A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.

You have spent a few decades working, earning a salary from your employers, and saving into company and personal pensions along the way. Now, retirement is approaching. How will you turn your savings into a salary to pay for essentials and leisure time in retirement? How will you make sure that you don't run out of money too soon? What do the UK pension freedoms mean for you? In this one-of-a-kind book, personal finance experts Richard Dyson and Richard Evans answer these questions and equip you with everything you need to know to turn your pension savings into an income that will last throughout your retirement. You will learn: -- How to take control of your pension savings by tracking down all of your pension pots and combining them. -- When you can afford to retire. -- Steps to take to avoid running out of money. -- How to build an income-paying portfolio of fund investments from scratch. -- How to withdraw a sustainable income from your portfolio. -- How annuities work and whether they have a role for you. -- How to make the most of the tax rules. -- The contribution made by the State Pension. -- When to seek professional advice.

The all-you-need-to-know guide to Investment. The yearbook is packed with practical guidance on who to contact and how to get investment. Investment - a short Introduction Who to approach for Investment Pitching your ideas After and beyond Over 1,000 listings entries on who to contact and how across different industry sectors. p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 11.0px Calibri; color: #ff2500} span.s1 {font-kerning: none} This is the Handbook that consolidates all of the material that every entrepreneur needs when they are looking to raise capital. The guide is an invaluable resource for an entrepreneur or business owner, providing information and contact details to access many of the world's leading business investors. Containing valuable information about the preferred sectors that they allocate money to, along with details about their typical size of investment, the guide allows those looking to raise money to drill down to a more relevant target audience. In addition to the detailed Directory, the Handbook has chapters of advice written by experienced investment professionals, covering topics such as: What kind of investment is needed Who do you pitch to for investment How much to ask for? Credibility and maximising your chances Handling questions and objections

At a time when Congressional investigations have taken on added importance and urgency in American politics, this book offers readers a rare, insider's portrait of the world of US Congressional oversight. It examines specific oversight investigations into multiple financial and offshore tax scandals over fifteen years, from 1999 to 2014, when Senator Levin served in a leadership role on the US Senate Permanent Subcommittee on Investigations (PSI), the Senate's premier investigative body. Despite mounting levels of partisanship, dysfunction, and cynicism swirling through Congress during those years, this book describes how Congressional oversight investigations can be a powerful tool for uncovering facts, building bipartisan consensus, and fostering change, offering detailed case histories as proof. Grounded in fact, and written as only an insider could tell it, this book will be of interest to financial and tax practitioners, policymakers, academics, students, and the general public.

Compiled on the day of the Budget by our expert team and printed overnight so that practitioners have a portable and easy to resource containing all the tax rates and tables relating to the forthcoming tax year. Tax Tables 2019 provides a succinct commentary on the key provisions and clearly laid out tables of new rates and allowances announced in the October 2018 Budget.

The Authoritative Guide to the Best Practices in Operational Risk Management Operational Risk Management offers the most current information available for putting in place an effective risk management program for a financial services firm. Comprehensive in scope, the book outlines the frameworks, tools and techniques that successful firms use to identify, assess, mitigate and monitor risk within their organisations. The different chapters present a holistic approach, which helps to clarify the relationship between the different components of a risk management framework and offers a consistent view of effective risk management. This flexible framework can be tailored to each firm based on its own practices, size and business complexity. Operational Risk Management offers the information risk managers need not only to help their organisations avoid crises, but also to safely recognise new opportunities, achieve their full potential, and reach new heights of success.

Detailed guidance on the mathematics behind equity derivatives Problems and Solutions in Mathematical Finance Volume II is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers. As Volume II of the four-volume Problems and Solutions in Mathematical Finance series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations. * Review the fundamentals of equity derivatives * Work through problems from basic securities to advanced exotics pricing * Examine numerical methods and detailed derivations of closed-form solutions * Utilise formulae for probability, differential equations, and more Mathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, Problems and Solutions in Mathematical Finance Volume II provides essential guidance principally towards the subject of equity derivatives.

The derivative practitioner s expert guide to IFRS 9 application Accounting for Derivatives explains the likely accounting implications of a proposed transaction on derivatives strategy, in alignment with the IFRS 9 standards. Written by a Big Four advisor, this book shares the author s insights from working with companies to minimise the earnings volatility impact of hedging with derivatives. This second edition includes new chapters on hedging inflation risk and stock options, with new cases on special hedging situations including hedging components of commodity risk. This new edition also covers the accounting treatment of special derivatives situations, such as raising financing through commodity-linked loans, derivatives on own shares and convertible bonds. Cases are used extensively throughout the book, simulating a specific hedging strategy from its inception to maturity following a common pattern. Coverage includes instruments such as forwards, swaps, cross-currency swaps, and combinations of standard options, plus more complex derivatives like knock-in forwards, KIKO forwards, range accruals, and swaps in arrears. Under IFRS, derivatives that do not qualify for hedge accounting may significantly increase earnings volatility. Compliant application of hedge accounting requires expertise across both the standards and markets, with an appropriate balance between derivatives expertise and accounting knowledge. This book helps bridge the divide, providing comprehensive IFRS coverage from a practical perspective. * Become familiar with the most common hedging instruments from an IFRS 9 perspective * Examine FX risk and hedging of dividends, earnings, and net assets of foreign subsidies * Learn new standards surrounding the hedge of commodities, equity, inflation, and foreign and domestic liabilities * Challenge the qualification for hedge accounting as the ultimate objective IFRS 9 is set to replace IAS 39, and many practitioners will need to adjust their accounting policies and hedging strategies to conform to the new standard. Accounting for Derivatives is the only book to cover IFRS 9 specifically for the derivatives practitioner, with expert guidance and practical advice.

INCOME TAX FUNDAMENTALS 2012, 30E provides readers with a concise, practical, and time-tested introduction to the most important areas of tax law. For over thirty years, this textbook has been the market-leading standard due to its step-by-step workbook format that walks readers through real examples using actual tax forms. And, with plentiful study tools, including online interactive self-quizzes, INCOME TAX FUNDAMENTALS 2012, 30E makes sure that readers gain the knowledge and skills they'll need as future tax preparers.

This book features straightforward stock market strategies that offer exceptional returns and cash flow while substantially reducing market risk. With only minimal extra effort each month, you can do better - a lot better - than buy-and-hold. To earn solid returns while effectively managing risk, millions of investors in whipsaw financial markets have learned that basic option writing strategies can make a dramatic improvement in their investment returns. "Option Writing Strategies for Extraordinary Returns" details put and call writing techniques that investors from conservative to aggressive are using to both generate and protect portfolio profits in bull, bear, and non-trending markets. Whether your goal is to create better-than-average long-term growth or generate better-than-average current income, this timely book provides step-by-step directions you can follow to create a stock option strategy that allows you to: combine the purchase of blue chip stock with the writing of puts and calls on that stock; increase your long position in the future, if the put is exercised, at a fixed price that is guaranteed to be lower than the current price; and, generate significant interest on cash received when you write options. It's not as complex as it sounds; it is, however, proven effective at reducing the risk of owning common stocks. "Option Writing Strategies for Extraordinary Returns" will change the way you look at stock ownership and option writing by combining the two into an effective, all-weather investing program. For too long, individual investors have been inundated with stories on the perils of option buying. Brokers and money managers who passed along these scare stories could hardly be blamed, since more often than not they had never taken the time to understand the profitable merits of writing options. "Option Writing Strategies for Extraordinary Returns" explains, in everyday language and without complex mathematics, how you can use option writing strategies to improve your investment returns while shielding your portfolio from unexpected loss. It explodes the prevailing myth that writing options exposes an investor to unpredictable and unlimited risk by detailing how, when used correctly, option writing is in fact among the most easy-to-use methodologies for shielding your portfolio from such risk. Using tables and charts to illustrate each step, veteran options expert David Funk details an innovative 'three-legged' model that involves the purchase of a stock position and the simultaneous writing of both put and call options with different strike prices on that position. This model reduces the amount of downside risk assumed versus buying stock alone, while allowing you the flexibility to increase your upside potential when you feel circumstances warrant. This well-organized guidebook takes you through an innovative program designed to turn basic put and call option writing into powerful income and capital building tools: Section one covers the basic concepts of covered call and cash-collateralized put writing; Section two explains how to design an investment program focused on capital appreciation; Section three shows how to adjust that program to maximize current income; Section four explores advanced strategies for extending positions, profiting from unusual events, and more; Section 5 shows you how to prepare for, and even profit from, early assignments and other unexpected occurrences; and, Section 6 takes a more in-depth look at the underlying theory of option writing. "Option Writing Strategies for Extraordinary Returns" isn't a get-rich-quick book that promises to double your money each year. What David Funk's book does promise is to introduce you to a commonsense, market-proven investing strategy for making more money than the majority of investors, while providing your portfolio with specific loss limits when the market drops. 'These savvy investors likely outperform 98 percent of all investors over the years' - Yale Hirsch, Founder, "The Stock Trader's Almanac". 'Superbly written...irresistibly clever ways to cope with the market's stubborn refusal to publish an itinerary of the future' - Don Worden, Worden Brothers, Inc., publishers of TeleChart, www.worden.com. 'Clear, concise, and easy to read...an excellent job of making strategies involving short options accessible to everyone' - James B. Bittman, Senior Instructor, CBOE Options Institute, and author of "Options for the Stock Investor". 'This method works exceptionally well no matter which way the market swings...an excellent way to establish an investment portfolio' - Brooks Harrison, Former Chief Technical Analyst, John Magee, Inc. 'This book presents sophisticated investment strategies in simple and clear language, enabling investors to improve their returns and reduce risks' - Pedro Belli, Economist, formerly with the World Bank.

"The Universal Principles of Successful Trading" clearly and unambiguously articulates trading principles that distinguish the winners from the losers. Though trading can be performed in different markets, across different timeframes, and with different instruments based upon different techniques, there is one common thread that ties all winning traders together: the "universal principles of successful trading." All consistently profitable traders adhere to them regardless of the markets, timeframes, and techniques.

In this ground-breaking book from top trader, Brent Penfold, the reader will: Learn how to develop a trading planLearn how to identify and create an effective methodologyDiscover successful money management strategiesUnderstand trader psychologyAnd many more exciting trading and strategies secrets.

Supporting the universal principles are rare interviews from a diverse group of successful traders. Some are the new young guns of trading and others are market legends who are trading just as actively today as they were over 50 years ago. They represent a diverse group of traders from the United Kingdom, America, Singapore, Hong Kong, Italy, and Australia. All of them have generously agreed to offer the reader one singularly powerful piece of advice to help them towards their trading goals. Each piece of advice emphasizes an essential element of the universal principles.

This timely and exciting book from Brent Penfold has already garnered many accolades and looks set to become a modern-day classic.

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.Topics covered:

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.Topics covered:

Blockchain is the technology behind bitcoin and other crypto-currencies. According to Santander, it could save financial institutions $15-20bn a year from 2022 onward. Most experts see an unprecedented potential, but many banks, payment processors and credit card companies fret that bitcoin entrepreneurs could cast a pall over their core business. Whatever the position of blockchain, many voices are shouting from different angles, creating a cacophony of confusion including tech-evangelists, anarcho-libertarians, and industry experts. But while everybody in IT and banking seems to have an opinion on the blockchain, there is little systematic research, no strategic analysis. Blockchain Babel is the ultimate guide to the most disruptive technology to have entered the finance industry in recent years.

Blockchain Babel looks at blockchain alongside innovation diffusion, competitive dynamics and management strategy. Shortlisted as one of the three best business book proposals by McKinsey and the Financial Times for the Bracken Bower Prize in 2016, this is a must-read for business leaders and aspiring leaders wanting to grasp blockchain and put it into context and understand the practical implications it may have.

The Great Financial Crisis of 2007-2010 has had a major impact on large cross-border banks, which are widely blamed for the start and severity of the crisis. As a result, much public policy, both in the United States and elsewhere, has been directed at making these banks safer and less influential by reducing their size and permissible powers through increased government regulation.At the Federal Reserve Bank of Chicago's 18th annual International Banking Conference, held in November 2015, the status of these large cross-border banks was critically evaluated. In collaboration with the World Bank, the conference held discussions on the current regulatory landscape for large and internationally active financial institutions; the impact of regulation on bank permissible activities and international trade; improvements in risk management; necessary repairs to the bank safety net; the resolution of insolvent banks operating across national borders; corporate governance for banks in the new environment; implications for market and government discipline; and, progress in achieving international cooperation.Contributors include international policymakers, practitioners, researchers, and academics from more than 30 countries. The papers from the conference are collected in this volume.

Great Investment Ideas is a collection of articles published in the Journal of Portfolio Management from 1993 to 2015. The book contains useful ideas for investment management and trading and discusses the methods, results and evaluation of great investors. It also covers important topics such as the effect of errors in means, variances and co-variances in portfolio selection problems, stock market crashes and stock market anomalies, portfolio theory and practice, evaluation theory, etc. This book is a must-have publication for investors and financial experts, researchers and graduate students in finance.

This concise textbook provides a unique framework to introduce Quantitative Finance to advanced undergraduate and beginning postgraduate students. Inspired by Newton's three laws of motion, three principles of Quantitative Finance are proposed to help practitioners also to understand the pricing of plain vanilla derivatives and fixed income securities.The book provides a refreshing perspective on Box's thesis that 'all models are wrong, but some are useful.' Being practice- and market-oriented, the author focuses on financial derivatives that matter most to practitioners.The three principles of Quantitative Finance serve as buoys for navigating the treacherous waters of hypotheses, models, and gaps between theory and practice. The author shows that a risk-based parsimonious model for modeling the shape of the yield curve, the arbitrage-free properties of options, the Black-Scholes and binomial pricing models, even the capital asset pricing model and the Modigliani-Miller propositions can be obtained systematically by applying the normative principles of Quantitative Finance.

This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic.Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.

The essential resource for navigating the growing direct loan market Private Debt: Opportunities in Corporate Direct Lending provides investors with a single, comprehensive resource for understanding this asset class amidst an environment of tremendous growth. Traditionally a niche asset class pre-crisis, corporate direct lending has become an increasingly important allocation for institutional investors--assets managed by Business Development Company structures, which represent 25% of the asset class, have experienced over 600% growth since 2008 to become a $91 billion market. Middle market direct lending has traditionally been relegated to commercial banks, but onerous Dodd-Frank regulation has opened the opportunity for private asset managers to replace banks as corporate lenders; as direct loans have thus far escaped the low rates that decimate yield, this asset class has become an increasingly attractive option for institutional and retail investors. This book dissects direct loans as a class, providing the critical background information needed in order to work effectively with these assets. Understand direct lending as an asset class, and the different types of loans available Examine the opportunities, potential risks, and historical yield Delve into various loan investment vehicles, including the Business Development Company structure Learn how to structure a direct loan portfolio, and where it fits within your total portfolio The rapid rise of direct lending left a knowledge gap surrounding these nontraditional assets, leaving many investors ill-equipped to take full advantage of ever-increasing growth. This book provides a uniquely comprehensive guide to corporate direct lending, acting as both crash course and desk reference to facilitate smart investment decision making.

A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can't agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe--and as financial bubbles, crashes, and crises suggest. This is one of the biggest debates in economics and the value or futility of investment management and financial regulation hang on the outcome. In this groundbreaking book, Andrew Lo cuts through this debate with a new framework, the Adaptive Markets Hypothesis, in which rationality and irrationality coexist. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency isn't wrong but merely incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo's new paradigm explains how financial evolution shapes behavior and markets at the speed of thought--a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. A fascinating intellectual journey filled with compelling stories, Adaptive Markets starts with the origins of market efficiency and its failures, turns to the foundations of investor behavior, and concludes with practical implications--including how hedge funds have become the Galapagos Islands of finance, what really happened in the 2008 meltdown, and how we might avoid future crises. An ambitious new answer to fundamental questions in economics, Adaptive Markets is essential reading for anyone who wants to know how markets really work.

The 2008 financial collapse, the expansion of corporate and private wealth, the influence of money in politics-many of Wall Street's contemporary trends can be traced back to the work of fourteen critical figures who wrote, and occasionally broke, the rules of American finance. Edward Morris plots in absorbing detail Wall Street's transformation from a clubby enclave of financiers to a symbol of vast economic power. His book begins with J. Pierpont Morgan, who ruled the American banking system at the turn of the twentieth century, and ends with Sandy Weill, whose collapsing Citigroup required the largest taxpayer bailout in history. In between, Wall Streeters relates the triumphs and missteps of twelve other financial visionaries. From Charles Merrill, who founded Merrill Lynch and introduced the small investor to the American stock market; to Michael Milken, the so-called junk bond king; to Jack Bogle, whose index funds redefined the mutual fund business; to Myron Scholes, who laid the groundwork for derivative securities; and to Benjamin Graham, who wrote the book on securities analysis. Anyone interested in the modern institution of American finance will devour this history of some of its most important players.

The irreverent guide to investing, Boglehead style The Boglehead's Guide to Investing is a DIY handbook that espouses the sage investment wisdom of John C. Bogle. This witty and wonderful book offers contrarian advice that provides the first step on the road to investment success, illustrating how relying on typical "common sense" promoted by Wall Street is destined to leave you poorer. This updated edition includes new information on backdoor Roth IRAs and ETFs as mainstream buy and hold investments, estate taxes and gifting, plus changes to the laws regarding Traditional and Roth IRAs, and 401k and 403b retirement plans. With warnings and principles both precisely accurate and grandly counterintuitive, the Boglehead authors show how beating the market is a zero-sum game. Investing can be simple, but it's certainly not simplistic. Over the course of twenty years, the followers of John C. Bogle have evolved from a loose association of investors to a major force with the largest and most active non-commercial financial forum on the Internet. The Boglehead's Guide to Investing brings that communication to you with comprehensive guidance to the investment prowess on display at Bogleheads.org. You'll learn how to craft your own investment strategy using the Bogle-proven methods that have worked for thousands of investors, and how to: * Choose a sound financial lifestyle and diversify your portfolio * Start early, invest regularly, and know what you're buying * Preserve your buying power, keeping costs and taxes low * Throw out the "good" advice promoted by Wall Street that leads to investment failure Financial markets are essentially closed systems in which one's gain garners another's loss. Investors looking for a roadmap to successfully navigating these choppy waters long-term will find expert guidance, sound advice, and a little irreverent humor in The Boglehead's Guide to Investing.

Concentrated ownership is considered to be the best protection for shareholders in economies where legal protection is relatively weak. This book investigates and concludes, for Indian business groups, that concentrated-inside ownership provides opportunities for the expropriation of minority shareholders. While more concentrated direct ownership of controlling families results in a higher market value of equity, indirect ownership obtained through cross-holding provides incentives to extract private benefits and results in value loss. This finding requires the prompt attention of regulatory bodies, outside investors and other interested parties. This book examines the effect of ownership structure and disclosure of related-party transactions on firm valuation of group-affiliated firms in India, by using a sample of 317 listed firms comprising 1350 firm-year observations from 2008 to 2017. Well-accepted value-relevance models are employed to examine the effect of ownership rights on market value of equity and valuation effect of RP trading, asset transfer, investment and loan transactions.