Hot answers tagged books
I've read N. Taleb. Dynamic hedging for exactly the same reason and found it quite helpful. You can find a preview at Google Books to examine the content - the greatest thing about this book that N. Taleb tries to show how things work in pracice not just how to derive another formula (what is a subjsect for other great books on quantitative finance).
If you need a primer covering various domains of math then Dan Stefanica's text will do the job. The text covers multivariable calculus, lagrange multipliers, black scholes PDF, greeks & hedging, newton's method, bootstrapping, taylor series, numerical integration, and risk neutral valuation. It also includes a mathematical appendix. If you want an ...
I doubt you will find one book that covers everything you need, but here are a few that I continually come back to whenever I have some questions on the mathematics. Analysis of Financial Time Series by Ruey Tsay An Introduction to High-Frequency Finance by Dacorogna et al Probability and Statistics by DeGroot and Schervish Statistical Inference by Casella ...
If you asked me for a single book as a starting point I'd probably go for: Frequently Asked Questions in Quantitative Finance by Paul Wilmott
Farmers (usually referred to as hedgers) typically buy Futures, not options. The CBOE does not transact in agricultural commodities The CME, and other exchanges, transact in agricultural commodities. These exchanges grew, for the most part, directly from the trading interactions of farmers(hedgers/producers) and middle-men(speculators), in the area where ...
One that I found via google that seems promising (for beginners though) is. Numerical methods in finance and Economics
Options, Futures, and Other Derivatives Analysis of Financial Time Series Inside the Black Box: The Simple Truth About Quantitative Trading Trading and Exchanges: Market Microstructure for Practitioners
The companion website to the book here has a PDF download ("Monte Carlo Permutation Evaluation of Trading Systems") on pages 18-20 of which there is C++ code for the permutation routine. Code for White's Reality Check test is available from the ttrTests package for R.
I like Zapatero & Cvitanic, "Introduction to the Economics and Mathematics of Financial Markets";Steele, "Stochastic Calculus and Financial Applications" and also Mikosh, "Elementary Stochastic Calculus with Fincial View". Shreeve is always a good choice too. If you are working with physicists, SCHMIDT, "QUANTITATIVE FINANCE FOR PHYSICISTS: AN ...
Jim Gatherals Book deals with the models you mention and gives an intuitive understanding about calibration and issues that arise. Mostly basic stuff, but very useful if you're just starting out. Also very understandable without an extensive math background.
The Automated Trading System-blog has a few posts about the book with a helpful tool at the end: http://www.automated-trading-system.com/evidence-based-technical-analysis-aronson-book/ http://www.automated-trading-system.com/bootstrap-test/ and here the conclusion with the free tool for the bootstrap-test: ...
Here is a summary of books categorized per subjects: http://qoppasociety.org/compendium/books.html Time Series Analysis Risk Management Asset Pricing General Econometrics Programming Optimization Bayesian Modelling
I like the following book (though have only very briefly skimmed it): Optimization methods in finance
This may be too basic a book for what you're hungering for. In preparation for the Financial Engineering actuarial exam, I'm studying from Derivative Markets by McDonald. It's very technical, but gives a great introduction to the mathematics behind pricing options and even goes into depth on Brownian motion. Check it out here: http://amzn.to/g3QOES.
Technically, this isn't fraud, but it should be. It's definitely account abuse. http://articles.latimes.com/2011/apr/03/business/la-fi-amateur-currency-trading-20110403 http://ftalphaville.ft.com/blog/2009/11/02/80866/the-100bn-fx-hustle/ The sad part is, even after being shown this kind of information, I have watched several retail "traders" lose their ...
I have struggled to find such a book. I got enthusiastic when I first heard about Taleb's Dynamic Hedging, but I found it really disappointing. Doesn't give any market insight into vol trading at all. I just remember something about him saying that digitals are scary to risk manage so you should always price them as a call spread - but we all know that! I ...
"Buying and Selling Volatility" by Kevin Connolly. This book has an amazing property: it explains options at an intuitive level, without any math. Incredible. Once you have gone through the first few chapters, you get to the point of being able to roughly value options in your head with some simple arithmetic, and intuitively understand the relationships ...
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