The first in–depth analysis of pairs trading Pairs trading is a market–neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully...

 214 p itc 08/01/2013 315 1 Download

On the Value of Scepticism Bertrand Russell I wish to propose a doctrine which may, I fear, appear wildly paradoxical and subversive. The doctrine in question is this: that it is undesirable to believe a proposition when there is no ground whatever for supposing it true. I must, of course, admit that if such an opinion became common it would completely transform our social life and our political system; since both are at present faultless,...

 8 p itc 08/01/2013 328 1 Download

Looks at the present state-of-the-art in global financial risk management, and then at the innovations and solutions that are being developed to solve the problems with current methodologies. The author presents a closely reasoned explanation of why the traditional quantitative methods are no longer adequate and argues the case for the hybrid instrument that will arise from the merging of the capital and insurance markets. New Ways for...

 168 p itc 08/01/2013 303 1 Download

This book describes an innovative investment strategy called “Relative Value Discipline,” which provides a framework for investing in traditional dividend-paying value stocks, as well as undervalued growth stocks. The graphic below illustrates how the stock selection process works step by step to winnow a thousand large cap stocks down to a focused portfolio of twenty to thirty holdings. Investment Universe • Large cap U.S. stocks •...

 242 p itc 08/01/2013 299 1 Download

The book explains that instead of asset allocation being set in an isolated and arbitrary fashion, it is in fact the way in which specific hurdle investment returns can be targeted, and that this approach is already in use in the US (and has been for many years). It involves extended and detailed financial analysis of various asset class returns and proposes a five-asset class approach for future use. Opening with a study of the historic...

 322 p itc 08/01/2013 288 2 Download

Market risk management under normal conditions traditionally has focused on the distribution of portfolio value changes resulting from moves in the mid-price. Hence the market risk is really in a "pure" form: risk in an idealized market with no "friction" in obtaining the fair price. However, many markets possess an additional liquidity component that arises from a trader not realizing the mid-price when liquidating her position, but rather...

 18 p itc 08/01/2013 331 1 Download

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and...

 841 p itc 08/01/2013 270 1 Download

"Minimal Surfaces 1" is an introduction to the field of minimal surfaces and a presentation of the classical theory as well as of parts of the modern development. Part 1 is particularly apt for students who want to enter this interesting area of analysis and differential geometry which during the last 25 years of mathematical research has been very active and productive. Surveys of various subareas will lead the student to the current...

 528 p itc 08/01/2013 307 2 Download

During the last decade, problems in the world of finance have been the main driving force for developing sophisticated mathematical methods which may be used for identifying and measuring risk. The focus is still on quantifying market and credit risk, but general operational risks will become more important in the future. In this book the reader will find approaches from economic theory, allocation problems, credit scoring, volatility...

 251 p itc 08/01/2013 303 2 Download

This book offers an extensive and up-to-date review of market risk measurement, focusing particularly on the estimation of value at risk (VaR) and expected tail loss (ETL). Measuring Market Risk provides coverage of parametric and non-parametric risk estimation, simulation, numerical methods, liquidity risks, risk decomposition and budgeting, backtesting, stress testing, and model risk, as well as appendices on mapping delta-gamma...

 395 p itc 08/01/2013 311 1 Download

In light of recent accounting scandals, it is critical that all financial practitioners understand and play by the rules of the accounting field. Starting from the assumption that the reader is not familiar with any accounting jargon, Mastering Financial Accounting Essentials presents material in a way that explains the key features of modern accounting step by step and helps you develop an intuitive understanding of accounting. Each chapter...

 176 p itc 08/01/2013 281 2 Download

Market neutral strategies have gained attention for their potential to deliver positive returns regardless of the direction of underlying markets. As these strategies have built a record of good performance in recent years, their benefits have become apparent. Market Neutral Strategies draws on the wisdom and experience of professional practitioners to describe strategies that are being utilized by some of today's leading institutional...

 303 p itc 08/01/2013 277 1 Download