Hedging

Learn continuous time finance from this book: you won't be disappointed. I have read almost all the most famous finance books and I must say that this is by far the best one of them. Although somewhat limited in scope, it is masterfully written: everything is explained clearly and carefully. All statements are rigorously proved. I would say it is suitable both for beginners, having a minimum exposure to measure-theoretic probability and willing to spend some time on it, and for advanced students. Personally, I first read the book as a beginner and found it extremely useful, but even now, that I understand and know most of the material, I find it to be an invaluable reference. The level of mathematical sophistication is quite high, so don't expect anything like Neftci, Baxter and Rennie, Mikosch or Bjork. The level is the same of Duffie, but, while Duffie presents a lot of material and most of the time he doesn't provide proofs and explanations (which, personally, I find irritating), this book is limited to few selected topics, but they are explained at length.
Unfortunately, the perfect finance book has not yet been written (finance professionals seem to be too busy and well paid to write good books), but this one is almost perfect. If you really want to understand quantitative finance, I strongly recommend that you invest a good amount of hours in studying this book. Two good books to acompany this one might be Resnick's book on probability and Steele's book on stochastic calculus.

Nielsen has written a virtually self-contained treatise on the subject. Reading this book was a beautiful learning experience: The author's clarity of thought was striking; the examples made particular points transparent; and the exercises made invaluable contributions to understanding.
The three appendices (on measure and probability, the Lebesque integral, and the heat equation), and the first three chapters make the book as self-contained as is possible.
Synopsis: I do not know of a better book on this subject.

This is an excellent textbook on financial mathematics. It is quite mathematical, but self contained, clearly and carefully written. The appendices are very well written condensed reviews of basic technical facts. The book also contains discussions of a topics that I've never seen anywhere else, such as "Arbitrage and Admissibility" and "The doubling strategy". As mentioned in the preface, the book is based on a doctoral-level course, and the author clearly had the benefit of a large amount of feedback from students. Reading it, one can't help notice the presence of a very large number of extra remarks and hints, inserted on every page in order to clarify what must have been a denser original text. Finally, I have to mention the excellent editorial work done by Oxford University Press in producing this book, as compared to similar books published by Wiley.

This book is indeed very well written and very thorough. It is aimed at people that are not super-league mathematicians, but the finance market participant who has the maths/physics superstar background won't find the presentation annoying. I am finding it especially useful in building curves for markets that I do not have first hand knowledge of.
The problem, of course, is the price. Out of stock at the moment, but when it is in, it costs [$$$]. This is completely outrageous for a book which has not been updated, and is entirely latex produced. In other words, the publishers would have got PHOTO READY print from the authors - no colour diagrams or anything. I think [$$$] would be a reasonable price for the publishers to mark it at. ...

In all my years of experience, I have never encountered a more helpful book in understanding the financial derivatives. Having gone countless rounds with the market in the past, I can safely say that everyone can use something like this in his/her corner. Dodging blows, keeping loose and flexible and countering with devastating shots are all fundamental in success in this business and Mr. Miron comes through with a training program that is second to none. I think that it is interesting to note that the authors are not focused on just finance and have interests completely outside of banking. As a matter of fact, I have had the pleasure to Mr. Miron and have actually heard him play in a band years ago. I must say that the man plays a mean guitar.

Economic theory being a sort of hobby of mine, I couldn't help but notice this particular work. I have written a book myself of which I was quite proud, but this one just blew me out of my grave. I think that after reading this brilliantly written piece that I am completely turned around on the issue of economics. Perhaps flinging around finicncial derivatives is the way forward.

My only complaint is that the copy that I read was a photocopy. I find this distressing that there are so many photocopies of the work in circulation. As a distinguished writer myself, I, too, know the pains of not earning the residuals that are most deserved.

I am a business minor and this book has helped me greatly. It has served as a terrific resource to me.

Great book for anyone interested in hedging or finance. It helped me a great deal.

...Oil money rules the world!! democrats and Republicans matter very little oil barons, as they both want the almighty $$.Further research might include the history of Sudan under administrations with and without oil, uring the political rule of Osama Bin Laden or after,with Democrats or Republicans in office.
This would prove to you, the american Public that Oil, not politics,rules the world.

Extremely well written and right to the point, with the appropriate level of technical detail, Eydeland and Wolyniec's Energy and Power Risk Management is arguably the best book on the subject. A must have for every professional in the industry.

This is an outstanding textbook that is worth every penny I spent on it. It has everything you need for an MBA in finance course on fixed-income securities.
This book is the only one on the subject that has several worked out examples and end of chapter problems and solutions. That is very useful if you want to master the subject. You will encounter plenty of practice opportunities.
All the other books-Tuckman, Fabozzi, Sundaresan, and the rest-while they make good reference books to have on your shelf, they are very poor textbooks to learn from.
If you want to master fixed-income securities, you need to have this textbook.

Thank you,

I bought this book midway through the market correction in August, when I was considering "getting out" of the market altogether and selling great stocks that I've owned. I used a collar strategy from the book and bought some zero coupon treasuries, plus bought a stock that fit the description of a "defensive". My portfolio is now worth 7% more than at the market high in July, even though as of today the Dow is still 1000+ points off that high. Best of all, I didn't touch any of my core holdings. Best 20 bucks I ever spent. It was also valuable to finally read about bonds in a way that I can understand. The book could use an index and a bit more detail on convertibles and derivatives that are discussed, but overall the best thing I've seen yet. Very friendly read.

This book is almost prophetic as it was written in 1998 and describes strategies that would have allowed someone to stay invested all through the incredible late 1999 stock market and yet avoided or hedged much of the risk that killed so many people in 2000. Wish that would have been me! It isn't too complicated but isn't dumbed down, and explains things thoroughly. A few areas could have used more depth to really answer all my questions, but in those cases he usually points you to where to get more information. A great read, and still very current and applicable in today's market. Many of the investment stuff written is based on the latest fad, this is a good basic textbook on a subject that most people think only professional portfolio managers can really use and understand.

This author ties together all the elements of smart investing in one easy to follow book. Set your compass by this lighthouse and you won't run aground.

After reading the Doctors masterpiece three times, i had enough of his theta gamma explanations. I am an avid reader who greatly enjoyed the Doctor's complicated explanations. I totally agree with Elvis. Great work again doctor

I've been working in Futures & Options research for 3 years now, and this has proven to be the best refernce guide available. Terrence elucidates the concepts and mechanisms underlying the treasury bond basis with eloquence and intellect. His other work, Eurodollar Futures and Options, is also a great reference for the shorter end of the curve.

This is simply the only truly readable and authoritative book on its subject. Terry Belton is acknowledged as being the foremost authority on futures research, and this book bears it out. If you're thinking about basis trading, or work in the derivatives market, this book is well worth a look.

(I should also mention that Terry is my boss..doesn't stop it being a good book, though. Hope I get that raise!)

Addressing arbitrage opportunities of both convertible bonds and convertible preferred issues, this text also describes the spectrum use of other derivative instruments for both arbitrage and hedging purposes. Of note, capital structure arbitrage --a hot topic, currently-- is also briefly discussed.

The book serves as a worthwhile summary of all that is currently feasible in this arena. Additionally, many techniques are sufficiently described so as to be made immediatly applicable. As expected from a book of relatively short length, some of the techniques are not drawn out in sufficient detail. The capital structure section, for example, is addressed in only a few pages.

Given the considerable number of tips and insights offered by the author, this book is worth reading despite the lack of detail in some sections.

This is by far one of the best books on hedge fund strategies. It's very practical, but also provides enough technical details. Most other books on hedge funds just state some basic facts that everybody knows. This book, however, provides enough details on one single strategy, convertible arb. I would highly recommend this book to any serious Quant who wants to know more about convertible arb.

Convertible arbitrage is an alternative investment form that is ever-increasing in popularity. This book teaches both portfolio managers and fund of funds analysts everything they need to know about convertible bonds and includes a thorough background, a description of the various techniques, and valuation models. Illustrates points with informative graphs, tables, and appendices. An excellent resource tool.

The topics covered in this book are very good. However, the writing is really lousy. One can get a headache from reading this book.

Can anyone understand what a "percentile" is from this book?

As a trader working in the Synthetic Arbitrage area I find this book an in valuable resource. The book covers credit concepts and institutional details like how to calculate economic capital etc. to intersting ways of constructing the credit curve to how one price different instruments on it and the different no arb relationships of different instruments. I found the chapers on hedging baskets and derivative credit risk to be very interesting and well written. The chapter on converts was a bit light. But on the whole this book is a must have for a Trader in this area of bleeding edge finance.

Arvanitis and Gregory have written an excellent overview of modelling credit risk. The book is written in an intuitive and semi-technical style and the ideas are highlighted with numerous examples. It is therefore applicable to both managers wanting an overview of credit modelling techniques and quants who want more technical details on pricing models. Opening chapters cover credit risk models and describe the standard approaches, such as CreditMetrics. The computation of the loss distribution is discussed and the authors illustrate the importance of modelling the potential credit exposure of derivatives. Default correlation, credit migration and recovery rate modelling are also discussed. Monte Carlo simulation with variance reduction and quasi-Monte Carlo techniques is relied upon heavily. Later chapters include an excellent treatment of credit derivative pricing, a theoretical discussion of how to price derivative counterparty risk and a discussion of credit risk in convertible bonds. The final chapter discusses some related issues such as the discrete hedging problem and market imperfections.

The book is broad in its product coverage with the right amount of technical depth. I would recommend it to anyone with an interest in credit risk or credit derivatives.