Financial Geometry: Geometric Approach to Hedging and Risk Management (Professional Finance Series) (Professional Finance Series)

Book Description

The past thirty years have seen explosive growth in the use of financial deritivatives along with the development of an elegant mathematical theory for their valuation. The theory, based on stochastic calculus, provides a conceptual framework for valuation as well as efficient computational tools.

As derivative markets have matured, much of the focus has shifted from the valuation of individual financial instruments to the problems of hedging and risk management of large financial portfolios. The challenge here is to understand the behaviour of a complex set of instruments that may depend on hundreds or thousands of underlying risk factors. Financial Geometry will help you to do so.

Mathematical yet accessible, Financial Geometry provides intuitive geometric metaphors and powerful computational machinery for describing the complex risks of the modern financial world.

Topics covered include:
Marking to market valuation techniques and models risk-factor definition sensitivity and scenario analysis interest rate calculations hedge calculations Value at Risk risk-factor mapping volatility curves and surfaces time effects

Features
Presents mathematical tools for describing the complex multi-factor financial risks of the modern world, helping students to understand how to avoid such losses in organisations. Practical management of financial derivatives, examining problems that have either become more or less standardised and provides detailed formulisms for doing standard risk calculations. Includes mathematical foundations of multifactor hedging and financial risk management with geometric insight and practical relevance.

The book also contains intuitive visual metaphors for understanding complex multivariate risk and hedging relationships (one picture is worth a thousand words.) There is no other book that treats the risk management and hedging of diverse portfolios of financial derivatives at this mathematical level.

Book Description

LTCM was the fund that was too big to fail, the brightest star in the financial world. Built on genius, by legends of Wall Street and two Nobel laureates, it spiralled to ever greater heights, commanding unimaginable wealth. When it fell to earth in September 1998 it shook the world. This is the story of the rise and fall of LTCM and the legends behind it. A brave and ambitious work, Inventing Money was written by leading financial journalist Nicholas Dunbar.

Customer Reviews:

cannot finish reading this book.......2007-07-11

This is one of the rare book in my recent reading history that I just can't seem to finish reading. I find the style of writing disjointed and I am not able to develop interest in the characters of the book either regardless of how famous they are. Perhaps if the author focus on fewer characters, it would help. (By the way, I really like The Smartest Guys in the Room--the Enron book)

The book appears to be a hotchpotch of trade ideas. I suspect that the author is not very well versed in finance. I find the presentatinon of some standard finance theory awkward. I work in the field of credit derivatives for 6 years, so I don't believe my problem stem from my unfamiliarity to the topic.

watered down.......2005-10-01

Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It. By Nicholas Dunbar. Wiley, 248 pages $29.95
When Genius Failed: The Rise and Fall of Long-Term Capital Management. By Roger Lowenstein. Random House . 264 pages, $26.95

Long Term Credit Management's demise is one of a number of recent high profile collapses involving the world's derivatives markets. Other recent ones include those of Sumitomo's chief copper trader, Yasuo Hamanaka, who lost $1.8 billion during a decade of unauthorized dealing and price manipulation in the copper market; Orange County's $1.7 billion loss on risky, highly leveraged investments on the direction of interest rates; Metallgesellschaft's $900 million loss on crude oil hedges; and, of course the activities of Nicholas Leeson, Baring's infamous Rogue Trader.

All of these cases throw forward lessons I use in my Futures and Option classes at Sophia University. Important though they are, the main textbooks remain those written by such Nobel Prize winners as Robert Merton and Myron Scholes. The irony is that both of these geniuses were centrally involved in LTCM's demise. Despite their faux paus, their works remain seminal. They are brainy guys. Unfortunately, brains are not enough. Genius sometimes fails.

LTCB was actually very short-term focused. Their assets consisted of a gigantic pile of extremely short-term pieces of paper leveraged to an unimaginable degree. They bought vast amounts of government paper and borrowed even greater amounts to pay for it. When Russia's markets collapsed in 1998, so did LTCM. The bank's complex mathematical bets on discrepancies in values amongst different bonds and derivatives came dramatically unstuck. Its US$7 billion capital base was eroded overnight. Most of LTCM's bets were in credit spreads, particularly European ones in the run-up to European monetary union. Essentially, LTCM held two different instruments - usually Italian, Greek or Danish bonds - and bet that the spread between the rates they offered and their German and American equivalents would narrow.

When the Russian government defaulted on its debt, credit spreads in all markets widened suddenly and spectacularly as investors stampeded into the safest of safe havens. Investors fled Italian bonds, Brady bonds and every other relatively risky bond that LTCB depended on for sustenance. Borrowings had put LTCM's total exposure at more than US$100 billion, more than fourteen times its equity base. Most of this money had been sunk in derivatives. As its positions worsened, its daily margin calls bankrupted it. LTCB made the cardinal mistake of not cutting its losses. It threw good money after bad, believing that its fortunes would reverse. They didn't. Unable to meet margin calls, LTCB asked the US Federal Reserve Bank to bail it out. The Fed, afraid that LTCM's collapse might imperil the world's entire system, duly obliged.

Because LTCB was comprised of Wall Street's best and brightest, there are lessons galore to be learned here for students and practitioners alike. Unfortunately, these two books do not do full justice to the lessons this case brings out. Lowenstein is a very successful American financial journalist and his book is by far the easier to read. He discusses the main characters involved in the debacle. Unfortunately for him, most of the main players have no real personalities to speak of at all. They are the so-called rocket scientists, the guys and gals with the quantitative expertise necessary to implement the complex strategies LTCM's Nobel Prize winners devised. To do them justice, one also needs a quantitative background. And because Lowenstein lacks this background, his book, though an enjoyable read, is peppered with potentially serious mistakes. And, in the world of derivatives, mistakes can be extremely costly.

Dunbar has the quantitative background Lowenstein lacks. However, Dunbar wanders far from this. He discusses such irrelevant things as the role Chicago's grain markets played in America's civil war. He also spends more than half the book explaining how option pricing developed and the key role Scholes and Merton played in that process. Countless other books and articles, including those by Scholes and Merton, do this much better. Dunbar's book should have concentrated more on LTCM's collapse - he spends les than 50 pages on it - and less on America's Civil War.

Therefore although Lowenstein's book is stronger on the human side of the LTCM debacle, Dunbar's is more technically correct - even though it has also considerable shortcomings in that regard. If Hollywood had to choose between them, it would choose Lowenstein's book. However, Hollywood aside, neither will notch up significant sales in academia or in business circles. Academics and practitioners will continue to plump for the penmanship of Merton, Scholes and their like. At least they have the theory right, even if they sometimes get the practice wrong with the devastating results LTCM's demise typifies. In the end, the faulty scholarship evident in both books and the faulty strategies propounded by both Nobel Prize winners drive home the old message of caveat emptor, buyer beware.

Easily the best LTCM book I've read.......2004-12-26

This is an extraordinarily well-written book. However, if you're not well-versed in quantitative finance, you're probably going to have a hard time following some parts of the book. Be that as it may, I doubt you'll find a more accurate and more informed book on the subject. For those looking for a more fictionalized, but highly readable, version of events, pick up "When Genius Failed."

One Of My Favorites.......2004-06-17

This is a wonderful book. Not only is this book a detailed examination of the LTCM story, but as a bonus, it is a wonderful introduction to the instruments that were the tools of the LTCM economists. In a real sense, you cannot have an understanding of the seductiveness of the techniques or an inkling of how the trading/money machine worked and why it collapsed and why the collapse was so shocking to the quants without having the introduction. Insights into cleverness and inventiveness of the mechanisms are a real bonus -- after reading Dunbar you not only feel you have an understanding of the sorry saga, but also an useful badsic understanding of derivatives/swaps/arbitrage devices. Great stuff.

A Great WhoDunnIt Train Reading on Hedge Funds.......2004-06-14

A summer thriller and great train reading for those interested in war stories in the world of hedge funds.

Dunbar has a novice's eyes, which lends for a fresh look at the world of active asset management and its population.

Book Description

A step-by-step program for taking your idea from inception through the licensing to a manufacturer for royalties. Includes over $8,000 worth of contracts and agreements. Illustrated workbook.

Inventing Money: The Story of Long-Term Capital Management and the Legends Behind it

Average customer rating:

Inventing Money: The Story of Long-Term Capital Management and the Legends Behind it
Nicholas Dunbar
Manufacturer: John Wiley & Sons
ProductGroup: Book
Binding: Hardcover
ASIN: B000K1HEZS

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Book Description

PARTNERING:

Today's Business Strategy Solution

Partnering is the process of two or more business entities coming together for the purpose of developing synergistic solutions to their particular challenges. This timely, one-of-a-kind book provides proven strategies and the most comprehensive guidance available for creating Partnering alliances for corporations of any size. You now have the answers in your hands.

Shows how to identify the best partners
Shows how to identify and avoid Partnering pitfalls
Examines Partnering with a range of sources, including suppliers, customers, employees, owners, executives, and managers
Provides the Partnering Pentad——the author's model of building a Partnering group of five elements, which enables corporations of any size to access the benefits generated by pooling the knowledge and experience crucial to competing in today's global marketplace

Complete with an indispensable Legal Fees Flat Rate Appendix and coverage of issues from trends to tactics, PartnerShift enables all involved to join in the process so crucial to successfully compete and thrive in today's fast-paced, global marketplace.

Customer Reviews:

Partnering Paradigm is Excellent.......2001-01-20

Ed Rigsbee's new book about partnering, and his emphasis on profiting from the partnering trend, is cutting-edge stuff. It's right on the mark, well written, and very practical. I particularly like his chapter on partnering with the competition. He's the guru on this topic.

Where one plus one equals more than two.......2000-10-17

"Partnering" is where two or more dissimilar business entities promote the others for their own good. This book explains partnering, helps you identify the best partners, warns of partnering pitfalls, and coaches you in establishing profitable relationships.

In addition to partnering with other companies, the book describes partnering with your suppliers, customers and even your employees. It is full of examples and guidelines. For coverage, click on Table of Contents in the left-hand column of this page.

Ed Rigsbee is a gifted writer, successful marketer and electrifying professional speaker.

As a publisher, author of 113 books (including revisions and foreign-language editions) and over 500 magazine articles and a consultant to the publishing industry, I recommend this book to publishers, the self-employed and business owners. It will expand you thinking about marketing. DanPoynter@ParaPublishing.com.

Product Description

(This is three Loose-leaf sets shrink-wrapped together- Three ring binders are not included). The 2007 Supplement provides current buyers of the Financial Products: Regulation and Design completely up-to-date coverage of all relevant developments on financial products occuring this past year . Supplements to Financial Products are filed in place within the product's "parent" loosleeaf volume contents -- providing customers with an up-to-date resource that provides a road map to work one s way through the tax and regulatory maze for financial products. The comprehensive three-volume set details the policies, rules, and interpretations that govern the federal regulation and taxation of securities, derivatives, commodities, options, and hybrid products. It provides reliable answers to questions about financial markets and products and helps in planning transactions and in defending challenged tax positions.

E-Commerce: Financial Products and Servicess 2001 (Financial Services Series)

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E-Commerce: Financial Products and Servicess 2001 (Financial Services Series)

Manufacturer: Law Journal Press
ProductGroup: Book
Binding: Ring-bound

General | Law | Subjects | Books

General | Taxation | Law | Subjects | Books

Financial | English Law | Law | Subjects | Books

Look Inside Computer Books | Trip | Specialty Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 1588520994

Financial Products : Taxation, Regulation, and Design (Business Practice Library)

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Financial Products : Taxation, Regulation, and Design (Business Practice Library)
Andrea S. Kramer
Manufacturer: Wiley Law Pubns
ProductGroup: Book
Binding: Paperback

General | Taxation | Law | Subjects | Books

General | Reference | Subjects | Books
ASIN: 0471176214

Doing Away With Personal Injury Law: New Compensation Mechanisms for Victims, Consumers, and Business

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Doing Away With Personal Injury Law: New Compensation Mechanisms for Victims, Consumers, and Business
Stephen D. Sugarman
Manufacturer: Quorum Books
ProductGroup: Book
Binding: Hardcover

Business Law | Reference | Business & Investing | Subjects | Books

Civil Procedure | Procedures & Litigation | Law | Subjects | Books

Consumer Law | Business | Law | Subjects | Books

Product Liability | Business | Law | Subjects | Books

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Private Law | Law | Subjects | Books

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ASIN: 0899303951

Book Description

Although personal injury law has been much criticized--by legal groups, insurers, health care providers, the business community, legislators, victims, and others--no concrete legal reforms have been enacted that would create a more equitable compensation system for accident victims of all sorts. In this volume, Sugarman offers both a penetrating critique of current personal injury law and a pioneering proposal for new compensation arrangements and new mechanisms for controlling unreasonably dangerous conduct. Sugarman argues persuasively that personal injury law as it is currently constructed generates more perverse behavior than desired safety, that it is an intolerably expensive and unfair system of compensating victims, and that in practice it fails to serve any commonsense notion of justice. His solution is the abolition of personal injury law and the institution of reforms based on social insurance and employee benefits. Sugarman begins by examining the justifications advanced in support of existing personal injury law, demonstrating that these goals are either unachieved or inefficiently pursued. He argues that current tort law discourages business innovation, undermines our health care system, diverts the time and attention of engineers, executives, and others from their main tasks, leaves many victims uncompensated while allowing others inappropriate punitive damages, artificially inflates insurance costs, and more. In the second section, Sugarman criticizes already proposed reforms, arguing that they do not go nearly far enough to address the serious short falls of the current system. Finally, Sugarman delineates his own three-part reform proposal: eliminate tort remedies for accidental injuries; build on existing social insurance and employee benefit plans to assure generous, yet fair compensation to all accident victims; and build on existing regulatory schemes to promote accident avoidance and to provide effective outlets for public complaints. Practicing attorneys, lobbyists, policymakers and business, consumer, and insurance leaders will find Doing Away with Personal Injury Law a provocative contribution to the continuing debate on the best means of reforming the victim compensation system.

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European Product Liabilities

Manufacturer: Lexis Law Publishing (Va)
ProductGroup: Book
Binding: Hardcover

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Financial and Estate Planning With Life Insurance Products: Successor to Life Insurance in Estate Planning

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Financial and Estate Planning With Life Insurance Products: Successor to Life Insurance in Estate Planning
James C., Jr. Munch
Manufacturer: Little Brown and Company
ProductGroup: Book
Binding: Hardcover

General | Business & Investing | Subjects | Books

Estates & Trusts | Taxation | Law | Subjects | Books

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Financial Products - Taxation Regulation and Design: 1995 Cumulative Supplement (Nonprofit Law, Finance & Management)

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Financial Products - Taxation Regulation and Design: 1995 Cumulative Supplement (Nonprofit Law, Finance & Management)
Andrea S. Kramer
Manufacturer: Wiley Law Pubns
ProductGroup: Book
Binding: Paperback

General | Business & Investing | Subjects | Books

General | Law | Subjects | Books

Financial | English Law | Law | Subjects | Books
ASIN: 0471141402

Foreign Plaintiffs in Products Liability Actions: The Defense of Forum Non Conveniens

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Foreign Plaintiffs in Products Liability Actions: The Defense of Forum Non Conveniens
Warren Freedman
Manufacturer: Quorum Books
ProductGroup: Book
Binding: Hardcover

General | Business & Investing | Subjects | Books

Business Law | Reference | Business & Investing | Subjects | Books

General | Law | Subjects | Books

Torts | Business | Law | Subjects | Books

Product Liability | Business | Law | Subjects | Books

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All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 0899301894

Book Description

American multinational corporations face a unique problem with regard to products liability litigation instituted by foreign plaintiffs. In many cases, plaintiffs outside the U.S. file suits in U.S. courts despite the fact that the incident on which the suit is based took place in other countries. Such action is often taken because of features peculiar to the U.S. legal system, including the doctrine of strict liability, the availability of contingency fees for attorneys, and the prevalence of large awards to individuals in products liability cases. This informative study by a legal professional and products liability specialist focuses on a doctrine that can lessen liability exposure for multinational corporations. By successfully petitioning the courts under the doctrine of forum non conveniens, corporations may have court proceedings transferred to another jurisdiction, often outside the U.S., which has a direct connection with the incident and where potential liability exposure is greatly reduced. Following an introductory discussion of the evolution of this doctrine, Freedman documents its use with appropriate case law in a wide variety of situations.

Fundamentals of Product Liability Law for Engineers

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Fundamentals of Product Liability Law for Engineers
Linda Enghagen
Manufacturer: Industrial Press, Inc.
ProductGroup: Book
Binding: Hardcover

Business Law | Reference | Business & Investing | Subjects | Books

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General | Practical Guides | Law | Subjects | Books

Reference | Law Practice | Law | Subjects | Books

Torts | Business | Law | Subjects | Books

Product Liability | Business | Law | Subjects | Books

Private Law | Law | Subjects | Books

General | Engineering | Professional & Technical | Subjects | Books

General | Reference | Subjects | Books
ASIN: 0831130393

Book Description

Offers insight into the theories of law that are used and explains the process involved in proving a law suit in a court of law. Fundamentals of Product Liability Written for the engineer so that it does not require any background in law nor any proficiency in legalese. Includes edited versions of actual court decisions that will enable readers to develop an appreciation for the manner in which judges analyze cases and therefore render decisions.

The Law of International Trade in Agricultural Products: From GATT 1947 to the WTO Agreement on Agriculture

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The Law of International Trade in Agricultural Products: From GATT 1947 to the WTO Agreement on Agriculture
Melaku Geboye Desta
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

General | International | Business & Investing | Subjects | Books

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Agricultural | Economics | Business & Investing | Subjects | Books

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All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 9041198652

Book Description

As far back as Ricardo's principle of comparative advantage -- from which all trade liberalisation theory ultimately derives -- it has been customary to treat agriculture as the general exception to trade rules. To this day, nations protect their agricultural trade in a variety of ways: through the limited quantitative restrictions and export quotas permitted under prevailing trade rules, through country-specific derogation in the form of waivers, or even through blatant violations of the General Agreement on Tariffs and Trade (GATT). In fact, despite the general dramatic decline in tariffs in recent decades, the level of effective protection against the flow of agricultural trade has been steadily rising, almost entirely at the behest of developed countries and to the detriment of developing countries. This new book analyses the current realities and future prospects for global trade in agricultural products. It seeks to explain the real or apparent rationale behind the virtual exemption of agricultural trade from the operation of the law governing international trade in general, focusing on the GATT/WTO system but examining a variety of nation-source policy reasons that generate this crucial counter-current to the general sweep of trade liberalisation. The issues and topics that arise in the course of the discussion include the following: + the "tariffication" of non-tariff barriers under the Agriculture Agreement; + export subsidies under the Agreement on Subsidies and Countervailing Measures; + remedies available against prohibited subsidies; + relevant WTO cases, especially FSC and Canada Dairy, as well as earlier GATT jurisprudence; + "downstream flexibility" exceptions; + the concept of "domestic support"; + methods used to reduce Aggregate Measurement of Support (AMS); and, + relevant non-trade concerns, e.g., environment, poverty alleviation, food safety, and animal welfare. All professionals interested in the effective and equitable development of international trade, as well as officials involved in trade or agricultural regulation at any administrative level, will find both informed insight into present and future concerns and realistic assessment of a critical area of global policy in this remarkable book.

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