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    Options, Futures, and Other Derivatives (5th Edition)
    by John C. Hull
    Average Customer Review: 4.5 out of 5 stars
    Hardcover (03 July, 2002)
    list price: $156.00 -- our price: $156.00
    (price subject to change: see help)
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    Reviews (45)

    4-0 out of 5 stars A good first step into the world of Quantitative Finance
    The author has written a nice, lively elementary text on mathematical finance. This book can serve as a excellent launching point into the topic. For the next step in the reader's development, I recommend the very good intermediate level treatment by Bjork in "Arbitrage Theory in Continuous Time" 2nd edition. As a capstone for advanced study, I recommend the advanced treatment of Musiela and Rutkowski's "Martingale Methods in Financial Modeling.

    Hull starts out his 5th edition with several chapters on the basics of the derivative contracts in his study. The contracts introduced are forward and futures contracts, interest rate swaps, and equity options. The basic definitions of each contingency contract is given, as well as characteristics of the markets where these contracts trade. Some basic trading strategies are also studied.

    The study of the option pricing model problem begins in earnest in Chapter 10. The section on one-step binomial tree model leads to a very intuitive description of risk-neutral valuation.

    Chapter 11 introduces continuous time stochastic processes in a very intuitive setting. To avoid the hard-core Ito calculus, the author motivates the stochastic differential by considering difference equations. This is a nice technique and makes the material accessible to the beginner. The next highlight is a statement of Ito's lemma. This is not given in full generality, but only stated precisely as needed for Black-Scholes calculations. The appendix gives an intuitive motivation for Ito's lemma based on the multi-dimensional Taylor's formula.
    This is a nice illustration as Taylor's formula is indeed a component of the formal semi-martingale based proof of Ito's rule. See for example Oksendal, "Stochastic Differential Equations" Chapter 4, or Karatzas & Shreve "Brownian Motion and Stochastic Calculus, Chapter 3.

    Chapter 12 is devoted to the Black-Scholes-Merton theory of option pricing. The famous Black-Scholes PDE is derived via Ito's rule and application of a delta hedge. The author doesn't directly solve this PDE (via the standard application of the Feyman-Kac formula). Instead a nice proof of the option pricing formula is established in the appendix based on a simple log-normal distribution argument.

    Chapter 13 discusses option pricing in for other contingency contracts. In Chapter 14, we return to equity options by studying the Greek letters. The reader discovers the Greek letters can be thought of as coefficients of the Black-Scholes PDE and learns some elementary hedging techniques.

    Chapter 15 discusses implied volatility and volatility smiles. It is here that the astute reader gets his first indication that the Black-Scholes theory for option pricing may not be as robust or "true to market" as the reader may have been lead to believe. (The folks at Long-Term Capital Management learned this hard lesson rather publicly.)

    A survey of topics of interest follows in the next handful of chapters. The material on value at risk, the GARCH volatility model and exotic options is somewhat superficial. The careless reader will come away feeling he knows quite a bit more than he really does.

    Martingale theory is touched on in 21 and the Girsanov Theorem is alluded to, but these topics are really too complex and require too many prerequisites for proper treatment in the context. A general multi-variate version of Ito's Rule is stated in the appendix of this chapter.

    The next section of the book deals with term-structure models and their applications. One-factor models are discussed along with the various limitations of each of these models. This gives a nice historical treatment. The Heath-Jarrow-Morton and Libor Market Model k-factor term-structure frameworks are introduced. Without the supporting martingale theory, the analysis of these models presented here is very limited.

    The last several chapters of the text are very survey-like and breezily touch on topics such as credit risk, credit derivatives and energy derivatives. There isn't a lot of theory in these chapters at all, but at least the reader is made aware of the existence of these kinds of contingencies.

    The book wraps up with a cautionary chapter in the form of lessons learned. The unwary reader might see all of the derivative-related train wrecks and say to himself "well, that won't be me". The problem is that it really might be you if you truly (and foolishly) still believe the equity prices always follow geometric Brownian motion. See Lo & MacKinlay "A Non-Random Walk Down Wall Street" for an excellent exposition into the limitations of the basic assumptions underpinning the Black-Scholes-Merton theory.

    If nothing else, Hull's last chapter should convince you that maybe this isn't the only book you'll ever want to read in your study of mathematical finance.

    5-0 out of 5 stars The bible of derivatives
    As the title of this review indicates, this is _the_ book out of many for financial derivatives. It is by no means the only thing you'll need, but it is a great book for a solid foundation in the subject. In short, this book should adorn every finance dork's library.


    4-0 out of 5 stars A must-have on your shelf
    Both academics and financial practitioners (particularly those who are involved in derivatives) must have a copy on their shelf. It serves as a useful reference to refresh any fading memory since it is quite comprehensive and covers practically the whole spectrum of derivatives.

    For undergraduates, there is another version entitled "Fundamentals of Futures and Options Markets" which is highly regarded the standard text for any derivatives course ! ... Read more

    Isbn: 0130090565
    Sales Rank: 3071
    Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Derivative securities    5. Finance    6. Futures    7. Investments & Securities - Futures    8. Stock options    9. Business & Economics / Investments & Securities   


    Dynamic Hedging : Managing Vanilla and Exotic Options (Wiley Finance)
    by Nassim NicholasTaleb
    Average Customer Review: 4.0 out of 5 stars
    Hardcover (20 December, 1996)
    list price: $100.00 -- our price: $63.00
    (price subject to change: see help)
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    Reviews (33)

    5-0 out of 5 stars Real bookfor traders
    really great to figure out the intricacies of options. if you need something more conventional just get hull; this book is bysomeone who does it for a living and has different intuitions than what you get in the ivory tower.
    some of the points are great but may need more updating

    1-0 out of 5 stars Not Worth the Read
    This book is surely not worth reading.The formulas and analyses are more often incorrect than they are correct.As much as he likes fluffing people with PhDs (which I have - in mathematics), I can't help but feel he himself lacks the requisite skills for proper option analysis.This is not a book any serious trader, quant, risk manager, or academic should bother adding to their library.

    3-0 out of 5 stars Derivatives Theory meets Practice
    This book provides a healthy dose of practical wisdom for options traders so that they don't blindly follow their mathematical models into oblivion. The author (Taleb) has a PhD in finance, but also has traded in the pits, he knows both theory and practice and where they diverge.

    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
    Sales Rank: 27687
    Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Derivative securities    5. Exotic options (Finance)    6. Futures And Options Trading    7. Hedging (Finance)    8. Investments & Securities - General    9. Investments & Securities - Options    10. Options (Finance)    11. Business & Economics / Investments & Securities    12. Stocks & shares   


    Option Theory (The Wiley Finance Series)
    by PeterJames
    Average Customer Review: 5.0 out of 5 stars
    Hardcover (10 January, 2003)
    list price: $123.90 -- our price: $123.90
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    Reviews (2)

    5-0 out of 5 stars The right combination of rigor and practicality
    This book is not for everyone.It is not for those who just want a once-over-lightly introduction to options.But it is the perfect book for those who want to combine rigor and practicality.Unlike the many books by mathematicians who claim to be writing for a general audience but in fact are trying to impress their colleagues (mostly by being unintelligible), James writes extraordinarily clearly.But even more important, he has practical experience with all the solution techniques he describes (binomial models, differential equations, Monte Carlo), and expertly describes their uses, their limitations, and the relationships among them.Unlike many authors, he has no apparent bias towards any one of the three solution methods.He also presents numerical examples to illustrate his points.The final section of the book is mathematically more advanced, and allows the reader to ascend to a higher level of sophistication.It's clear that James wants the reader to understand.Bravo!!!

    This may be the perfect book to read after mastering a superb introductory text like Robert L. McDonald, Derivatives Markets.

    5-0 out of 5 stars Option Theory Fits the Bill
    As an interest rate derivative trader, and MS Computational Finance graduate, I am constantly in search of new texts that combine the right amount of theory and state of the art practice.The new text by Peter James definitely fits the bill for my needs.He provides the reader with clearly written fundamentals that are used to build up to complex topics. But most importantly Mr. James has a unique talent for including great practical examples throughout his text, something lacking in many option theory texts.This text will definitely remain on my desk as a great reference tool. ... Read more

    Isbn: 0471492892
    Sales Rank: 265469
    Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Finance    5. Futures And Options Trading    6. Investments & Securities - Futures    7. Investments & Securities - General    8. Investments & Securities - Options    9. Options (Finance)    10. Business & Economics / Finance    11. Commodities   


    Pricing and Hedging of Derivative Securities
    by L. T. Nielsen, Lars Tyge Nielsen
    Average Customer Review: 5.0 out of 5 stars
    Hardcover (01 August, 1999)
    list price: $74.50 -- our price: $74.50
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    Reviews (6)

    5-0 out of 5 stars Learn continuous-time finance from this book!
    Learn continuous time finance from this book: you won't be disappointed. I have read almost all the most famous finance books and I must say that this is by far the best one of them. Although somewhat limited in scope, it is masterfully written: everything is explained clearly and carefully. All statements are rigorously proved. I would say it is suitable both for beginners, having a minimum exposure to measure-theoretic probability and willing to spend some time on it, and for advanced students. Personally, I first read the book as a beginner and found it extremely useful, but even now, that I understand and know most of the material, I find it to be an invaluable reference. The level of mathematical sophistication is quite high, so don't expect anything like Neftci, Baxter and Rennie, Mikosch or Bjork. The level is the same of Duffie, but, while Duffie presents a lot of material and most of the time he doesn't provide proofs and explanations (which, personally, I find irritating), this book is limited to few selected topics, but they are explained at length.
    Unfortunately, the perfect finance book has not yet been written (finance professionals seem to be too busy and well paid to write good books), but this one is almost perfect. If you really want to understand quantitative finance, I strongly recommend that you invest a good amount of hours in studying this book. Two good books to acompany this one might be Resnick's book on probability and Steele's book on stochastic calculus.

    5-0 out of 5 stars Nielsen is simply amazing
    Nielsen has written a virtually self-contained treatise on the subject. Reading this book was a beautiful learning experience: The author's clarity of thought was striking; the examples made particular points transparent; and the exercises made invaluable contributions to understanding.
    The three appendices (on measure and probability, the Lebesque integral, and the heat equation), and the first three chapters make the book as self-contained as is possible.
    Synopsis: I do not know of a better book on this subject.

    5-0 out of 5 stars Excellent textbook
    This is an excellent textbook on financial mathematics. It is quite mathematical, but self contained, clearly and carefully written. The appendices are very well written condensed reviews of basic technical facts. The book also contains discussions of a topics that I've never seen anywhere else, such as "Arbitrage and Admissibility" and "The doubling strategy". As mentioned in the preface, the book is based on a doctoral-level course, and the author clearly had the benefit of a large amount of feedback from students. Reading it, one can't help notice the presence of a very large number of extra remarks and hints, inserted on every page in order to clarify what must have been a denser original text. Finally, I have to mention the excellent editorial work done by Oxford University Press in producing this book, as compared to similar books published by Wiley. ... Read more

    Isbn: 0198776195
    Sales Rank: 231829
    Subjects:  1. Accounting - General    2. Business & Economics    3. Business / Economics / Finance    4. Business/Economics    5. Derivative securities    6. Economics - Theory    7. Finance    8. Hedging (Finance)    9. Investments & Securities - Options    10. Prices    11. Econometrics    12. Investment & securities    13. Probability & statistics   


    Fixed Income Analytics
    by Kenneth D. Garbade
    Average Customer Review: 4.5 out of 5 stars
    Hardcover (15 November, 1996)
    list price: $75.00 -- our price: $64.06
    (price subject to change: see help)
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    Reviews (4)

    4-0 out of 5 stars Wonderful but outdated
    I'll be joining a fixed income trading desk in a few months and picked up this book to gain some additional insights.If you have some exposure to the fixed income markets, this book will do a wonderful job of supplementing that knowledge.The chapters on pricing the roll, determining richness/cheapness to the curve, and financing (i.e., repo) are invaluable.As another reader mentioned, the writing is a bit outdated, but it still provides a lot of good information.I think it also focuses too much on Macaulay duration at the outset, leaving aside the more often-used DV01 (Garbade refers to it as "value of a basis point") until much later.Still, there are few good books on the subject of fixed income markets, and this is definitely one of them.

    4-0 out of 5 stars A classic, despite being somewhat dated
    This is a superb collection of papers which were years ahead of their time in the 1980s and are still highly relevant. The discussion of yield curve dynamics is very insightful and based on firm theoretical and empirical foundations - more than can be said for nearly every fixed income text out there. In fact, I would recommend that anyone who wants to understand the yield curve should read this book and go through the exercise of updating its findings using 1990s data. Note that this book is not for beginners, and readers should be warned that some of the terminology has changed since the papers were written.

    5-0 out of 5 stars Excellent for both academic and practitioners
    Garbade's book is an excellent reference for those who need insight in the measurement and management of interest rate risk. The author's description of duration moments and its use in portfolio immunization are superb. Garbade is, together with S. Nawalkha, Donald Chambers and Robert Reitano, one of my favourite author's in the fixed income area. ... Read more

    Isbn: 0262071762
    Sales Rank: 332437
    Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Economics - General    5. Finance    6. Fixed-income securities    7. Investments & Securities - General    8. Securities    9. Business & Economics / Finance   


    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)
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    Isbn: 1883249945
    Sales Rank: 246303
    Subjects:  1. Accounting - General    2. Business & Economics    3. Business / Economics / Finance    4. Business/Economics    5. Finance    6. Investments & Securities - General    7. Business & Economics / Finance    8. Investment & securities   


    Fixed Income Securities: Tools for Today's Markets, Second Edition
    by BruceTuckman, Bruce Tuckman
    Average Customer Review: 4.5 out of 5 stars
    Hardcover (16 August, 2002)
    list price: $77.03 -- our price: $77.03
    (price subject to change: see help)
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    Reviews (13)

    5-0 out of 5 stars Excellent introdution to the world of Fixed Income
    Tuckman's book is a lucid introduction to Fixed Income securities. It is an ideal mix of theory and institutional details.The book does not assume high mathematics knowledge, except for basic Algebra. Through the first few chapters Tuckman guides the reader through discount factors, spot rates, forward rates, Yield To maturity , duration and convexity; and with very good introductions to curve fitting, hedging and Term structure models.Part three, in my opinion is the highlight of the book, which is a detailed exposition of Term structure models.If there are any weaknesses in the book, I think they are in Mortgage Backed Securities(MBS). The treatment of MBS seems a little light. Also, the practice problems are fairly straightforward. But, the book is full of examples and practical case-studies. On the whole, this is a very good book,specially for those who are new to Fixed-Income securities.

    1-0 out of 5 stars This book is too simple, mostly words, no in-depth coverage
    A big disappointment. I would like to see some coverage of the important fixed income pricing models instead of basic introduction. It is a waste of money. Maybe good for people who have no idea about fixed income AND know nothing about asset pricing. The author is an adjunct professor. Ajunct professors are usually people who have very superficial knowledge in the topic. Good books must be written by the good RESEARCHERS in the field.

    I decided to discard the book and choose a better one for my students.

    5-0 out of 5 stars Unmatched clarity
    Books like Tuckman's are hard to come by. I'm currently preparing for the FRM certification exam and this is a recommended text. Of all the books listed as required readings for the exam, this is the one I have learned the most from. The first 4 chapters are worth the book price by themselves - from a clear understanding of discount factors to building rate curves - Tuckman always takes pains to illustrate real-world examples, but never skips essential math. I think the section on derivatives has by far the clearest explanation of the oft-used but little understood notion of risk-neutral pricing that I have seen to date. I'm still in part 2, but will take my time and re-read if necessary.
    The only other remotely comparable book is by Martellini, Priaulet et al ... Read more

    Isbn: 0471063177
    Sales Rank: 26413
    Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Finance    5. Fixed-income securities    6. Investment Finance    7. Investments & Securities - General    8. Business & Economics / Finance    9. Investment & securities   


    Interest Rate Models
    by Damiano Brigo, Fabio Mercurio
    Average Customer Review: 5.0 out of 5 stars
    Hardcover (09 August, 2001)
    list price: $89.95 -- our price: $62.39
    (price subject to change: see help)
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    Reviews (6)

    5-0 out of 5 stars Best book on interest rate models
    This is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates.

    5-0 out of 5 stars The best book I have read on the subject
    With all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever 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.

    5-0 out of 5 stars New stuff and nice overview: hard to beat!
    In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate -but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned.

    I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.

    Sure enough I'm not disappointed.

    1-factor 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 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.

    The chapter on 2-f 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 Brigo-Mercurio'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 3-f models. Historical estimation of the correlation matrix and low-rank 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
    Sales Rank: 40251
    Subjects:  1. Applied    2. Business & Economics    3. Business / Economics / Finance    4. Business/Economics    5. Derivative securities    6. Economics - General    7. Finance    8. Financial Markets    9. Interest    10. Interest rates    11. Mathematical Models    12. Prices    13. Probability & Statistics - General    14. Business & Economics / Finance    15. MSC (2000): 60H10, 60H35, 62P05, 65C05, 65C20, 90A09    16. calibration    17. pricing    18. stochastic calculus   


    Trading With The Odds: Using the Power of Statistics to Profit in the futures Market
    by CynthiaKase
    Average Customer Review: 3.0 out of 5 stars
    Hardcover (01 March, 1996)
    list price: $55.00 -- our price: $55.00
    (price subject to change: see help)
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    Reviews (16)

    3-0 out of 5 stars Disappointed and yet...
    If you want a book that will try to convince you (indirectly) to buy/lease the proprietary software behind it, then this book is for you.If you want to learn about trading with Elliott Waves and fibonacci retracements and other subjective trading tools and rules (without any statistics backing them up - only trading experience) then this book can help.If you want to use the power of statistics (see title) to improve your trading profits then this book may fall a little short.

    On the other hand you may learn about new ways at looking at things (e.g. tick-volume charts) and the apparent relationships between price, time, volume, etc that you can explore and continue your trading education.

    This is not a great trading book but it's also not a complete loss either.

    5-0 out of 5 stars Yes, Cynthia, I do indeed love you.
    I just couldn't stand by any longer and let this book get 3.5 stars and not speak out. I've owned this book for several years now and it is the "truth" of market momentum mathematics.

    People, this is a 5 star book. Easy. Done. Stick a fork in it. Take it to the bank.

    The no-nonsense bottom line approach of Kase's remarkable contribution to market analysis is well known, documented and is not something to be questioned. And, it is contained within this book. It might even be a well kept secret for those in the know.

    A few complained about the indicators not being explained in the book. Untrue. You just have to "nuke them out". (Sorry, that was a reference to my nuclear power school days when we often had to stop and think in order to understand a concept that the instructors refused to spoon feed us).

    A few complained about the book as a marketing ploy for her software. Well, "STATWARE" is "still cutting edge" and this is 9 years after her books' release.There's a reason why Esignal, CQG, Tradestation, Prophet, etc. carry her "STATWARE" package. Its because its "darn" good.

    Those with the brains to discern know and have let their data vendors know.

    Also, this lady doesn't do half the marketing of others who have at best "questionable" analysis packages. She's a quiet achiever. A very serious lady this Cynthia.

    My only complaint is the expense of leasing her indicator package. $200/month on top of real time data. Wow! I couldn't handle that one. Thats a corporate (they get to write it off) fee to me. And she has (to this day) been slow to release the indicator package for Metastock, my software of choice. So, I had to "program them myself". Oh well, the pain was worth it. And my version works okay.

    Yes, do yourself a favor if you think you understand market momentum, volatility, oscillators and stochastics: Let Cynthia school you.

    No, I've never met and am not related to Cynthia Kase, but if she wants to ever marry into the family. She has my blessing.

    5-0 out of 5 stars A Serious Professional - Excellent Work!
    For any trader looking for real concrete answers and positive direction in technical analysis, this is the book to read!Ms. Kase is able to break down the main elements of the markets into easy to understand terms and logically explains how and why her approach and methods 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 "Dev-Stop" 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
    Sales Rank: 376774
    Subjects:  1. Business / Economics / Finance    2. Business/Economics    3. Futures And Options Trading    4. Futures market    5. Investments & Securities - Futures    6. Mathematical models    7. Personal Finance - Investing    8. Statistical methods    9. Business & Economics / Investments & Securities   


    by Jim Pitman
    Average Customer Review: 3.0 out of 5 stars
    Hardcover (07 February, 1997)
    list price: $84.95 -- our price: $69.28
    (price subject to change: see help)
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    Reviews (13)

    5-0 out of 5 stars Clear text, many examples, excellent
    I used it in my Statistics introduction class and found it especially clear written and understandable. Many examples explain the concepts.

    1-0 out of 5 stars A disaster!
    A horrible book. The text is convoluted and never clear, the exercise problems are completely outside the subject matter of the chapters, the chapters themselves are hardly explanatory (you get two-four paragraphs of "whats" and maybe three examples total, and folks these chapters are meant to cover a lot of ground), and there is hardly any explanation as to WHY this stuff works.A pointless book that can only be used in conjunction to a very well taught class.This book will NEVER teach you anything by itself. I cannot see anyone who learns through this book being able to perform this math after a couple of years, it is a clear book for monkey-see-monkey-does-monkey-has-no-clue-what-went-on-but-got-the-right-answer math.

    5-0 out of 5 stars Great for "applied" types like me
    I would guess all the intensely negative reviews are from "pure-math" types. But, if you need to understand how to apply probability to some real-world problem, this book is for you.

    I have never encountered such an easy-to-read description of probability. Also, there are absolutely great, intuitive examples which are non-trivial and easily extended. I completely disagree that this book encourages memorization -- rather, there are many examples which give both an intuitive/thinking-about-it solution and a formulaic solution.

    Also, there are easy-to-find "rules" for probablisitic-type functions and operations which are very clearly explained and accompanied with non-trivial 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 odd-numbered excercises and solutions to mock-exams. What's not to like?

    I would recommend this book to those who need to know probability for their non-pure-math 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
    Sales Rank: 122298
    Subjects:  1. Mathematical Statistics    2. Mathematics    3. Probabilities    4. Probability & Statistics - General    5. Science/Mathematics    6. Mathematics / Probability   


    Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6)
    by Thomas Mikosch
    Average Customer Review: 4.5 out of 5 stars
    Hardcover (01 January, 1999)
    list price: $39.00 -- our price: $39.00
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    Reviews (6)

    5-0 out of 5 stars Read this before Shreve
    Read this small book before reading Shreve's volume II book.
    The sections on conditional expectataions, martingales, and Brownian motion are well written and simple enough to understand. While not packed with finance examples until the last chapter, the author attempts to provide what is needed of the subject matter to successfully complete a first semester course in Stochastic Calculus.Once read, it's a great second reference.

    5-0 out of 5 stars Stochastic Calculus for the Rest of Us
    I have recently started to work with stochastic calculus.While I do have a mathematical background and I do understand advanced concepts like measure theory, I wanted something that I could bring down to a level that I could see the wood from the trees.This is pedagogically better.
    Unfortunately, there are so few books out there that strive to be anything but a way to demonstrate the author's cleverness that when I do find a book that is understandable by someone who has had no training in that field, I can't sing its praises enough (For physics people Feyman's lectures are easily the best).
    Mikosch explains things in a clear easily understandable way.He goes over probability theory, stochastic processes, the Ito Integral and all the basic ideas.While the book is not necessarily rigourous, someone starting is probably more interested in understanding the concepts and saving the rigour for later.
    Understanding the core concepts now allows me to read other textbooks in more detail and it even lets me play with the concepts.
    For starting quants, this book rocks.

    5-0 out of 5 stars Perfect bridge to higher financial math
    Not having a strong theoretical mathematics background hindered my ability to read advanced stochastic finance. I found most "introduction to financial mathematics" for derivatives either too elementary or too advanced (i.e. unreadable). Mikosch has done an outstanding job of explaining key concepts of stochastic calculus, without losing a mathematically unsophisticated reader. After reading this book, one should feel comfortable reading more advanced texts on derivatives, which are usally full of mathematical jargon. I think, it's more suitable for readers with economics or engineering backgrounds who want to further explore the world of financial derivatives. If you have strong background in Analysis and Measure Theory, you might find this book too slow and not detailed enough (but then you are not the intended audience). Also, the book in itself is just an entry point into stochastic calculus and you'll need more advanced/theoretical texts on derivatives after. In my opinion, the book is not suitable for people who just want preliminary knowledge of derivatives; they should look for broader finance books, which usually have a few chapters on derivatives. ... Read more

    Isbn: 9810235437
    Sales Rank: 163757
    Subjects:  1. Calculus    2. Economic Statistics    3. Finance    4. Mathematics    5. Probability & Statistics - General    6. Science/Mathematics    7. Stochastic Processes    8. Stochastic analysis   


    Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics)
    by Ioannis Karatzas, Steven E. Shreve
    Average Customer Review: 4.0 out of 5 stars
    Paperback (20 June, 1997)
    list price: $59.95 -- our price: $50.05
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    Reviews (5)

    2-0 out of 5 stars Massive Exercise to the Reader
    This book isn't really the place to start learning about stochastic calculus. Get Oskendal's "Stochastic Differential Equations' for this.

    Even to the prepared reader, this book is exasperating. It is as if the authors came up with an excellent outline for an advanced treatment of this topic. Then they realized that to do all of the material justice, they'd need to have not one, but two 400 page volumes. Their publisher must have balked at that idea, so their solution was to leave out half the detail, forcing each of our poor readers to re-generate the missing 400 pages of needed detail on his/her own. In the opinion of this reviewer, that is exactly what they have done with this text.

    Fortunately for us all, there exists a nice two volume (800 page total pages) treatment of this material. Rogers & Williams "Diffusions, Markov Processes and Martingales" provides a thorough, accessible exposition with all the needed rigor, generality and detail.

    Karatzas & Shreve's treatment of early foundational material is less than helpful to the student. Consider a pair of key results on martingales early on in the text: the optional sampling theorem and the optional stopping theorem. The authors "prove" the optional sampling theorem by appealing to the discrete time results in Chung's "A Course in Probability Theory" text and then applying limiting arguments to bootstrap to the continuous time case. Since all of the real "ideas" are in the discrete time case, it's not clear how much of a service the authors' treatment really is. Worse yet, the optional stopping theorem isn't even called out as a theorem, but instead buried as problem.

    It is curious to see which topics inspire the authors to spill ink. For example in Chapter 2, we get not one, but 3, yes three different constructions of Brownian motion: convolved heat kernels, Haar interpolation and random walks/Wiener measure.Of course, only the last construction is used going forward and the first two constructions are not brimming over with detail. This is a curious indulgence in a text that is purposefully being stingy with detail. Our poor reader has to pay the price for this indulgence with an extremely terse treatment of the strong Markov property and reflection principle, the Blumenthal Zero-One Law, and other foundational properties of Brownian motion.

    Chapter 3 represents the core of the text and develops all the of "greatest hits" including the Ito Integral, Ito's rule, Levy's characterization of Brownian motion, the martingale representation theorem, the Girsanov Theorem and an introduction of Brownian local time. (Brownian local time is further developed in Chapter 6). The development of the Ito Integral is shamelessly sketchy. All the theorems are correctly stated, but the "proofs" offered aren't detailed enough to explain why all of the stated assumptions are needed. When the reader gets to the development of Ito's rule, he/she finds a rude 3 sentence introduction to semi-martingales, a topic which hadn't been explored and never gets more than a passing mention in the authors' text.

    Assuming that you've understood everything going on in the text up to this point, Chapter 4 is quite nice. It gives a very intuitive introduction in the role of the Mean Value Theorem as a hook connecting stochastic integrals with classical PDE's. The section on Harmonic functions and the Dirichlet problem is quite nice. The material on the heat equation requires properties of Brownian motion most easily derived from the convolved heat kernels construction. The chapter winds up with a nice treatment of the Feynman-Kac formulas.

    After the PDE's material, the reader might develop a sense of hope that the remainder of the exposition will be readily accessible. This is not the case and with the SDE's in Chapter 5, the authors return to their now too familiar terse style as they study strong and weak solutions to stochastic differential equations. At one point, the authors decide to approach the problem by generalizing from functions to functionals without even so much as defining their notion of a functional.

    Really, the only good role for this text is as base material for a do-it-yourself "Moore Method" class on stochastic calculus, like they used to do for general topology at the University of Texas. If you completed a Moore-style class this way and wrote up all of your work, you'd have a very fine text covering diffusions, Markov processes, and martingales

    4-0 out of 5 stars A Must
    If you want to learn about stochastic calculus, this is the gold standard. Certainly a challenge, but if you can answer all the questions posed in the book you will have a very thorough knowledge of BM, stochastic integration with respect to BM, SDE's, and the SDE/PDE relationship.

    While this is a great book, I do have a couple complaints. First of all there a points in the book where overly complicated notation can obscure the point being made. Secondly, since the book does not cover semimartingale integration, topics like the quadratic variation process (which are still important for things like representing a martingale as a time-changed BM) are spread throughout the book and can be difficult to find.

    I recommend reading Rogers&Williams "Diffusions, Makov Processes, and Martingales" Vols I&II in addition to this book. Not only does it give a second (and sometimes easier) point of view on the somewhat difficult topic of stochastic analysis, but also covers some topics in greater generality including integration wrt a general semimartingale.

    Finally, a warning to those who have interest but are not proper mathematics students. This book presupposes a fair amount of mathematical maturity - if you don't have a good understanding of real analysis and measure-theoretic probability you probably won't understand anything.

    5-0 out of 5 stars The best introduction
    The theory of Brownian motion is ubiquitous in physics and mathematics, and has recently become very important in mathematical finance and network modeling. The observation of the irregular movement of pollen suspended in water by Robert Brown in 1828 led Albert Einstein to formulate a theory for Brownian motion. In this book the authors outline rigorously the theory of Browian motion. Their logic is impeccable, and the content is fascinating reading, even to those very experienced in the subject.

    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. Continuous-time martingales are defined, with (compensated) Poisson processes given as an example. The Doob-Meyer decomposition and square-integrable 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 Kunita-Watanabe 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 one-dimensional heat equation and the Feynman-Kac 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 Yamada-Watanabe techniques used throughout. Explicit solutions are given for linear stochastic differential equations, such as the Ornstein-Uhlenbeck 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 Black-Scholes equation is derived from this. The notorious Hamilton-Jacobi-Bellman 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 two-valued drift. ... Read more

    Isbn: 0387976558
    Sales Rank: 144434
    Subjects:  1. Brownian motion processes    2. Calculus    3. General    4. Mathematics    5. Probability & Statistics - General    6. Science/Mathematics    7. Stochastic Processes    8. Stochastic analysis    9. Mathematics / Probability   


    Stochastic Calculus for Finance I: The Binomial Asset Pricing Model
    by Steven E. Shreve
    Average Customer Review: 3.0 out of 5 stars
    Hardcover (02 December, 2003)
    list price: $49.95 -- our price: $43.40
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    Reviews (2)

    5-0 out of 5 stars One of the best!
    It would be hard to overstate my enthusiasm for this text and its companion volume. In field that is too frequently represented by poorly thought out drafts rushed to market or by advanced mathematical treatments that are not easily understood by individuals more focused on practice, Shreve's texts stand out by being both rigorous and accessible with well thought out examples and exercises.

    This particular volume, covering binomial models, covers advanced concepts in a discrete setting. For some it will represent a waste of time and those individuals are best advised to skip to Volume II. However, many intelligent students who are not so comfortable with abstract mathematics will find this a simple and concrete exposition that can serve as a bridge to more advanced theory.

    1-0 out of 5 stars Waste of time and money
    I wasn't a fan of Shreve's free notes, but words can't describe how bad this book is. Its too easy and insufficient for readers with a strong probability and measure background, and probably too difficult for readers with basic probability. Most of the interesting material comes from deriving the answer from the end of chapter questions, so I recommend doing all of them. On the other hand, the same material is lucidly and fully conveyed in any basic graduate level probability book. For those interested in learning the martingale measure approach to derivative pricing, try the classic from Baxter and Rennie. For those with basic mathematics, go with Neftci's Intro book. ... Read more

    Isbn: 0387401008
    Sales Rank: 64392
    Subjects:  1. Business / Economics / Finance    2. Calculus    3. Finance    4. General    5. Mathematical models    6. Mathematics    7. Science/Mathematics    8. Stochastic analysis    9. Textbooks    10. Business & Economics / Finance    11. derivative securities    12. financial engineering    13. stochastic calculus   


    Trading Systems and Methods (Wiley Trading)
    by Perry J.Kaufman
    Average Customer Review: 4.0 out of 5 stars
    Hardcover (16 November, 1998)
    list price: $95.00 -- our price: $59.85
    (price subject to change: see help)
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    Reviews (29)

    5-0 out of 5 stars A must have for me
    This book exposes the reader to many concepts necessary to stay in the trading game. The information is well organized and presented well. It can be "a read" but would be better pursued as a study. That means thinking through the formulas presented, getting a grip on statistics and its interpretations (all in the book).
    This is a book useful for system trading (which I do) and might even have an idea or two for the discretionary trader. To point an accusatory "what stupid book" finger at Kaufman for pointing out not so readily accepted ideas (i.e. moon phase, etc.) is plain silly. There are some obsolete parts, like old computer code, but the remaining 600 pages are great.
    I wish I would have discovered this book years ago (but maybe, I would have "not gotten it" then). It is definitely one of my must have (and often consulted) books in my trading library.

    4-0 out of 5 stars Mine is filled with bookmarks
    Going more for breadth than depth, "Trading Systems and Methods" hits an enormous number of approaches for building a mechanical trading system.Many (some would say all) of these technical analysis approaches are obviously utter rubbish (anyone who has seen "Pi" can chuckle along with me at the section about Fibonacci Ratios), but the shear volume of techniques outlined make this a particularly good title for people new to trading systems development.The included computer code isn't particularly useful because of both its simplicity and its reliance on TradeStation features.

    If you're looking for a survey of mechanical, technical trading techniques with enough detail for a jumping off point to inspire further research, this provides that on a large scale and with commendably wide coverage.I found it most helpful to identify which wheels I was busy reinventing when doing my own system development, outside of that context it doesn't have quite as much utility.

    1-0 out of 5 stars Useless
    This is a bizzar of prorietary code (TradeStation Language), and 20 yrs old fortran code at the Appendix. I am wondering whowill be using this code? Lot of spaghetti Mathematics which is neither simple focussing on concepts , nor deep enough to understant the mathematical details that's very poorly presented. In chapter 8 about uncovering cycles, after all the poorly written mathematical stuff, there is no mention on how to use the uncovered cycles in trading which is much more important than running after sines and cosines ...although I am a Computer Engineer with mathematical background , I got lost...

    I am forced to read this book as a reading material for CMT2 certificate , however I consider it a very badly written book with no real focus neither elegant mathematical details nor usable code nor Trading concepts ... Read more

    Isbn: 0471148792
    Sales Rank: 148331
    Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Commodity exchanges    5. Futures And Options Trading    6. Investments & Securities - Futures    7. Investments & Securities - General    8. Statistical methods    9. Business & Economics / Investments & Securities    10. Investment & securities   


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