Part of a series which focuses on advances in futures and options research, this volume discusses a variety of topics in the field.

The book is divided into three sections plus detailed appendices and glossary and accompanying CD-ROM. It provides a description of the investment management process providing a context for quantitative techniques,addresses different quantitative techniques as applied to investment management, and brings together issues such as currency management, performance measurement and appraisal and performance analysis.

Trading today's markets―including stocks, futures, or Forex―can be a challenging and difficult endeavor. But it is possible to achieve consistent success in this field, if you're prepared to learn a complete trading plan from entry to exit.

In High Probability Trading Strategies, author and well-known trading educator Robert Miner skillfully outlines every aspect of a practical trading plan―from entry to exit―that he has developed over the course of his distinguished twenty-plus-year career. The result is a complete approach to trading that will allow you to trade confidently in a variety of markets and time frames.

With this book as your guide, you'll quickly learn how to recognize high-probability trading opportunities, pinpoint exact entry and stop prices, and manage a trade until it's completely closed out. You'll discover how the four key factors of dual-time-frame-momentum, pattern, price, and time can guide you down the path to trading profits. As you become familiar with the proven strategies and techniques taught in High Probability Trading Strategies, you'll also come to understand the type of market information you can use to make specific trade decisions and how to execute those decisions from start to finish.

Miner teaches in a practical, step-by-step manner until a complete trading plan is developed. While the ideas found here are essential to trading success, the best way to learn is by example. That's why Miner has devoted an entire chapter―called "Real Traders, Real Time"―to trade examples submitted by his past students. In it, you'll see how they apply the strategies taught throughout the book to markets around the world.

A companion website completes this compre-hensive learning package. It's not a word-for-word review of the material in the book, but rather an additional tool to illustrate more examples. With it, you'll learn how to put high-probability trading strategies into practice, day by day and bar by bar, for many different markets and time frames.

Written with the serious trader in mind, High Probability Trading Strategies details a practical approach to analyzing market behavior, identify-ing profitable trade setups, and executing and managing trades―from entry to exit―that will allow you to both preserve and grow your capital. If you're looking to make the most of your time in today's markets, look no further than High Probability Trading Strategies.

The derivatives market has been the fastest growing area of financial activity in the past few years. The pace of product development is fast, with a myriad of new hybrids being developed every year. This best-selling text is ordered in dictionary format, taking each financial instrument, market or related concept and giving an analysis together with diagrams where applicable. It also includes a comprehensive listing of contracts available on the major exchanges. Crucially, tax and accounting guidelines are included, and all appropriate legal documentation, such as the ISDA master agreement on swaps is reproduced in full.

The definitive source of information on all topics related to investment valuation tools and techniques

Valuation is at the heart of any investment decision, whether that decision is buy, sell or hold. But the pricing of many assets has become a more complex task in modern markets, especially after the recent financial crisis. In order to be successful at this endeavor, you must have a firm understanding of the proper valuation techniques. One valuation book stands out as withstanding the test of time among students of financial markets and investors, Aswath Damodaran's"Investment Valuation."

Now completely revised and updated to reflect changing market conditions, this third edition comprehensively introduces students and investment professionals to the range of valuation models available and how to chose the right model for any given asset valuation scenario. This edition includes valuation techniques for a whole host of real options, start-up firms, unconventional assets, distressed companies and private equity, and real estate. All examples have been updated and new material has been added.An expansion of ancillaries include updated online databases, spreadsheets, and other educational support toolsFully revised to incorporate valuation lessons learned from the last five years, from the market crisis and emerging markets to new types of equity investmentsRevised examples of company valuations such as companies from Eastern Europe and Africa, which stress the global nature of modern valuationAuthor Aswath Damodaran is regarded as one of the best educators and thinkers on the topic of investment valuation"

This indispensable guide is a must read for students wishing to gain a better understanding of investment valuation and its methods. With it, you can take the insights and advice of a recognized authority on the valuation process and immediately put them to work for you.

An indispensable resource for every financial service professionals developing an IPS The Investment Policy Statement (IPS) is one of the most critical documents fiduciaries must draft. For years, ERISA and other industry regulations have governed the guidelines all fiduciaries must comply with when drafting one. But the current climate of corporate scandal and the 2008 global banking crisis have led to increased scrutiny by regulators, prompting firms to take a closer look at the quality and integrity of their IPSs and to take steps to have a rigorous formal process in place for drafting them. Endorsed by the Foundation of Fiduciary Studies, this concise guide provides a rigorous framework and the expert insight, information and guidance you need to guarantee that your IPS is in complete compliance with all ERISA-directed requirements. * Provides a step-by-step plan for creating a uniform IPS that every advisor in the office can follow * Defines the duties and responsibilities of all parties involved, while clarifying diversification guidelines and providing methods for keeping costs under control * Packed with ready-to-use templates, sample forms, letters and other documents, diagrams and other valuable tools, including sample Policy Statement downloadable at the companion website * Designed to get you quickly up to speed on what you need to know to confidently serve your clients with the highest standards of care and protection

This ""how to"" book covers the various mechanics of natural gas trading, including the physical (cash) market for natural gas production, transportation, distribution, and consumption. It has been 23 years since Trading Natural Gas: A Nontechnical Guide was released, and many things have changed: electronic trading, power market deregulation, fracking and the shale revolution, pipelines reversing flow patterns, and LNG exports from the United States. In this second edition, the author addresses these changes, beginning with a deeper dive into the natural gas market fundamentals of supply, demand, storage, and transportation, maintaining a focus on the relationship to market pricing. Following discussion of the mechanics of trading physical natural gas, the heart of the text remains a study of financial derivative products specific to natural gas trading, presented through definitions and trading examples. Many of these products and concepts are still current and have been refreshed and kept intact. New material on the role of natural gas in the power market as it relates to fuel- switching and economic dispatch, as well as a survey of the global LNG market and US exports, is included in this second edition to bring in two of the biggest factors influencing prices in today's market. Additional statistics, tables, graphs and suggested spreadsheet templates have been provided throughout the book to help visualize many of the discussions on data. Features and Benefits Supply / Demand Fundamentals Market overviews (financial and physical) Contracts Derivatives Technical Analysis Risk Controls Audience Field level personnel Management Energy lending and finance professionals Anyone who seeks to understand how, or relies upon, energy markets Students

Financial market volatility plays a crucial role in financial decision making, as volatility forecasts are important input parameters in areas such as option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. The fact that financial innovations arrive at an ever-increasing rate has motivated both academic researchers and practitioners and advances in this field have been considerable. The use of Stochastic Volatility (SV) models is one of the latest developments in this area. Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.
The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

This volume includes papers on topics related to efficiency issues in U.S. and European equity and options markets, as well as the productive efficiency of various types of depository financial institutions. In the capital market context, the book highlights the provisions of efficient trading services in the capital markets and the role of market size, concentration, quality, governance and automation of trading. In the banking perspectives, the volume presents topics related to market integration, dynamic models of bank production, regulatory closure rules for banking firms, risk based insurance premiums in banking, and the economics of the research and development in private firms.

This book explores current financing options for small and medium size enterprises (SMEs), with particular insight into the European market. The authors position SME funding within a risk-averse lending environment with high regulatory costs on business loans, which has arisen from the recent financial crisis and new European bank capital regulations. Chapters in the book demonstrate how and why SMEs may be forced to leave the market and posit that shadow banking and other alternative funding options are viable channels for raising funds. A new and innovative SME credit risk model is also presented. This book will appeal to all who share an interest in sustainable solutions to issues in SME financing.

This book is about strategic asset allocation for institutional investors. It is an edited series of papers, from respected academics worldwide, on the latest developments in portfolio management, including new scientific articles that help to identify new trends. These expert studies can effectively improve the risk and return characteristics of your investment portfolio.

Infrastructure drives economic growth, jobs, quality of life, health and welfare, but public mechanisms for delivering infrastructure services face particular challenges of efficiency and politicized decision making. Public Private Partnerships (PPPs), if well designed and implemented, can provide Governments with more efficient, more effective, better managed, more transparent and more competitive sources of infrastructure services, financed through new sources of funding.

The recent evolution of an independent cross market, combined with the technological advancements in computerized trading marked the beginning of a new era in the Foreign Exchange Market. Triangular arbitrage among currencies, once only a theory, is now common practice for those with access to large amounts of money. This book illustrates how converting from one currency to another, then to another, and back to the original currency can be very profitable. This study provides the first direct and precise test of triangular arbitrage based on actual data.

A risk-free profit can be made by taking advantage of price discrepancies of a currency in several different markets. The study begins by reviewing past work on triangular arbitrage and provides a comprehensive review of the Foreign Exchange Market and the procedures of computerized trading. The author then presents the theory of triangular arbitrage, given a group of five major currencies. The last chapters develop methods of testing that are original and based on empiracal information. The author is careful to explain that profits arer dependent on many variables related to market volume, volatility, inefficiency, and unexpected news. The markets that consistently show the largest amounts of inefficiency are the dollar-pound-yen, dollar-mark-yen, and dollar-yen-franc markets. Inefficiencies in triangular arbitrage imply that risk-free profitable opportunities exist. Traders can take advantage of those opportunities by focusing their attention on the markets in which profitable opportunities are available.

This book examines Japanese Foreign Direct Investment (FDI) in the world economy over more than five decades. It provides a unique focus on the internationalisation experience of selected industries, such as forestry, textiles, electronics, motor vehicles, steel and services as well as case studies of individual firms. Roger Farrell considers the theoretical explanations for Japanese FDI and particular motivations which have been an ongoing rationale for FDI, including: * energy and resource security * the theme of retaining market access * the relocation of manufacturing to retain international competitiveness * withdrawal after the bubble economy * the new phase of investment in the 2000s. Japanese Investment in the World Economy is distinctive in that it examines overseas investment by firms in the primary, manufacturing and services sectors over the period in which the Japanese economy became the second largest in the world. The book provides a succinct overview of Japanese FDI of interest to professionals and students of business, economics, international relations, politics and Japanese culture.

In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management, and this trend will only accelerate in the coming years. Unfortunately there is a large gap between the limited treatment of portfolio construction methods that are presented in most university courses with relatively little hands-on experience and limited computing tools, and the rich and varied aspects of portfolio construction that are used in practice in the finance industry. Current practice demands the use of modern methods of portfolio construction that go well beyond the classical Markowitz mean-variance optimality theory and require the use of powerful scalable numerical optimization methods. This book fills the gap between current university instruction and current industry practice by providing a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods. The computational aspect of the book is based on extensive use of S-PlusA(R), the S+NuOPTa"[ optimization module, the S-Plus Robust Library and the S]Bayesa"[ Library, along with about 100 S-Plus scripts and some CRSPA(R) sample data sets of stock returns. A special time-limited version of the S-Plus software is available to purchasers of this book.

a oeFor money managers and investment professionals in the field, optimization is truly a can of worms rather left un-opened, until now! Here lies a thorough explanation of almost all possibilities one can think of for portfolio optimization, complete with error estimationtechniques and explanation of when non-normality plays a part. A highly recommended and practical handbook for the consummate professional and student alike!a

Steven P. Greiner, Ph.D., Chief Large Cap Quant & Fundamental Research Manager, Harris Investment Management

a oeThe authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software. Their book should be an enormous help to students and practitioners trying to move beyond traditional modern portfolio theory.a

Peter Knez, CIO, Global Head of Fixed Income, Barclays Global Investors

a oeWith regard to static portfolio optimization, the book gives a good survey on the development from the basic Markowitz approach to state of the art models and is in particular valuable for direct use in practice or for lectures combined with practical exercises.a

Short Book Reviews of the International Statistical Institute, December 2005

From the complexity of today's business world and its daily transactions has come a proliferation of new accounting standards. The Financial Accounting Standards Board has weighed in with its own pronouncements on the issues, but are they truly comprehensible and applicable? Riahi-Belkaoui explores these questions clearly, with numerous illustrations of the accounting techniques embedded in them, and offers interpretations designed to help accounting professionals deal with these problems in their work. Scholars, researchers, and students in the academic community will also find his analyses helpful and compelling.

Indonesia is the most populous Muslim country in the world. Taking into account also its endowment and potential economic resources, the Islamic banking industry in Indonesia was expected to take on an important role in facilitating more financial resources and to contribute to the internationalization of the Islamic mode of financing particularly in the Asia-Pacific region. However, the reality is far from the expectation. This book aims to clarify the causes and fundamental constraints leading to the extraordinarily low level of Indonesia's Islamic financial deepening. The authors draw on the traditions of Institutional Economics which are concerned with the rules or mechanisms of creating the 'incentive' and 'threat' for economic players because the rules (institutions) would matter as the determinant for economic development and economic efficiency. This book offers a fairly new analytical lens by hypothesizing that Islamic banks must earn additional profit- the authors coined as 'Islamic bank rent' - to maintain their franchise value as prudent Shari'ah-compliant lenders when compared to conventional banks. The authors argued that insufficient provision of the Islamic bank rent opportunity may have caused the Indonesia's Islamic banks the opportunity to learn and improve their skill and capacity for the credit risk management. The book also offers evidence in support of implementing economic and affirmative policy necessary for incubating and developing the Islamic banking industry in Indonesia and making Indonesia an international Islamic financial hub in the Asia-Pacific region. This book will be a useful resource for policy makers and researchers interested in Islamic banking in Indonesia.

The flow of capital to Third World countries in recent years has been less than expected for realizing their growth objectives. As a consequence, efforts have been redoubled to attract capital in the form of direct investment. The World Bank has proposed the establishment of a multilateral guarantee scheme, encompassing as many investing and host countries as possible, to reduce the risks associated with overseas investment.The authors analyze and comment on the necessity and suitability of the World Bank proposal. They examine earlier proposals for setting up multi lateral guarantee schemes and the reasons for their failure, develop an eco nomic frame of reference for analyzing the new proposal, describe and examine the World Bank plan, and present alternatives to it. They pay particular attention to two major assumptions of the plan: that additional foreign investment capital for developing countries could be mobilized on a large scale if the investment risks were reduced, and that existing national insurance schemes display shortcomings that could be avoided in a multilateral system.

This study provides a timely and useful benchmark for analysis of the effects of the recently negotiated North American Free Trade Agreement on investment flows. It also presents a unified history of foreign investment in Canada, Mexico, and the United States over the twentieth century, stressing interactions among these countries and their changing policies towards inward and outward investment. Twomey analyzes economic theories of foreign investment from the perspectives of neoclassical economics and political science and places them in the context of the ongoing debate over neo-protectionist policies and the role of the United States in the global economy.

Features Useful for practitioners and quants in the financial industry who need to make choices between pricing models of variance derivatives. Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products. Could be used as a textbook in a topic course on pricing variance derivatives at universities.

Value-creation in Middle Market Private Equity by John A. Lanier holistically examines the ecosystem relationships between middle market private equity firms and their portfolio companies. Small business is the job creating engine in the US economy, and consequently is a prime target market for private equity investment. Indeed, private equity backs over six of each 100 private sector jobs. Both the small businesses in which private equity firms invest, and the private equity firms making the investments, face inter- and intra-company fiduciary leadership challenges while implementing formulated strategy. The architecture of each private equity firm-portfolio company relationship must be uniquely crafted to capitalize on the projected return on investment that is memorialized in the investment thesis. Given the leveraged capital structure of portfolio companies, the cost of a misstep is problematic. Individual private equity professionals are typically members of multiple investment teams for the firm. Not only may each investment team have its own unique leadership style, but its diverse members have to assimilate styles for each team in which they participate relative to a specific portfolio company. Acquisitions and their subsequent integrations add exponential complexity for both private equity investment and portfolio company leadership teams; indeed, cultural integration ranks among the most chronic acquisition obstacles. Accordingly, the stakeholders of private equity transactions do well to embrace leadership best practices in applying value-creation toolbox best practices. The perspectives of both the private equity investment team and the portfolio company leadership team are within the scope of these chapters.

The most salient feature of security returns is uncertainty. The purpose of the book is to provide systematically a quantitative method for analyzing return and risk of a portfolio investment in di?erent kinds of uncertainty and present the ways for striking a balance between investment return and risk such that an optimal portfolio can be obtained. In classical portfolio theory, security returns were assumed to be random variables, and probability theory was the main mathematical tool for h- dling uncertainty in the past. However, the world is complex and uncertainty is varied. Randomnessis nottheonly typeofuncertaintyinreality, especially when human factors are included. Security market, one of the most complex marketsintheworld, containsalmostallkindsofuncertainty. Thesecurity- turns are sensitive to various factors including economic, social, political and very importantly, people's psychological factors. Therefore, other than strict probability method, scholars have proposed some other approaches including imprecise probability, possibility, and interval set methods, etc., to deal with uncertaintyinportfolioselectionsince1990's. Inthisbook, wewantto addto thetools existingin sciencesomenewandunorthodoxapproachesforanal- ing uncertainty of portfolio returns. When security returns are fuzzy, we use credibility which has self-duality property as the basic measure and employ credibilitytheorytohelpmakeselectiondecisionsuchthatthedecisionresult will be consistent with the laws of contradiction and excluded middle. Being awarethat one tool is not enough for solving complex practical problems, we further employ uncertain measure and uncertainty theory to help select an optimal portfolio when security returns behave neither randomly nor fuzzily. One core of portfolio selection is to ?nd a quantitative risk de?nition of a portfolio investment.

This compilation integrates various new contributions to the growing "real options" literature. Recent developments in the valuation of capital investment opportunities seen as real options (e.g. to defer, expand, abandon, or switch use) have provided the tools and unlocked the possibilities to revolutionize the field of capital budgeting. The resulting insights, strategies, and techniques enable quantifying the thus far elusive elements of managerial flexibility and various strategic interactions. In an uncertain and constantly changing world marketplace, managerial operating flexibility and strategic adaptability are vital to successfully capitalize on favorable future investment opportunities or limit losses from adverse market developments. This book presents various models and operating strategies, and a variety of applications ranging from acquisitions and divestitures, to natural resource development and pollution compliance. The book's contributions are divided into five parts, covering sections on real options and alternative valuation paradigms for capital investment analysis; on the analysis of general exchange or switching options, and interdependencies among multiple such options; on strategic acquisitions, infrastructure, and foreign investment options; on mean reversion/ alternative formulations in natural resource investments, shipping, and start-up ventures; and on other applications in pollution compliance, land development, flexible manufacturing, and financial default options. Both academic and practitioner interest in these developments is unusually high. The book can serve as supplementary material for the academic market, e.g., in advanced finance courses inoption pricing or capital budgeting, in doctoral seminars, and as a library resource. It may also be of interest to the professional market (e.g. corporate planners and finance executives in the oil, pharmaceutical, auto and a variety of other industries), academics from related areas (e.g. decision analysts or economists), as well as to international readers (academics, doctoral students, and professionals).