees  the flowchart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions. The chapter on 2f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees! The HJM chapter size is OK. I agree  the useful models embedded in HJM are short rate models and market models. Market models  these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion! Smile modeling begins with a brilliant tour and ends with BrigoMercurio's new approach  the mixing dynamics  deserving a whole chapter if expanded. The detailed explanation on products is a much welcome original addition. Cross currency derivatives! Quotes  as in Brigo's old work  are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price. Still there's room for improvements  more "CIR2++"! Something on 3f models. Historical estimation of the correlation matrix and lowrank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9  other interest rate models  sounds out of place and can be suppressed for other things. This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this. ... Read more Isbn: 3540417729 
$62.39 
Trading With The Odds: Using the Power of Statistics to Profit in the futures Market by CynthiaKase Average Customer Review: Hardcover (01 March, 1996) list price: $55.00  our price: $55.00 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (16)
Disappointed and yet...
Yes, Cynthia, I do indeed love you.
A Serious Professional  Excellent Work! Her impressive successful background and experience cannot be disputed; this shows in her work.There are many weak "black box" systems for sale out there  this is not one of them.The Kase indicators and methods to trading in the markets are not limited to specific periods in time, nor are they limited to specific markets; this is the fundamental basis for their solidity and amazing accuracy. Her "DevStop" and "PeakOscillator" are excellent tools!I highly recommend this book and the fine work of Ms. Kase to any trader serious about trading using technical indicators. ... Read more Isbn: 155738911X 
$55.00 
Probability by Jim Pitman Average Customer Review: Hardcover (07 February, 1997) list price: $84.95  our price: $69.28 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (13)
Clear text, many examples, excellent
A disaster!
Great for "applied" types like me I have never encountered such an easytoread description of probability. Also, there are absolutely great, intuitive examples which are nontrivial and easily extended. I completely disagree that this book encourages memorization  rather, there are many examples which give both an intuitive/thinkingaboutit solution and a formulaic solution. Also, there are easytofind "rules" for probablisitictype functions and operations which are very clearly explained and accompanied with nontrivial examples. The notation may be a little clunky, but it is very easy to find the definitions and the index is reasonably complete. Also, there are several valuable appendicies. Oh, and there are solutions to oddnumbered excercises and solutions to mockexams. What's not to like? I would recommend this book to those who need to know probability for their nonpuremath discipline (i.e. physics, engieering, life sciences, etc.) but can't afford to invest the time in a full course (although I'm sure a course which uses this book would be a great asset, as well). ... Read more Isbn: 0387979743 
$69.28 
Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) by Thomas Mikosch Average Customer Review: Hardcover (01 January, 1999) list price: $39.00  our price: $39.00 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (6)
Read this before Shreve
Stochastic Calculus for the Rest of Us
Perfect bridge to higher financial math Isbn: 9810235437 
$39.00 
Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas, Steven E. Shreve Average Customer Review: Paperback (20 June, 1997) list price: $59.95  our price: $50.05 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (5)
Massive Exercise to the Reader
A Must
The best introduction The authors begin in chapter 1 with the task of defining martingales and filtrations, with the notion of a stochastic process being adapted to a filtration taking on particular importance. They omit the proof that a process is progressively measurable if and only if it is measurable and adapted, because of the difficulty of the proof, but give a reference where the proof can be found. Continuoustime martingales are defined, with (compensated) Poisson processes given as an example. The DoobMeyer decomposition and squareintegrable martingales are discussed, and the chapter if full of exercises, with solutions provided to some of these at the end of the chapter. Brownian motion is formally defined in the next chapter, with its existence proven using Wiener measure on the space of continuous functions on the positive half line. The discussion in this chapter has to rank as one of the best in print, due to the meticulous and precise manner in which the material is presented. The Markov property of Brownian motion is proven, along with a good presentation of the Levi modulus of continuity. Readers working in constructive quantum field theory will see their usual construction of Wiener measure in the second exercise of the chapter. Those working in that area are used to seeing (conditional) Wiener measure defined on a collection of cylinder sets, which is then extended to the Borel subsets . Such a construction is done in this book, but the approach is somewhat different than what physicists normally see in quantum field theory. The theory of stochastic integration is presented in Chapter 3, and it is superbly written. The authors are careful to distinguish the theory of integration for stochastic processes from the ordinary one with emphasis on the actual computation of stochastic integrals. The reader is first asked to explore the Stratonovitch and Ito integrals in an exercise., and then a thorough treatment is given by the authors later in the chapter. The authors point out the differences between the Ito and Stratonovich integrals, with the latter being defined for a smaller class of functions than the former. The important Ito rule for changing variables is discussed, and then used to give the KunitaWatanabe martingale characterization of Brownian motion. Physicists involved in constructive quantum field theory will appreciate the discussion of the Trotter existence theorem in this chapter. The connection of Brownian motion with partial differential equations, so familiar to physicists via the heat equation, is the subject of the next chapter. These equations give the transition probabilities of the stochastic process, and are studied here first in the context of harmonic analysis, namely the classical Dirichlet problem. This is followed by a beautiful treatment of the onedimensional heat equation and the FeynmanKac formulas. Those readers working in constructive quantum field theory will see the Green's function lurking in the background. The very important topic of stochastic differential equations is outlined in chapter 5, with emphasis placed on the study of diffusive processes. The solutions of these equations have an immense literature, and the authors do not of course overview all of it, but do give a useful introduction. Both strong and weak solutions are discussed, with the Girsanov and YamadaWatanabe techniques used throughout. Explicit solutions are given for linear stochastic differential equations, such as the OrnsteinUhlenbeck process governing the Brownian motion of a particle with friction. Financial engineers will appreciate the discussion of the applications of this formalism to option pricing and the Merton consumption theory in this chapter. Options pricing is cast in martingale terms, and then the usual BlackScholes equation is derived from this. The notorious HamiltonJacobiBellman equation is discussed in the consumption/investment problem, and the authors show how to employ techniques for solving this problem instead of solving this difficult nonlinear equation. The authors give a hint of the important Malliavin calculus in the Appendix and give references for the reader. The last chapter of the book is more specialized than the rest and deals with the Levy theory of Brownian local time. This theory does have a connection with the theory of jump processes, which are currently very important in financial and network modeling. The authors do a fine job of explaining how Poisson random measures permit the event bookkeeping in these jump processes. Their discussion is applied to the computing of the transition probabilities for a Brownian motion with twovalued drift. ... Read more Isbn: 0387976558 
$50.05 
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven E. Shreve Average Customer Review: Hardcover (02 December, 2003) list price: $49.95  our price: $43.40 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (2)
One of the best!
Waste of time and money Isbn: 0387401008 
$43.40 
Trading Systems and Methods (Wiley Trading) by Perry J.Kaufman Average Customer Review: Hardcover (16 November, 1998) list price: $95.00  our price: $59.85 (price subject to change: see help) US  Canada  United Kingdom  Germany  France Reviews (29)
A must have for me
Mine is filled with bookmarks
Useless Isbn: 0471148792 
$59.85 
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