“Applies an intelligent, clinical eye to [an] excruciatingly complex corner of the financial world.” —New York Times
A classic of its kind, Frank Partnoy’s best-selling FIASCO takes readers inside the rollicking world of derivatives on Wall Street during the mid-1990s. The book tracks Partnoy’s success as a young Morgan Stanley employee who quickly becomes steeped in a culture that treats client as targets to be “blown up” or have their faces “ripped off.” A decade later FIASCO remains one of the most damning and prescient pictures of the speculative frenzies that grip Wall Street and the victims they can leave in their wake. In Partnoy’s case they include well-publicized losses at Orange County, Barings, and Procter & Gamble, among others. A new epilogue written for this edition brings Partnoy’s story—as well as the story of derivatives—up to the present.
In Volatility and Correlation 2<sup>nd</sup> edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students.
The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options.
The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface.
Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes.
Praise for the First Edition:
“In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.… The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.”
—Professor Ian Cooper, London Business School
“Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion…A rare combination of intellectual insight and practical common sense.”
—Anthony Neuberger, London Business School
High praise for Trading Systems and Methods, Fifth Edition
"Kaufman's book has continued to expand and mature since I first read the very first edition, which I thought was a great book. It continues to be a relevant, comprehensive guidebook and cookbook of trading system methods. For all those who are interested in building trading systems, it is an essential resource."
—Dr. Ian J. Nield, Special Advisor, Financial Markets Department, Reserve Bank of New Zealand, Wellington
"The new Fifth Edition of Perry Kaufman's Trading Systems and Methods is a significant step forward in understanding trading in the twenty-first century. Perry has taken the most important book on systematic trading and made it even better and more relevant by focusing on the challenges of trading in these remarkable times. In particular, Perry expands on his discussion of risk which has been an important focus of everything he has written, but now takes on even more importance. The Fifth Edition should be required reading for anyone serious about trading."
—Jeff Quinto, President, Electronic Futures Trader Inc., Professional Trader Mentoring Program and Professional Trader Academy
"In my two decades in this industry, one of the few constants has been Trading Systems and Methods. This book is simply the most complete single source of trading methods that work. If you're going to own only one trading book, this is it."
—Murray A. Ruggiero Jr., Contributing Editor, Futures magazine, Vice President of R&D, TradersStudio, Inc.
"In his fifth edition, Perry Kaufman has woven the notion of risk throughout his seminal work on trading systems development. As always, he provides insightful and valuable opinions on various trading methods. The premier reference work on the subject."
—John McPartland, Senior Policy Advisor, Financial Markets Group, The Federal Reserve Bank of Chicago
"This book is essential reading for anyone interested in systematic trading. It contains comprehensive coverage of all major aspects involved in system design and implementation. Like a great teacher, Perry Kaufman is able to explain complex subject matter in a way that is both clear and concise. If there is one book that anyone in the world of trading systems should have on their shelf, it is this one."
—Thomas Morrow, founding partner, Aquantum AG
A new preface to award-winning journalist Katherine Burton's best-selling book on hedge fund managers explores the drastic changes the credit crisis has brought to market participants highly dependent on leverage and liquidity. Each chapter in this paperback edition includes new material on how funds were affected by the downturn, how each survived, and what strategies managers are using to cope with ongoing turbulence. Burton's unprecedented access to hedge fund managers offers readers new insights and revelations about this complex and risky world, both before and after credit crash.
Ben Mezrich, author of the New York Times bestseller Bringing Down the House, returns with an astonishing story of Ivy League hedge-fund cowboys, high stakes, and the Asian underworld.
John Malcolm was the ultimate gunslinger in the Wild East, prepared to take on any level of risk in making mind-boggling sums of money. He and his friends were hedge-fund cowboys, living life on the adrenaline-, sex-, and drugs-fueled edge—kids running billion-dollar portfolios, trading information in the back rooms of high-class brothels and at VIP tables in nightclubs across the Far East.
Malcolm and his Ivy League-schooled twenty-something colleagues, with their warped sense of morality, created their own economic theory that would culminate in a single deal the likes of which had never been seen before—or since.
Ugly Americans is a story of extremes, charged with wealth, nerve, excess, and glamour. A real-life mixture of Liar's Poker and Wall Street, brimming with intense action, romance, underground sex, vivid locales, and exotic characters, Ugly Americans is the untold true story that rocked the financial community.
Many people have become very rich in the commodity markets. It is one of a few investment areas where an individual with limited capital can make extraordinary profits in a relatively short period of time. Commodities are agreements to buy and sell virtually anything that is harvested except onions. (A 1958 federal law prohibits trading onions.) Such goods are raw or partly refined materials whose value mainly reflects the costs of finding or gathering them. They are traded for processing or incorporation into final goods. Examples are crude oil, cotton, rubber, grains, and metals and other minerals. Since it is impractical to transport these bulky, often perishable materials, what is actually traded are commodities futures contracts, or options, that are agreements to buy or sell at an agreed upon price on a specific date. Trading in futures and options is speculative in nature and there is a substantial risk of loss. These investments are not suitable for everyone, and only risk capital should be used. As with many other business segments, the Internet and technology have opened up this attractive marketplace to a new breed of individual investors and speculators working part-time. You and I can now stand on an even playing field with the largest banks, wealthiest individuals, and trading institutions from the comfort of home. Commodity trading can provide you with very high, secure rate of return, in some cases as high as 12%, 18%, 24%, or even 300% or more per year. If performed correctly, commodity trading will far outpace all other investments. The key is to know how to perform this process correctly. This all sounds great, but what is the catch? There really is none, except you must know what you are doing! This groundbreaking and exhaustively researched new book will provide everything you need to know to get you started generating high investment returns from start to finish. In this easy to read and comprehensive new book you will learn what commodity trading and futures are, how to set up your account online, how to choose software to use in trading, how to invest in commodities, evaluate their performance, and handle fees and taxes. This book explores numbers of investing strategies and tactics, charting techniques, and position trading. You will pick up the language of a trader so that you recognize terminology and know how to use leverage, call options, put options, advancing and declining issues, advancing and declining volume, the Commodity Channel Index (CCI), and commodity charts, among others. Like the pros who have been trading commodities for years, you will learn how to pinpoint entry, exits, and targets for your trades, and use insider secrets to help you double or even triple your investment all while avoiding the common traps and pitfalls. In addition, we took the extra effort and spent an unprecedented amount of time researching, interviewing, e-mailing, and communicating with hundreds of today s most successful commodity Investors. Aside from learning the basics of commodity and futures trading you will be privy to their secrets and proven successful ideas. Instruction is great, but advice from experts is even better, and the experts chronicled in this book are earning millions. If you are interested in learning essentially everything there is to know about commodity and futures investing in addition to hundreds of tactics, tricks, and tips on how to earn enormous profits in commodity trading while controlling your investments, then this book is for you.
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