Hybrid-security

One of the best books on this topic. It is a very practical book for someone with practical background. No sigma algebra to confuse you, and you do not have to know Girsanov to understand the quanto effect. You just focus on those tough issues you are running into everyday: correlations, long dated FX, cross Gamma hedging, strategic risk management for an exotic book, transaction cost in illiquide market, and so on. In addition, last paragraph of the book is the every reason make me think why this book stands out among these many books.

I find this book extremely useful in my job. It covers almost all aspects of exotic and hybrid instruments: the real life examples, theory behind the pricing models, implementation using different numerical methods, hedging and risk management issues, a good appendix on the basic math stuff and even a sample VBA code to do multivariate MC. Most importantly, the author took a practitioner's point of view, which makes the materials much easier to be understood and applied. However, I did encounter quite a few errors inside some of the formulas. Just name a few, Eq 3.15 and 3.18 on pg 53, Eq 3.142 on pg 98 and Eq H.61 on pg 336. However, none of them is serious (more like a typo to me). In addition, I think it is more important to get the idea right. You can always double check the formula against any math reference book. Overall, I feel it is an excellent reference book for anyone with a serious interest in structured derivatives.

Jonathan Koppell has written a fine and subtle analysis of hybrid organizations, ones which combine elements of the private firm with those of the government agency. He shows how such organizations -- Amtrack, the mortgage intermediaries Fredie and Fannie -- can be harder to control from Washington than regular public agencies. He also explores ways in which hybrids can sometimes be very productive instruments for public goals. This is a first-class study of an increasingly important topic.

While it will be sufficient as a primer for entrants to the arcane world of the various branches of OTC derivatives especially in the fixed income area ...

I suspect that many topics & inferences were plugged in from the author's many other publications which had been pretty prolific & churned out every other year ...

I will only recommend it as an introductory book for the student or new professional, but probably not relevant if you are a serious (or half serious) practitioner looking to keep abreast with the competition or the academics, and hoping to find something which you already do not know nor hear about.

There is little written on structured finance from objective observers of the market. You'll want to add this to your collection.

Had I only had this book at the beginning of my Sales career, life would have been much easier. The book is unique in many ways. First, it's the only book I know of which covers such a wide range of products. Second, product examples are often supported by money-flow-diagramms (e.g. Investor, Issuer, Swap Desk). Never seen that before. Third, termsheet-like examples are given to most of the products for better understanding. In this way, it's a book for investors/sales alike. It's simple and clear with no math at all. Level: Beginners - Advanced. The pro will miss more and up-to-date products, but how can a book provide that?

Topics coverred like: Interest rate / Currency / Commodity / Equity / Credit / Inflation / Insurance linked Notes. Taxation and Market for Structured Products.

This book is badly written. It contains many useless comparisons
between different methods without telling you how to achieve the
best result. You still on your own.

This is one of the most informative books I've found on the subject of mathematical modeling of financial time series. The book is largely a review of the 'state of the art' and frequently expects the reader to be familiar with or willing to 'find and read' relevant articles, but we can all do that, can't we?

The book sequentially studies
1. Standard ARIMA (autoregressive models) which are closest to familiar linear regression techniques.
2. Neural nets and Bayesian trees (as a category called 'relational data mining' by the authors)
3. Fuzzy logic approaches (described as 'membership functions'. Membership functions are defined in terms of linguistic practice, whatever that is.).

In this way, the authors develop a seemingly comprehensive outline of the field, describing fields of study in terms of increasing abstraction. Of the three, I found the fuzzy logic discussion the most interesting.

I have to express some reservations regarding the perspective taken by the authors. Their view is that of the Newtonian physicist observing the interactions of bodies entirely independent of the viewer. At no point do the authors examine the implication of 'self participation' in the marketplace. For example, what happens to probability distribution 'X' when a trading entity uses the probability distribution 'X' to take a significant position in a security? If this seems interesting, you might try looking at "Theory of Financial Risks: From Statistical Physics to Risk Management", by Bouchaud or "An Introduction to Econophysics: Correlations and Complexity in Finance" by Mantegna and Stanley.

It is a very informative book with all major data mining methods and their comparisons compressed into 300 pages. Therefore, a significant part of the book is not leisurely reading. This is typical for the books from Kluwer Academic Publishers. One has to be ready to spend enough time to go through algorithms' details, pseudo code and comparisons of algorithms to get a serious benefit for the design of one's own model.
For instance, understanding the power of first-order if -then rules over the decision trees gained from the book can significantly change and improve design.

This book is completely useless. From the view of a quant, the author merely states the highlights/features of various structured derivative products as described in the prospectus. This information is readily available on FreeEdgar. No insights are offered what so ever. His typical description of the valuation method consists of "Merrill has developed a model similar to ours[the author's]... The model takes into account volatility, interest rate, ..." And that's it.
On the topic of whether the issuer should early call, Mr. Nelken's "conclusions" range from calling when the market price is below call price, to at call price, to above call price, and finally to way above call price. This is done through summarizations of other researchers' reports. Again, no opinions or analysis; merely book reports.
And finally, the not-advertised-as-demo CD-ROM is as useful as a coaster on a camping trip. There's no user guide for operating instructions. Not that it is necessary since most functions are disabled in the demo. But there are links to files I don't have.