This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the...
This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clone...
The first book to provide a simple and practical means of valuing biotech companies
The book begins with a short history of the biotechnology industry; this is important as although it is about 30 years old, the first company went public only in 1996, so it is possible to plot the course of investment waves and dips
It examines the European industry and its evolvement, and draws parallels between the similarities and differences between that and the US
Looks at the various companies which make up the biotech industry (therapeutic; life sciences; and the...
The first book to provide a simple and practical means of valuing biotech companies
The book begins with a short history of the biot...
Fully revised and updated from the hugely popular first edition, this book is an accessible and convenient one-volume introduction to international capital markets, ideal for those entering or planning to enter investment banking or asset management. As well as serving as an invaluable reference tool for professionals already working in the industry looking to extend their knowledge base it will also benefit all those working in trading, sales and support roles.
Describing how the key products and markets work, who the principle participants are and their overall goals and objectives,...
Fully revised and updated from the hugely popular first edition, this book is an accessible and convenient one-volume introduction to international ca...
This nuts-and-bolts guide examines all aspects of an M&A due diligence-from coming to the decision to acquire a company, to who should be on the due diligence team, to the actual process and the final report and post-closing follow up.
This nuts-and-bolts guide examines all aspects of an M&A due diligence-from coming to the decision to acquire a company, to who should be on the due d...
The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader.
This book is a unique guide to running an FX options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures.
Starting with the basic conventions related to...
The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can...
"Luca Albertini and Pauline Barrieu are to be congratulated on this volume. Written in a period where structured projects in finance are having a difficult time, it is worthwhile to return to the cradle of securitisation: insurance. Spread out over three parts (life, non- life, and tax and regulatory issues) the 26 chapters, written mainly by practitioners, give an excellent overview of this challenging field of modern insurance. Methodology and examples nicely go hand in hand. The overall slant being towards actual analyses of concrete products. No doubt this book will become a milestone...
"Luca Albertini and Pauline Barrieu are to be congratulated on this volume. Written in a period where structured projects in finance are having a diff...
In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. 'GAMS' consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers - numerical algorithms - to solve them. The system was developed in response to the need for powerful and flexible front-end tools to manage large, real-life models.
The work begins with an overview of the structure of the GAMS language, and discusses issues relating to the...
In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on...
An introductory guide to using Levy processes for credit risk modeling
This introductory guide to Levy processes covers all types of credit derivatives, from the single-name vanilla derivatives to more complex structured credit risk products. It refines credit risk modeling with jump processes, a vital revision for today's tumultuous credit market. Readers will learn how the classical models can be improved with Levy processes. The book uses real market data to analyze and illustrate derivative structures and covers both the practical and theoretical underpinnings of Levy processes in...
An introductory guide to using Levy processes for credit risk modeling
This introductory guide to Levy processes covers all types of credit deriva...
The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors.
Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and...
The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability o...
Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of the most commonly used analysis tools and techniques both in industry and academia, for understanding, identifying and managing risk as well as for quantifying return factors across several key investment strategies. The book is also suitable for use as a core textbook for specialised graduate level courses in hedge funds and alternative investments.
The book provides hands-on coverage of the visual and theoretical methods for measuring and...
Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of th...