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Structured Credit
Handbook |
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A. Rajan, G. McDermott and R. Roy |
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2007 |
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For information on the products and workings of the
credit derivatives and CDO markets, this handbook is the resource to
turn to. It explains products in plain language: credit swaps and
swaptions, index products, spread options, CDOs, equity CDOs, CDOs
"squared", etc. The mechanics of trades and settlement are explained.
Trading strategies are illustrated with case studies. The authors are
from a major dealer, so treat the book as consultative selling. The
depth and quality of information is outstanding ... |
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International Economic Indicators
and
Central Banks |
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For anyone involved in
international investing, this is a wonderful book. It provides a
narrative description of important central banks around the
world and the local economic indicators they monitor in setting monetary
policy ... Read more |
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Equity Hybrid Derivatives |
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Marcus Overhaus, et al |
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2007 |
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In financial engineering, the modeling of hybrid
products—products such as convertible bonds, with both equity and fixed
income attributes—is one of the most challenging problems. In this book,
a leading group of quants from Deutsche Bank present cutting-edge
techniques along with extensive citations of the literature. The book is
outstanding, filling an important gap in the financial engineering
literature ...
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Frequently Asked Questions in
Quantitative Finance |
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Paul Wilmott |
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2007 |
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This small paperback is full of random information
relating to quantitative finance. There is a FAQ answering questions
like "why do quants like closed-form solutions?" or "what is
cointegration?" Another section gives various option pricing formulas.
Another offers ten derivations of the Black-Scholes formula. A section
of brain teasers asks "where should armor be placed on a
bomber?" Without an index or any attempt to be comprehensive, the book
is strictly for browsing ...
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Operational Risk |
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A. Chernobai, S. Rachev, and F. Fabozzi |
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2007 |
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A better title would be Probabilistic
Models for Operational Risk. Following opening chapters that
introduce operational risk and the Basel Accords, the balance of this
book is mostly probability and statistics: distributions, extreme value
theory, goodness of fit tests, copulas, etc. Practical issues like how
to manage operational risk or how to gather meaningful data are not
addressed. The literature on statistical studies of available
operational loss databases is cited extensively ...
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Developments in Collateralized Debt Obligations |
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D. Lucas, L. Goodman, F. Fabozzi and R.
Manning |
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2007 |
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Think of this as a companion or follow-up
to the earlier Lucas, Goodman and Fabozzi (2006).
That book was an introduction to CDOs. This one is more advanced,
delving into specific structures, including ABS, TruPS and commercial
real estate CDOs. There is a chapter on the impact of CDOs on the
collateral markets. Several chapter look at ratings methodologies and
performance. Highly recommended! ...
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Richard Bookstaber
knows his way around Wall Street. Thirty years ago, he transitioned from
academia to practice. He has worked in trading and risk management
since. Along the way, he wrote one of the best introductions to options
trading ever published. In this new book, he takes on multiple tasks ...
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Guide to
Equity Index Construction |
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Daniel Broby |
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2007 |
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Daniel Broby describes the construction of equity indexes,
primarily for use as benchmarks in active management. He covers history, weighting schemes,
industry classification systems, data issues, investability and more. Mathematics
is skirted, but
practical topics such a data vendors or industry conventions are
covered in depth. The writing can be vague, but the book meets an
important need ...
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Carbon Finance |
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Sonia Labatt and Rodney White |
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2007 |
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Books on global warming and emissions trading are
multiplying. This one is perhaps the most accessible and offers the most
context for beginners. It coves the history, causes, science and
politics of global warming. It looks at international agreements, the
role of institutional investors and the function of emissions markets.
It is an easy read. Because it lacks technical depth, you may want to
follow-up with a book focused more specifically on emissions trading ...
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Capital Ideas Evolving |
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Peter Bernstein |
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2007 |
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This unremarkable follow-up to Bernstein's classic
Capital Ideas does three things. It gives a good description of the
respectable origins of behavioral finance. It checks-in with some of the
stars of Capital Ideas—Markowitz, Sharpe, Merton, etc.—to see
what they are up to today. And it has a number of what might be
described as case studies of recent finance research and/or practice related
to portfolio theory or efficient markets ...
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