Latest Quantitative Finance book reviews
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Volatility Trading, + CD-ROM (Wiley Trading) by Euan Sinclair
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Submitted at Amazon.com by Rich Ghazarian on 2008-07-19
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Rating : 5 Indispensable!
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This readable book fills a large gap for practitioners. It's rare to find a trader who is willing and capable of writing with such clarity. In addition the book is concise with many good examples. As mentioned by other reviewers I wish this book was available when I got started in this business, and I can honestly say that I'm much better equipped with this book on my desk. I highly recommend this book to both beginners and seasoned professionals.
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Volatility Trading, + CD-ROM (Wiley Trading) by Euan Sinclair
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Submitted at Amazon.com by Jungle.NP on 2008-07-18
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Rating : 5 A practical guide to trading vol for new and experienced traders alike
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"Vol Trading" is a book about proprietary trading of options.* In itself, might make the book worth reading, given the dearth of publicly available material on this style of trading (rather than on the directional trading of the underlying with options). However, there are plenty of other reasons to read it. The author is generous in sharing the considerable knowledge he's amassed; junior traders will find "Vol Trading" accelerates their learning, while experienced traders will appreciate the book as an accessible, focused reference (both my boss and I have already bought it!). As the book is written for traders, by a trader, it's practically focused, and beyond that, it's also very well written: the structure of the book, from pre to post trade analysis, is logical; and the writing is clear and concise. Math is used as a means to an end rather than an end in itself. The author, while clearly aware of the theory, emphasizes empiricism and common sense. My only criticism is that the book is focused on equity options, but this is a minor grumble, and both the principles and the tools presented are portable to FX, commodities etc.
I highly recommend "Vol Trading". Along with Baird, Cottle and Haug, this should be on your bookshelf (or your desk) if you trade vol.
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Volatility Trading, + CD-ROM (Wiley Trading) by Euan Sinclair
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Submitted at Amazon.com by Card Counter on 2008-07-17
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Rating : 5 Exceptionally clear and honest lessons in volatility trading
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Volatility Trading is most certainly the clearest and most accessible books that I've read on option trading. The author clearly has trading experience; it shows not only in his unusually clear writing style but also in pragmatic insights that only come from experience in ones field. The book has a very handy CD with example spreadsheets.
Anybody who wants to become an option trader must get this book and read it several times, this is the cheapest lesson you'll ever get on options.
I'd also recommend that all people who write technical books on the subject of mathematical or statistical finance; read this book and learn from the author's style, you really need to emulate this author to be useful to your audience and potentially sell more books.
Lastly I hope this author continues to write on the subject.
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A Primer for the Mathematics of Financial Engineering by Dan Stefanica
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Submitted at Amazon.com by D. Holenstein on 2008-07-16
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Rating : 5 The Title of this Book is Correct
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This book gives you a very good overview on the Maths you need for Financial Engineering. It is not a introductionary book. It is a primer as the title says. So don't expect a text book. It repeats and explains the necessary math concepts and then shows its applications in Finance. If you plan to attend a Quantitative Finance course soon then I can recommend this book for preparation first and later for reference during your studies and at work.
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Exotic Option Pricing and Advanced Lévy Models (Wilmott Collection) by Paul Wilmott
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Submitted at Amazon.com by Takis Konstantopoulos on 2008-07-16
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Rating : 4 Exotic pricing, but no exotic cover?
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This book is a collection of articles on the use of Levy processes in the modelling, analysis and pricing of exotic markets and options, such as Asian options of American type, exotic derivatives of game type, etc. There is a lot of exotic mathematics and, clearly, the use of Levy processes is suitable for today's exotic applications but also for mathematicians and probabilists who are bored with some of the less exotic stochastic process models. There are several open problems in Levy processes, for instance we understand little about multidimensional processes reflected on some convex set, let alone their stochastic control. I am sure that one can dream of exotic applications of these models as well.
The book is worth reading if you are interested in Levy processes. The only dissapointment is that it lacks an exotic cover. Had it, for example, a picture of an exotic landscape on some exotic island with an exotic human being sipping an exotic pina colada (with low fat ingredients), the book would have been even more exotic.
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Volatility Trading, + CD-ROM (Wiley Trading) by Euan Sinclair
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Submitted at Amazon.com by SexyBeast on 2008-07-15
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Rating : 5 Excellent
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I thoroughly enjoyed the writer's style. He obviously knows what he is talking about. He is very generous with information and offers some very helpful excel spreadsheets to complement the book. This allows the reader to gain a more practical understanding of the concepts presented.
In my opinion the author presents the complex concepts of volatility trading in the most digestible form possible, but with that said, be prepared to use some math and do some thinking. Some things can only be broken down so far.
The author is a professional trader and it shows.
If you want to do some work and learn how this game works, then take the time to read and understand this book....On the other hand, if you want to be a dilettante, crying and blaming the author because you don't understand the math, seek life elsewhere.
Highly recommended.
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The Bible of Options Strategies: The Definitive Guide for Practical Trading Strategies by Guy Cohen
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Submitted at Amazon.com by Brian Kendenthal on 2008-07-15
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Rating : 5 Complete and Well Organized
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This book is a complete description of all option strategies. It is totally organized. Each strategy is described in exactly the same manner to facilitate comparsion of one strategy to another. It should be on any option player's bookshelf as a quick reference and guide.
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Interest Rate, Term Structure, and Valuation Modeling by Frank J. Fabozzi
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Submitted at Amazon.com by Lost in Life on 2008-07-15
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Rating : 4 Very solid writing, great price from Amazon
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This is not the first book I own for interest rate models. It strikes good balance of depth and ease-of-reading, at least enjoyed by me from an developer, not a modeler perspective.
I bought it via Amazon mktplace, but surprisingly, the seller is Amazon itself, the price is only 25USD. The book came as brand new, I cannot argue for a better price.
Lastly, thumb down to the recent NYS charges "Amazon" tax. It is a hate tax, imposed on all readers, shamelessly taking 8.625% fun out of reading.
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Option Market Making: Trading and Risk Analysis for the Financial and Commodity Option Markets (Wiley Finance) by Allen Jan Baird
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Submitted at Amazon.com by Robert S. Riddick on 2008-07-15
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Rating : 5 Put this one on your Option Trading Reading List.
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Anytime anyone is willing to credibly tell you what he does to make money over the long run with well defined low-risk strategies you should listen because casinos, banks, and insurance companies certainly do. The author implies a positive expectation to option trading and those who make a living doing it would agree. The book has a conversational read and has something for the novice to the successful option trader. Highlights are: Delta neutral trading, gamma scalping, the use of spreads to enter, lay off risk and adjust, and emphasizes long volatility trading. The title of the book has probably disuaded more traders from buying the book because it is equally benefical to those who are not option market makers.
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Probability and Random Processes by David R. Stirzaker
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Submitted at Amazon.com by Patrick Thompson on 2008-07-13
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Rating : 5 Graduate Probability
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I don't think people should degrade this book because they found it to be tough. They have to blame the person or persons who chose to use the book. I think this book should be used for graduate studies in probability. Maybe people don't understand what graduate studies are all about. You are expected to master concepts when you're doing a master's degree and getting a graduate degree is not as easy as getting an undergraduate degree. I think this book challenges its users in the theory of probability and random processes. Anyone who uses this book and understands it well should have a great foundation in the theory of probability and random processes.
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| Equity Trading Systems Developer: C++/C# |
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My portfolio of clients consist of Trading desks within the Investment Banking & Hedge Fund frameworks keen to tap into the technical and intellectual talent of individuals geared to this sector. This client is no exception and are currently looking for a strong developer who has worked within data-intensive environments using core C++ or C# programming tools.
You will join a small Algorithmic Trading desk responsible for assisting traders in creating more efficient trading tools for high frequency trading strategies and thus should be highly competent and familiar with the challenges associated with creating data-driven application suites in real-time.
Strong candidates should be adaptive to multi-threaded application development as well as working on systems dealing with complex numerical data.
Industry exposure is less of a concern compared to your track record as a high level developer/programmer. Sound like a challenging role? CVs to discuss this or similar opportunities in the sector.
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