Investment-Risk

Asset liability management can get rather complicated. The authors treat this subject in a very user friendly way that the layperson can understand, and the technician can get good guidance out of.

They cover all the basics really well. After studying this book, you will have a very good understanding of gap analysis, duration, shareholder value added, liquidity management, and other related subject.

The book offers a perfectly simple approach to ALM in banking. I cannot imagine a more concise framework for this subject. The authors fully attain their objective of providing fun reading for a banking subject,something really out of this world.

The author gives a brief history of the banking history, mainly in the USA and thus motivates the introduction of the several subsequent regulations put in place, and of the different methods os assesing risk and optimising capital allocation. The book excells in simple yet powerful risk management techniques for banks. I have recommended (and, in fact some times given away) this book both to my students and my colleagues in the asset management industry.

Having read the text on the flap of the book, as advertised by Amazon, I immediately asked our library to purchase the book. Its contents however did not contain some details that I was hoping to find. Integrated risk management is not treated comprehensively (as it is supposed to do), as risk measurement and the possible aggregation of risk measures in the framework of integrated risk management are left out. There is a long introduction into the basics, which is admittedly very good. Later on, there is a wonderful discussion on risk management strategies. As a textbook, this would do fine, since the basics are explained, and the structure of the discussion is good. But I do miss the real integration of risk measures into one figure. And also, the text of the flap mentioned how insurance methods have been incorporated into finance. This is however only in the level of strategies. Nothing on for example how credit risk measurement has taken up methods used in insurance management. In any case, the book is quite useful for those involved in strategical risk management.

The book is a delight to read, especially if the reader has a corporate finance background. For those with out, Doherty devotes the first six chapters to a thorough review of key corporate finance concepts. I strongly recommend it. The book does not provide quick solutions or "to do lists". It is designed to create in you an in depth understanding of the issues surrounding the field of risk financing and the interrelationship between insurable risk, business risk and economic value. This is a book well worth the trees it took to make the paper for its 600 plus pages. If you want more, perhaps you need to enroll in an MS program...

This book is an excellent read on the importance of integrated risk management (although as the previous reviewer indicated it does not attempt to describe in any detail an integrated risk measurement system - although it does hint at the use of simulation for this purpose at the end of Chp 14). It also highlights rather well the tools that exist in the insurance markets that can be used to achieve risk management ends consistent with corporate finance theory. The book does not attempt to focus on any particular risk since the theme of the entire book is that the effect of risk, not its source, is the most important factor in managing risk.

As with many first releases this book suffers a large number of editorial oversights but given the simple presentation of the many examples in the book these errors are fairly straightforward to pick.

It is a great book for the one wants to know the investment better...and the writer does give us concise idea of how to calculate the payoff of the portfolio...The writer is a Nobel prize winner and one of the pioneer in the finance...I guess everyone, who wants to know the idea of Investment, should and have to read it more than once....

This is a excellent book because it is very easy to understand the text. Professor Sharpe used a lot of figures to describe thr concepts and he did not use the rigor math to analyse ideas thereofore this is a very good introductory book for the economics and finance areas. If you have the intermediate microeconomics and basic statistics knowledge you can read it easily. I strongly recommend everyone who majors in the Economics and Finance to buy this book. No one should miss it.

This is the best intro to the basic of modern investment theory for everyone with high school math background. It acts like Feynman's lecture on Physics; concise, clear, readable, and original. Nobel winner Dr. Sharpe inspires readers to plunge into the study of portfolio theory. With the help of algorithm in appendix, readers can do their experimental calculations. Highly recommended.

I have read this book... from a learning perspective of trying to learn what the theory behind options pricing is it is a great book. A lot of more recent topics are missing, but as a starter book for those who already price options/work in the industry without having learned all the theory (or in my case forgotten what they learned in school) it is a great read and a great reference.

This book covers quite a few fields (axiomatic probability, stochastic processes, financial theory) to the extent that they relate to valuation of securities. Naturally, the scope of coverage in such a brief tome (< 300 p.) is limited. It is written clearly and with precision, with sufficient number of exercises provided at chapters' ends. I would say that it goes to greater depth than Neftci, and is far more rigorous than Wilmott. Incomparably easier to understand than Merton. The only shorcomings I can find are relative paucity of examples and inadequate Index.

The language of financial derivatives is, arguably, the language of the modern theory of martingale stochastic processes. In this approach pricing contingent claims is reduced to finding an "equivalent martingale measure". Practitioners would think in terms of risk adjusted or risk neutral valuation. To understant this topic from an abstract and rigorous point of view is a daunting task restricted to a relatively small elite. For those seeking to learn the mechanics of this discipline a good foundation is well provided by the texts from Hull, Options, Futures and Other Derivatives, as well as Jarrow & Turbull, Derivatives Securities. These books present the intuition behind the formulas and how to use them in practical situations, but they do not show where the formulas come from and much less the mathematics necessary to prove them. Before the book under review was published, this task was attempted by other authors with mixed degrees of success. Here we briefly mention three of them. Baxter and Rennie's Financial Calculus (233 pages) is written in an informal fashion about deep mathematics and one has the feeling that the essence of the topics covered can be grasped and understood from it. However, behind this innocent style there is a huge amount of sophisticated machinery that, in my opinion, should have in part been presented in more detail. An instructor is left with the feeling that it could have been much more profitable to work a bit harder on the students and give them a more complete picture of the theory. Next comes Neftci's Mathematics of Financial Derivatives (352 pages). Its language is more accessible than Baxter and it gives a more detailed and extensive description on most topics. Mathematically, though, it falls short of current usage and rigour. The book by Musiela & Rukowski, Martingale Methods in Financial Modelling (511 pages), is far more difficult than any of these and should be read and understood only by a few. It requires previous knowledge of stochastic processes at the level of, for example, Probability with Martingales by D. Williams. The book under review is an excellent text for courses and for individual readers with a modest background in probability. There is no compromise with mathematical language and concepts. They are presented precisely and illustrated by examples without the burden of more technical theorem-proving approach in advanced mathematical texts. After introducing the idea of derivatives and risk-neutral valuation, it gives a summary of modern probability theory including measure, integral, conditional expectation, modes of convergence, characteristic functions and the Central Limit Theorem. This sets the framework for the rest of the book. Stochastic processes and finance in discrete time are not pre-requites for the much more complicated continuous time but serve as a pedagogical preparation for it. The Third and Fourth Chapters are dedicated to the discrete case and key concepts are carefully analysed. Information and filtrations are discussed as well as the important random walk processes as a motivation for the Brownian Motion. The culmination of these efforts is the proof of the Fundamental Theorem of Asset Pricing: in an arbitrage-free complete market there exists a unique equivalent martingale measure. A very readable discussion on binomial trees is given, including the proof that in the limit of small time increments one recovers from it the usual Black-Scholes formula for a call option. Chapters Five and Six are dedicated to stochastic processes and finance in continuous time. This includes filtrations, a sketch for the construction of Brownian Motion, quadratic variation of Brownian Motion, stochastic integrals and Ito calculus, stochastic differential equations, etc. A continuous version of the Fundamental Theorem is discussed but not proven. The main formula for risk-neutral valuation in terms of expected values is proven. A general result about the relationship with other approaches is that solutions to partial differential equations have a stochastic representation in terms of expected values (Feynman-Kac Formula). On p. 211 a discussion is presented regarding our knowledge concerning continuous time securities market in comparison to the discrete case.

If you are really interested in understanding the probabilistic foundations of modern financial derivatives theory, please consider seriously this book. Another reference, in the same spirit that I recommend is the excellent notes from Shreve, Stochastic Calculus and Finance, which is not yet in book form. After reading the text by Bingham and Kiesel you will gain a solid background well worth the effort and will be able to read profitably most of the contemporary texts and articles on this subject.

There are two ways to write a book: provide a lot of specialist information on a specialised topic (well) or provide a lot of superficial information that covers everything relevant (lake). Surprisingly, this book achieves both of these objectives.

This book does give an overview of derivatives, and other resources, such as Wilmott do an excellent job. The section on credit derivatives is light, but that may be addressed in the next edition. There is more to this market than credit default swaps.

This book emphasises the relationship between the debt and currency markets. This relationship can be summarized by the international fisher equation, however this book addresses topics that are typically not addressed in more theoretical texts. If you really want to understand how the international currency and debt markets operate on a practical level, including a rather comprehensive coverage of Swaps, Caps, Collars, FRAs, etc., then this book is a must. The mathematics in this book are rather simple and should pose no problem for a beginner or intermediate level student of finance.

This book is excellent for both academics and practitioners. Because of its low level of mathematics, it can be used at both the undergraduate and graduate levels. The exposition is clear and concise but not formal. The book covers a lot of ground and is written by an expert in the field. Almost each section has plenty of good real world examples. It can be used as an introductory reference to advanced topics such as interest rate option modelling and the Brace-Gatarek-Musiela Approach.

However, the book needs a new edition to include the latest topics in the modelling of interest rates. A visual basic computer disc for practice could improve the book considerably.

At less than $50 the price of the book makes it a bargain.

This book is a continuation of volume 1 - being that it is purely focused on financial markets and financial products. I was looking for a book on managing risk surrounding the development of new products (i.e. goods) and services for the market place. These issues are VERY different than those surrounding financial products in a nearly efficient market. I'll keep the book for the excellent content, but beware - it's probably not what you might expect!

The chapters on Interest Rate Option Models (Riccardo Rebonato) and Calculating Risk Capital (Thomas Wilson) are great critical surveys on their respective topic

This is a superb introduction to lucrative opportunities in securities which you are not likely to read about in the popular press. The common denominator amongst all the opportunities is VALUE --getting a dollar's worth of goods for 50 cents or so. Although the book was published originally in 1991, most of the priniciples Seth Klarman expounds are timeless. In fact, his discussion of thrift conversions (p. 182-189) is about the only portion of the book which is more or less outdated.

The book's only flaw is that the third section of the book, "The Value Investment Process", which discusses the search for value opportunities in spin-offs, arbitrage, rights offerings and bankruptcies, is not as detailed as value-investing neophytes are likely to want. Still, it's a great start to anyone looking for alternatives to momentum-buying in securities.

Few people outside the value investment arena know who the author is, but take my word for it: he's an investment superstar. Seth runs a private investment firm in Cambridge, MA called the Baupost Group, and isn't soliciting your money! Klarman is on par with Buffett, Ruane & Cuniff, et. al. His book is a MUST read for it's intelligent, frank discussion of intrinsic value investing. Don't look for this book if you're long E-Bay right now. You can probably find the book in a large library, I would look for it if you already found your way to this review!

If you are looking for a comprehensive book that explains and analyses quantitative portfolio optimisation and asset allocation, then this is probably the one for you. The author has clearly taken a lot of time to lay out the subject in a logical and easily understandable way, despite the fact that the subject matter is very complex. Having read this book, you'll be able to apply quantitative portfolio analysis and optimisation techniques yourself, and the book's final part on risk management - which includes chapters on active risk management, monte carlo simulations and extreme value thery - is a must for anyone in need of more adcanced risk management skills. Only draw back is its somewhat technical nature, but since the most technical stuff is in the appendices, the reader can skip it without major problems. An excellent and very accesible book.

Whenever I buy a book I try to look for ones that have a strong practical aim. This is definitely such a book. It starts off with a fair amount of theory, which is required to fully appreciate it, but then moves into very practical territory with lots of real life problems and situations. This book is one of those A-Z books that ties all the treads together, but spiced up with practical applications in almost every chapter. Definitely worth reading if you need to understand the mechanics of quantitative portfolio optimisation and risk management.

This book was excellent if you plan on investing in a small company with hopes of it becoming a big one over a time period of months. It is not helpful for the day trader, looking for day trading strategies.

Good explanation of the terms and basic rules of penny stock investing. The groud rules for investing in penny stocks are set and you pick up the lead and apply the information. I also read The Guide for penny stock investing by Donny Lowy. Donny takes the next step and directs you step by step on how to choose a penny stock that has the potential to skyrocket.

This book gives easy to understand methods to help the investor reduce the risk of investing in penny stocks. Each major point of investing is broken into it's own chapter. Each chapter is easy to read and understand. I found the book very helpful for quick checks on companies that I may want to follow. I highly recommend this book to new investors.