Forex Books - page 105

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John Miller, David Edelman, John Appleby, "Numerical Methods for Finance" : the book

Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field.

Presenting state-of-the-art methods in this area, the book first discusses the coherent risk measures theory and how it applies to practical risk management. It then proposes a new method for pricing high-dimensional American options, followed by a description of the negative inter-risk diversification effects between credit and market risk. After evaluating counterparty risk for interest rate payoffs, the text considers strategies and issues concerning defined contribution pension plans and participating life insurance contracts. It also develops a computationally efficient swaption pricing technology, extracts the underlying asset price distribution implied by option prices, and proposes a hybrid GARCH model as well as a new affine point process framework. In addition, the book examines performance-dependent options, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and put-call-futures parity arbitrage opportunities.

Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this concise and well-illustrated book equips practitioners with the necessary information to make important financial decisions.

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Edina Berlinger, Ferenc Illés, Tamás Vadász, "Mastering R for Quantitative Finance" : the book

Use R to optimize your trading strategy and build up your own risk management system

About This Book

Learn to manipulate, visualize, and analyze a wide range of financial data with the help of built-in functions and programming in R

Understand the concepts of financial engineering and create trading strategies for complex financial instruments

Explore R for asset and liability management and capital adequacy modeling

Who This Book Is For

This book is intended for those who want to learn how to use R's capabilities to build models in quantitative finance at a more advanced level. If you wish to perfectly take up the rhythm of the chapters, you need to be at an intermediate level in quantitative finance and you also need to have a reasonable knowledge of R.

What You Will Learn

Analyze high frequency financial data

Build, calibrate, test, and implement theoretical models such as cointegration, VAR, GARCH, APT, Black-Scholes, Margrabe, logoptimal portfolios, core-periphery, and contagion

Solve practical, real-world financial problems in R related to big data, discrete hedging, transaction costs, and more.

Discover simulation techniques and apply them to situations where analytical formulas are not available

Create a winning arbitrage, speculation, or hedging strategy customized to your risk preferences

Understand relationships between market factors and their impact on your portfolio

Assess the trade-off between accuracy and the cost of your trading strategy

In Detail

R is a powerful open source functional programming language that provides high level graphics and interfaces to other languages. Its strength lies in data analysis, graphics, visualization, and data manipulation. R is becoming a widely used modeling tool in science, engineering, and business.

The book is organized as a step-by-step practical guide to using R. Starting with time series analysis, you will also learn how to forecast the volume for VWAP Trading. Among other topics, the book covers FX derivatives, interest rate derivatives, and optimal hedging. The last chapters provide an overview on liquidity risk management, risk measures, and more.

The book pragmatically introduces both the quantitative finance concepts and their modeling in R, enabling you to build a tailor-made trading system on your own. By the end of the book, you will be well versed with various financial techniques using R and will be able to place good bets while making financial decisions.

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Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street by William Poundstone : the book

In 1956 two Bell Labs scientists discovered the scientific formula for getting rich. One was mathematician Claude Shannon, neurotic father of our digital age, whose genius is ranked with Einstein's. The other was John L. Kelly Jr., a Texas-born, gun-toting physicist. Together they applied the science of information theory--the basis of computers and the Internet--to the problem of making as much money as possible, as fast as possible.

Shannon and MIT mathematician Edward O. Thorp took the "Kelly formula" to Las Vegas. It worked. They realized that there was even more money to be made in the stock market. Thorp used the Kelly system with his phenomenonally successful hedge fund, Princeton-Newport Partners. Shannon became a successful investor, too, topping even Warren Buffett's rate of return. Fortune's Formula traces how the Kelly formula sparked controversy even as it made fortunes at racetracks, casinos, and trading desks. It reveals the dark side of this alluring scheme, which is founded on exploiting an insider's edge.

Shannon believed it was possible for a smart investor to beat the market--and Fortune's Formula will convince you that he was right.

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Joshua M. Brown - Backstage Wall Street: An Insider's Guide to Knowing Who to Trust, Who to Run From, and How to Maximize Your Investments : the book

Wall Street is very good at one thing: convincing you to act against your own interests. And there’s no one out there better equipped with the knowledge and moxie to explain how it all works than Josh Brown. A man The New York Times referred to as “the Merchant of Snark” and Barron’s called “pot-stirring and provocative,” Brown worked for 10 years in the industry, a time during which he learned some hard truths about how clients are routinely treated―and how their money is sent on a one-way trip to Wall Street’s coffers.

Backstage Wall Street reveals the inner workings of the world’s biggest money machine and explains how a relatively small confederation of brilliant, sometimes ill-intentioned people fuel it, operate it, and repair it when necessary―none of which is for the good of the average investor.

Offering a look that only a long-term insider could provide (and that only a “reformed” insider would want to provide), Brown describes:

THE PEOPLE―Why retail brokers always profit―even if you don’t

THE PRODUCTS―How funds, ETFs, and other products are invented as failsafe profit generators―for the inventors alone

THE PITCH―The marketing schemes designed for one thing and one thing only: to separate you from your money

It’s that bad . . . but there’s a light at the end of the tunnel. Brown gives you the knowledge you need to make the right decisions at the right time.

Backstage Wall Street is about seeing reality for what it is and adjusting your actions accordingly. It’s about learning who and what to steer clear of at all times. And it’s about setting the stage for a bright financial future―your own way.

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Greg N. Gregoriou - The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets : the book

Given today’s market volatility, even the most advanced investors can be unsure of their next move. Rather than rely on one or two individuals who claim general knowledge on any given investing topic, you need the advice of professionals who have spent their entire careers developing real expertise on more focused sectors of the market.

The Handbook of Trading is the only book available that provides just that. Greg N. Gregoriou has amassed forty of the world’s top academics, researchers, and practitioners who explain how to make today’s markets work for you. With this highly technical but ultimately practical guide, you have access to a broad array of trading strategies that will put you light years ahead of the competition―regardless of the state of the market.

From technical analysis and momentum trading to algorithmic and FOREX trading, The Handbook of Trading introduces you to techniques and insights never before published, each of which has been rigorously back-tested and analyzed. Chapters include:

•Performance Leakage and Value Discounts on the Toronto Stock Exchange

Lawrence Kryzanowski and Skander Lazrak

•Trading in Turbulent Markets: Does Momentum Work?

Tim A. Herberger and Daniel M. Kohlert

•Profitability of Technical Trading Rules in an Emerging Market

Dimitris Kenourgios and Spyros Papathanasiou

•Leveraged Exchange-Traded Funds and Their Trading Strategies

Narat Charupat

•The Impact of Algorithmic Trading Models on the Stock Market

Ohannes G. Paskelian

Applying critical lessons learned from the financial crisis of 2008–2009, the contributors explain how to approach turbulent market environments and adjust your trading methodologies accordingly.

The Handbook of Trading is the go-to guide for financial professionals seeking profits in today’s currency, bond, and stock markets.

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Norman Fenton and Martin Neil, "Risk Assessment and Decision Analysis with Bayesian Networks" : the book

Although many Bayesian Network (BN) applications are now in everyday use, BNs have not yet achieved mainstream penetration. Focusing on practical real-world problem solving and model building, as opposed to algorithms and theory, Risk Assessment and Decision Analysis with Bayesian Networks explains how to incorporate knowledge with data to develop and use (Bayesian) causal models of risk that provide powerful insights and better decision making.

Provides all tools necessary to build and run realistic Bayesian network models

Supplies extensive example models based on real risk assessment problems in a wide range of application domains provided; for example, finance, safety, systems reliability, law, and more

Introduces all necessary mathematics, probability, and statistics as needed

The book first establishes the basics of probability, risk, and building and using BN models, then goes into the detailed applications. The underlying BN algorithms appear in appendices rather than the main text since there is no need to understand them to build and use BN models. Keeping the body of the text free of intimidating mathematics, the book provides pragmatic advice about model building to ensure models are built efficiently.

A dedicated website, Risk Assessment and Decision Analysis with Bayesian Networks, contains executable versions of all of the models described, exercises and worked solutions for all chapters, PowerPoint slides, numerous other resources, and a free downloadable copy of the AgenaRisk software.

[seekers]

Don K. Mak, "Mathematical Techniques in Financial Market Trading" : the book

The present book contains much more materials than the author's previous book The Science of Financial Market Trading. Spectrum analysis is again emphasized for the characterization of technical indicators employed by traders and investors. New indicators are created. Mathematical analysis is applied to evaluate the trading methodologies practiced by traders to execute a trade transaction. In addition, probability theory is employed to appraise the utility of money management techniques. The book: identifies the faultiness of some of the indicators used by traders and accentuates the potential of wavelets as a trading tool; describes the scientific evidences that the market is non-random, and that the non-randomness can vary with respect to time; demonstrates the validity of the claim by some traders that, with good money management techniques, the market is still profitable even if it were random; and analyzes why a popular trading tactic has a good probability of success and how it can be improved.

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Philip Shu-Ying Cheng, "Taming the Money Sharks: 8 Super-Easy Stock Investment Maxims" : the book

Easy-to-follow guidelines from a pro for simplifying your investments, protecting yourself from the investment sharks and achieving financial freedom

Drawing on his years as an investor for leading banks in the U.S. and Asia, Philip Cheng delivers down-to-earth strategies guaranteed to make you "shark-proof" while you optimize investment returns. Statistics show that only 20% of small investors ever come close to achieving their investment goals. The other 80% get eaten alive by "investment sharks"--investment advisors, fund managers and other hucksters out to line their pockets with your hard-earned cash. Motivated by a sense of fair play, Cheng resolved to write an investor's survival guide in which he'd share everything he's learned in his years as a successful professional investor. The result is Taming the Money Sharks. The easy-to-follow guidelines you'll find in this book will help you navigate the shark-infested waters of the investment world, all the way to the financial freedom you dream of and deserve.

A must-have survival guide for novice investors, and a source of fresh thinking and innovative strategies for experienced investors

Features many illustrations, summaries, charts, real-world examples along with other powerful tools to help you avoid common mistakes and win at the investment game

[seekers]

Tim Bollerslev, Jeffrey Russell, Mark Watson - Volatility and Time Series Econometrics: Essays in Honor of Robert Engle : the book

Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.

[seekers]

Eswar S. Prasad - The Dollar Trap: How the U.S. Dollar Tightened Its Grip on Global Finance : the book

The U.S. dollar's dominance seems under threat. The near collapse of the U.S. financial system in 2008-2009, political paralysis that has blocked effective policymaking, and emerging competitors such as the Chinese renminbi have heightened speculation about the dollar's looming displacement as the main reserve currency. Yet, as The Dollar Trap powerfully argues, the financial crisis, a dysfunctional international monetary system, and U.S. policies have paradoxically strengthened the dollar's importance. Eswar Prasad examines how the dollar came to have a central role in the world economy and demonstrates that it will remain the cornerstone of global finance for the foreseeable future. Marshaling a range of arguments and data, and drawing on the latest research, Prasad shows why it will be difficult to dislodge the dollar-centric system. With vast amounts of foreign financial capital locked up in dollar assets, including U.S. government securities, other countries now have a strong incentive to prevent a dollar crash. Prasad takes the reader through key contemporary issues in international finance--including the growing economic influence of emerging markets, the currency wars, the complexities of the China-U.S. relationship, and the role of institutions like the International Monetary Fund--and offers new ideas for fixing the flawed monetary system. Readers are also given a rare look into some of the intrigue and backdoor scheming in the corridors of international finance.The Dollar Trap offers a panoramic analysis of the fragile state of global finance and makes a compelling case that, despite all its flaws, the dollar will remain the ultimate safe-haven currency.