This book introduces readers to a new approach to identifying stock market bubbles by using the illiquidity premium, a parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and ask prices of European options by using Black-Scholes and Kou models. By using the derived formulas and sliding windows technique, the book explains how to numerically calculate illiquidity premiums. The methods introduced here will enable readers interested in risk management, portfolio optimization and hedging in real-time to identify when asset prices are in a bubble state and when that bubble bursts. Moreover, the techniques discussed will allow them to accurately recognize periods of exuberance and panic, and to measure how different strategies work during these phases with respect to calmer periods of market behavior. A brief history of financial bubbles and an outlook on future developments serve to round out the coverage.

Private equity-backed companies are ubiquitous and economically significant. Consequently, the corporate governance of these companies matters to all of us, and - not surprisingly - is coming under increasing scrutiny. Simon Witney, a practicing private equity lawyer, positions private equity portfolio companies within existing academic theory and examines the laws that apply to them in the UK. He analyses the actual governance frameworks that are put in place and identifies problems created by the legal rules - as well as the market's solutions to them. This book not only explains why these governance mechanisms are established, but also what they are expected to achieve. Witney suggests that private equity owners have both the incentives and the capability to focus on responsible investment practices. Good governance, he argues, is a critical success factor for the private equity industry.

David Dreman's name is synonymous with the term 'contrarian investing', and his contrarian strategies have been proven winners year after year. Now Dreman offers four all-new contrarian investment tactics that are sure to deliver high-percentage returns, regardless of the size of your portfolio. These tactics have resulted in Dreman's High Return Equity Fund being the leader since its inception in 1988. Dreman reveals a proven, systematic, and safe way to beat the market by buying stocks of good companies when they are currently out of favour. At the heart of this book is a fundamental psychological insight: investors overact. Dreman demonstrates how investors consistently overvalue the so-called 'best' stocks and undervalue the so-called 'worst' stocks, and how earnings and other surprises affect the best and worst stocks in opposite ways. Since surprises are a way of life in the market, Dreman shows how to profit from these surprises with his ingenious new techniques, most of which have been developed in the nineties. Based on cutting-edge research and irrefutable statistics, David Dreman's revolutionary techniques will benefit everyone with an interest in the investment field, both professional and layperson.

This book provides a guide to 20 years of China's stock markets. Carl Walter and Fraser Howie analyze the changes that have occurred in all areas of China's securities industry including legal, regulatory, share structure, issuers, investor base, and market performance. These topics are examined in the context of the industry's overall development to highlight the market's current situation as China enters the new century.

An approachable guide to sustainable options trading, minimal luck needed. Traders who are successful long-term do not rely on luck, but rather their ability to adapt, strategize, and utilize available tools and information. Modern markets are becoming increasingly accessible to the average consumer, and the emergence of retail options trading is opening a world of opportunities for the individual investor. Options are highly versatile and complex financial instruments that were exclusive to industry professionals until recently. So where should beginners start? The Unlucky Investor's Guide to Options Trading breaks down the science of options trading to suit interested traders from any background. Using statistics and historical options data, readers will develop an intuitive understanding of the potential risks and rewards of options contracts. From the basics of options trading to strategy construction and portfolio management, The Unlucky Investor's Guide to Options Trading guides readers through the world of options and teaches the crucial risk management techniques for sustainable investing.

Godfrey Yeung investigates the causes and socio-economic effects of foreign direct investment in the Dongguan municipality of southern China during the 1990s. As the first comprehensive research based on primary quantitative and qualitative data undertaken in Dongguan, it illustrates that the inflow of foreign capital has both 'desirable' and undesirable' socio-economic effects. Yeung proposes a new 'dynamic symbiosis' paradigm of foreign direct investment in order the illuminate the complex political and socio-economic relationships of the area.

The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. The first half of Volume III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations.

Raise your trading game by incorporating lessons from outside the financial markets In The Complete Trading System: How to Develop a Mindset, Maximize Profitability, and Own Your Market Success, veteran trading strategist Casey Stubbs delivers a comprehensive and holistic guide to making money in the financial markets. In the book, the author presents an insightful framework for focusing your entire lifestyle on the art of trading and for harmonizing the different components of your trading strategy. You’ll learn to set the foundations for successful trading and develop your mindset into one that’s capable of dominating the markets. You’ll also discover: A deep understanding of how markets move and what that says about what’s going on behind the scenes Leverage momentum to find accurate and powerful entries and exploit market flow and key levels to get an edge on bank traders Use candlestick and chart patterns to obtain confirmation and improve confidence in your trades An essential resource for market participants and day traders, The Complete Trading System is a singular and incisive roadmap to improving your risk-adjusted returns in the financial markets.

This book is based on the proceedings of The Electronic Call Auction: New Answers to Old Questions, a conference hosted by the Zicklin School of Business on May 16, 2000. The text includes the edited transcripts of the panel discussions and separate addresses by three major industry executives Douglas M. Atkin, formerly President and CEO, Instinet Corporation; Kenneth D. Pasternak, formerly President and CEO, Knight/Trimark Group, Inc., and William J. Brodsky, Chairman and CEO, Chicago Board Options Exchange. The electronic call auction is an important trading vehicle in many market centers around the world, but is not well understood in the US. What are call auctions? How should they be designed and integrated with continuous trading in a hybrid market structure? As call auctions play a more central role in the US markets, how will they affect market quality in terms of transparency, order flow consolidation, and price discovery? These and other critical questions were asked at the conference while the efficiency of the US markets was broadly assessed.

Make the best choices for your money and earn big with this guide to high-risk, high-reward investment strategies including options trading, investing in meme stocks, and the business of cryptocurrency. Your favorite sites are filled with the latest investment trends and stories of other people making bank by making smart moves in the market. But how can you get your own share of the wealth? A Beginner's Guide to High-Risk, High-Reward Investing can help you make sense of trends, from short selling to cryptocurrency and "meme stock," breaking down the buzzwords to give you hard facts about the opportunities and risks of fringe investment strategies. With advice from expert Robert Ross, this easy-to-follow investing guide gives you everything you need to determine which high-risk, high-reward investment strategies are the best fit for your portfolio.

Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled."

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.

This book takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics is covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance.

The accompanying CD with additional Excel sheets includes the mathematical models covered in the book.

The book also includes interviews with some of the world's top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:

Nassim Taleb on Black Swans

Edward Thorp on Gambling and Trading

Alan Lewis on Stochastic Volatility and Jumps

Emanuel Derman, the Wall Street Quant

Peter Carr, the Wall Street Wizard of Option Symmetry and Volatility

Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration

Stephen Ross on Arbitrage Pricing Theory

Bruno Dupire on Local and Stochastic Volatility Models

Eduardo Schwartz the Yoga Master of Quantitative Finance

Aaron Brown on Gambling, Poker and Trading

Knut Aase on Catastrophes and Financial Economics

Elie Ayache on Modeling

Paul Wilmott on Paul Wilmott

Andrei Khrennikov on Negative Probabilities

David Bates on Crash and Jumps

Peter Jackel on Monte Carlo Simulation

Most investors get their financial information from the media, but this is not always the best way to unlock the secrets that lead to real financial success. This book is a treasure trove of information on the inner workings of the finance establishment by a Bloomberg insider. What do the top CEOs know? What information do brokers keep from their clients? What are analysts on TV not telling you? This is a must-have for both professional and private investors.

Closed-End Investment Companies (CEICs) were the dominant form of investment companies in the United States during the early part of this century, but interest in them declined after the 1929 stock market crash. Since 1985, however, there has been a significant revival of interest in CEICs. A substantial amount of academic research has focused on the nature of closed-end funds, discounts and premiums, and on the share price behavior of these firms, which often results in the prices differing from the net asset value of the shares. This book is designed for the academic researcher interested in CEICs and the practitioner interested in using CEICs as an investment vehicle. The authors summarize the evolution of CEICs, present the factors that cause CEIC shares to trade at different levels from their net asset values, provide a complete survey of the academic literature on this topic, and summarize the current state of research on CEICs.

For investors from across the world, UK residential property is seen as one of the best investments available. This is for good reason. It has a track record of delivering strong, stable returns in a way that is relatively easy to understand and implement. The trouble is, the market has changed. The investors of the future value sustainability more than ever before. There is unprecedented and growing demand for Environmental Social and Governance (ESG) investing, now worth $30 trillion in Assets Under Management each year, around a quarter of all professionally managed assets. The traditional goal of profit maximisation is being replaced. Investments must increasingly be profitable as well as sustainable: economically resilient with positive ESG metrics. Yet the UK residential property market - worth over GBP7.5 trillion - is lagging behind. There is very little clear, easily usable guidance for those responsible for a huge proportion of the market: private investors. The positive impacts of sustainable property investing - for profit-motivated investors, people and the planet - could be huge. The financial, environmental and social costs of getting it wrong could be catastrophic. To get this right and to avoid the risks of getting it wrong, it is vital to understand: * What sustainable residential property investing is * What needs to change and * How, on a practical level, you can invest in a way that is both profitable and sustainable. This book draws on expertise from within and beyond real estate, provides a simple framework for updating your approach. It highlights common mistakes and shares advice so that you can avoid them. Ultimately, it's about answering the question of the decade: 'How can I invest profitably with positive impacts?'

Starting from scratch, it took the world's greatest investor, Warren Buffett, nearly five decades to make his first $100m. This book explains the reasoning behind each investing milestone on that journey, tracks the deals he made and shows how they added to his wealth.Without much of an idea about investing in shares at the beginning, Buffett had to develop his investment philosophy, and learn through success and failure how to select companies worth backing. It was not all plain sailing, with many mistakes along the way; and there were long periods of frustration with the market. The fact that Buffett made errors is quite reassuring for other investors. The key is to learn from them, and to accept with evenness of temper the many bumps in the road.

Smart Portfolios is about building and maintaining smart investment portfolios. At its heart are the three key questions every investor needs to answer: 1. What to invest in. 2. How much to invest. 3. When to make changes to a portfolio. Author Robert Carver addresses these three areas by providing a single integrated approach to portfolio management. He shows how to follow a step-by-step process to build a multi-asset investment portfolio, and how to rebalance the portfolio efficiently. He covers both investment in collective funds like ETFs, and also direct investment in individual equities. Important features include: -- Why forecasting future returns is so difficult, and how to account for uncertainty when making investment decisions. -- How to accurately calculate the true costs of an investment, including costs that you may not even be aware of. -- How to select the best ETF for each asset class. -- How to compare the costs and other features of different ETFs. -- How to select individual shares. -- Calculating the number of shares needed for adequate diversification. -- How to use systematic forecasting algorithms to adjust portfolio allocations. -- How to cut trading costs through smart rebalancing strategies and execution tactics. Robert Carver also explains how to blend assets with different levels of risk, and how to construct portfolios that suit the level of risk that the investor can cope with. Smart Portfolios is detailed, comprehensive, and full of practical methods, rules of thumb and techniques, all fully explained with examples. It is intended for professional investors worldwide, including financial advisors, private bankers, wealth managers and institutional funds; as well as experienced private investors.

'Written in a clear and straightforward style, and well grounded in succinct and pertinent analysis...It will prove a boon to students and practitioners alike as moves proceed towards European integration.' - British Book News;This volume identifies and analyses the extent to which the countries of Central and Eastern Europe are likely to attract inward foreign direct investment (FDI) to the turn of the century. Although these countries have been growing recipients of FDI, Western multinationals remain cautious and are slow to commit large investment sums. The book covers the contextual and thematic aspects of FDI as well as empirical country studies (including the Commonwealth of Independent States, Hungary, Poland and Slovenia) which address the legal environment for FDI, its magnitude and motives and industrial breakdown. The final section discusses the potential for closer economic and political integration in Europe.

In the middle decades of the nineteenth century Jeremiah G. Hamilton was a well-known figure on Wall Street. Cornelius Vanderbilt, America's first tycoon, came to respect, grudgingly, his onetime opponent. The day after Vanderbilt's death on January 4, 1877, an obituary acknowledged that "There was only one man who ever fought the Commodore to the end, and that was Jeremiah Hamilton." Hamilton, although his origins were lowly, possibly slave, was reportedly the richest black man in the United States, possessing a fortune of $2 million, or in excess of two hundred and $50 million in today's currency. In this ground-breaking and vivid account, eminent historian Shane White reveals the larger than life story of a man who defied every convention of his time. He wheeled and dealed in the lily white business world, he married a white woman, he bought a mansion in rural New Jersey, he owned railroad stock on trains he was not legally allowed to ride, and generally set his white contemporaries teeth on edge when he wasn't just plain outsmarting them. An important contribution to American history, the Hamilton's life offers a way into considering, from the unusual perspective of a black man.

Master the lucrative discipline of quantitative trading with this insightful handbook from a master in the field In the newly revised Second Edition of Quantitative Trading: How to Build Your Own Algorithmic Trading Business, quant trading expert Dr. Ernest P. Chan shows you how to apply both time-tested and novel quantitative trading strategies to develop or improve your own trading firm. You'll discover new case studies and updated information on the application of cutting-edge machine learning investment techniques, as well as: Updated back tests on a variety of trading strategies, with included Python and R code examples A new technique on optimizing parameters with changing market regimes using machine learning. A guide to selecting the best traders and advisors to manage your money Perfect for independent retail traders seeking to start their own quantitative trading business, or investors looking to invest in such traders, this new edition of Quantitative Trading will also earn a place in the libraries of individual investors interested in exploring a career at a major financial institution.

This study is an independent scholarly analysis of the economics of the grain futures contracts of the Chicago Board of Trade. The study was made possible by a research grant to the MidAmerica Institute from the Chicago Board of Trade, and we gratefully acknowledge this financial support, as well as the information and vast body of experience made available to us by the Division of Economic Analysis and members of the Exchange. Several other organizations also provided invaluable help from the inception of this study through the full process, either in the form of information, or through discussion: the Commodity Futures Trading Commission, the U.S. Department of Agriculture, the National Grain and Feed Association, the American Soybean Association, the Senate Committee on Agriculture, Nutrition and Forestry, the House Committee on Agriculture, the General Accounting Office, and the Center for the Study of Futures and Options Markets at Virginia Polytechnic and State University. We express our thanks. The primary authors wish to extend a special word of apprecia tion to Michael Brennan, Merton Miller, Richard Roll, Hans Stoll and Lester Telser, who served as members of the Resource Panel for the study. While key strengths of the study reflect their input, ultimate responsibility for the analysis rests with the primary authors."