Computational Economics and Finance: Modeling and Analysis with Mathematica (Economic & Financial Modeling with Mathematica)

Book Description

As with the first volume, Volume Two of Economic and Financial Modeling with Mathematica is edited by Hal Varian, and its contributors are carefully selected by him to assure a high quality, practical work reflecting the efforts and expertise of an international cadre of Mathematica users from the economic, financial, investments, quantitative business and operations research communities.

Customer Reviews:

Somewhat dated...but still helpful.......2002-01-19

For the reader well-versed in Mathematica and in economic theory, this book gives a fairly good overview of how Mathematica can be used to study mathematical economics and finance. It is also assumed in the articles in the book that the reader has a strong background in mathematics. Since the book was published in 1993, Mathematica has considerably expanded, with many new features that make some of the accompanying code in the book somewhat dated, but the notebooks can still be used beneficially.In addition, economic theory is currently making more use of symbolic programming, and financial analysis has exploded as an area which is now making heavy use of high-performance computing. Although Mathematica cannot compete from a performance standpoint with the needs of financial engineering, it still has an advantage from a didactic standpoint. I did not read all of the articles in the book, so my comments will be limited to the ones that I did.

The article on "Mathematica and Diffusions" is an overview of how to use Mathematica to do stochastic calculus. The Ito calculus is reviewed briefly, and the authors begin with constructing a Weiner process. The Mathematica package they employ and on the disk accompanying the book is not discussed in detail, but is merely used to simulate realizations of the process. Readers who want a more in-depth view will have to go over the code themselves. The authors use the package to generate realizations of Weiner processes that are correlated with each other, and show this correlation via Mathematica graphics. The Black-Scholes formula is derived using the standard self-financing trading strategy and ignoring transaction costs and dividends. The algebraic manipulations are done with Mathematica, and this obscures (a little) the underlying concepts behind the derivation of this important formula. Since data structures in Mathematica are essentially lists, the authors outline the construction of the data structure that could be used to represent a diffusion, namely a list consisting of five terms: the diffusion, Weiner process name, expression for the drift and dispersion, and the initial value. For the reader familiar with OO-programming, accessor functions are used to extract the components of this data structure. This is a nice move by the authors, for it is an example of how Mathematica can be used to emulate OO-programming.

The article "Itovsn3: Doing Stochastic Calculus with Mathematica" is an overview of how to use the Itovsn3 package that is on the disk to implement Ito calculus. It is assumed that the reader has a background in stochastic calculus, since the author does not give a review. However, semimartingales, so important to those working in financial engineering, are discussed and their statistical behavior described using Mathematica. The Ito formula is presented as a semimartingale-type decomposition for smooth function of Brownian motion and the author shows using Mathematica plots how the higher order terms in the second-order Taylor expansion vanish asymptotically. This article is not merely Mathematica code for Ito calculus, for the author gives an example of how to use the package in a hedging problem.

The article "Option Valuation" is a more detailed overview of how to use Mathematica in the context of the Black-Scholes model to perform options valuation and risk management. Heavy use is made of the graphics capability of Mathematica to illustrate how option values change as a function of stock price and time of expiration. The author also shows how Mathematica can be used as a OO-language to treat options as self-contained objects with accessor functions. He does however state that Mathematica does not live up to the OO toolkits available elsewhere, contrary to my experience. He closes the article with a consideration of how to use Mathematica to value options that can be exercised before expiry, the binomial model playing the central role in the discussion. It is here in particular that the performance of Mathematica is readily felt. The numerical number-crunching needed to do the calculations in these types of models cannot be done in Mathematica efficiently and profitably.

Book Description

One of the most important tasks in finance is to find good mathematical models for financial products, in particular derivatives. However, the more realistic the model, the more practitioners face still-unsolved problems in rigorous mathematics and econometrics, in addition to serious numerical difficulties. The idea behind this book is to use Mathematica® to provide a wide range of exact benchmark models against which inexact models can be tested and verified. In so doing, the author is able to explain when models and numerical schemes can be relied on, and when they can't. Benchmarking is also applied to Monte Carlo simulations. Mathematica's graphical and animation capabilities are exploited to show how a model's characteristics can be visualized in two and three dimensions. The models described are all available on an accompanying CD that runs on most Windows, Unix and Macintosh platforms; to be able fully to use the software, Mathematica 3 is required, although certain features are usable with Mathematica 2.2. This product will prove of inestimable worth for financial instrument valuation and hedging, checking existing models and for analyzing derivatives; it can be used for professional or training purposes in financial institutions or universities, and in MBA courses.

Customer Reviews:

Excellent Practical Tool for Financial Engineers.......2002-06-07

I found William Shaw's book fascinating when I first bought it back in 1999 and have recently gone back to it for some further insight on some complex problems in finance.
It is a well-structured book that requires a basic understanding of both quantitative finance and Mathematica before you can really get to grips with it BUT having said that the complexity that the author gets to is excellent.
I would recommend this book to anyone in University studying for a Quant-rlated finance Masters or PhD - and anyone practicing in the real world - this should be on your shelf alongisde your copy of Mathematica.

A potentially very good book with a very messy presentation........2001-08-13

My comments are confined to the chapters on trees and finite difference methods, because that was my primary interest in buying the book. I'll say one positive thing about this book -- it does touch on many pitfalls of pricing derivatives with numerical methods such as finite differences and trees.

However my chief complaint is with the way the (very interesting and important) contect is presented -- Shaw simply contents himself with showing pages and pages of mathematica code, which is ugly and annoying to read. He doesn't even use indentations or keyword-highlighting to make the Mathematica code easier to read. What an unbelievable four-letter-word mess! Many mathematical concepts are buried within Mathematica code. A much better book would have resulted if he sat down and presented math as math rather than as Mathematica code. Very disappointing work from a writer who clearly seems to have an in-depth knowledge of finite difference methods.

Highly recommended for researchers in finance.......2001-07-14

It is highly recommended for its broad base of knowledge. People who want to do research in the field of finance must be equipped with this book.

Splendid.......2001-05-01

This is fascinating work, probably Shaw'a best. A real page turner, it keeps a reader glued until the last page. I must reccomend this book very highly, whether you are a serious student of finance or not.

Further author comments on reader comments.......2001-02-21

Some recent comments seem to require response.

1. The Parkville, Aus reader seems to be confused about the use of Monte Carlo simulation. The MC methods use LOG-normal methods, not Normal. Note that one can use several methods for simulating paths of asset prices. I have highlighted 3 approaches (i) fine clockwork paths, (ii) coarse clockwork paths, (iii) "events" or arbitrary time intervals (pp 407-411). Choice (i) should NOT be used for large time intervals or large volatility, as method (i) is based on the differential, and hence, for finite time intervals, approximate, form of the random walk, whereas (ii) and (iii) use the accurate integrated form, and will never give negative asset prices. In fact the book is generally rather clear on the need to avoid negative asset prices, and, in the case of tree models, carefully avoids either negative asset prices or probabilities, unlike most other texts!

Book Description

The years 1920-1970 saw revolutionary change in the character of the monetary system as a consequence of depression, war, and finally prosperity. The same years saw equally revolutionary change in the character of economic ideas as the rise of statistics, Keynesian economics, and then Walrasian economics transformed the style of economic explanation. The two lines of change reinforced one another, as monetary events posed new questions that required new conceptual approaches, and as monetary ideas suggested possible directions for monetary policy.

Against this background of change, Perry Mehrling tells a story of continuity around the crucial question of the role of money in American democracy, a question associated generally with the Progressive tradition and its legacy, and more particularly with the institutionalist tradition in American economic thought. In this story, which he tells through the ideas and lives of three prominent institutionalists, Allyn Young, Alvin Hansen, and Edward Shaw, progress is measured not by the swings of fashion between two polar traditions of monetary thought--quantity theory and anti-quantity theory--but rather by the success with which each succeeding generation finds its footing on the shifting middle ground between the two extremes.

More than a simple history of monetary doctrine, the book makes a case for the continuing influence of a distinctly American tradition on the evolution of economic thought in general. In this tradition, monetary and financial institutions are shaped by historical forces and adapt to the changing needs of the economy.

Customer Reviews:

American Monetary Thinking of 3 Institutionalists, 1920-70-.......1998-07-23

Mehrling's uses the intellectual biographies of Allyn Young, Alvin Hansen and Ed Shaw to illustrate changes in American monetary thought from 1920-70. Young died in 1929 at the age of 52, too young to test his ideas under conditions of the Great Depression, but this sectionshows how the origins of the Federal Reserve system were supported by populists from the Middle West. Alvin Hansen was the most important of the three in terms of influencing economic policy. The great strength of Mehrling's book is his treatment of the relationship between Keynes's ideas in the General Theory, which were more influenced by revolting against Marshall, and those of Hansen, who made his reputation studying business cycles and whose pre-Keynesian ideas came out of the Continrntal historical school and were more like those of Schumpeter. Although it took Hansen some time to adjust to the General Theory, his famous seminar at Harvard in 1937 helped him understand the importance of Keynesia! n thinking. Like Keynes, he was able to change his ideas even though he was already in his fifties. He also used Keynes's conversion from neo-Malthusianism to pro-natalism to buttress his own secular stagnation hypothesis. He was most active in the late New Deal and pushed for the Keynesian thinking at Bretton Woods after the war. Ed Shaw, the last of the Mehrling trio, was noted for his building of the economics department at Stanford after the war. Shaw was a non-Keynesian from the beginning, even criticizing the deficit-financing of World War II. One of Shaw's recruits was Jack Gurley, who co-edited the second edition of Shaw's classic text and who introduced Keynesian thinking, making it more mainstream. Shaw, himself, was isolated from the profession despite his early adoption of many Friedman positions.

THE MONEY INTEREST AND THE PUBLIC INTEREST. American Monetary Thought, 1920-1970.

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THE MONEY INTEREST AND THE PUBLIC INTEREST. American Monetary Thought, 1920-1970.
Perry G.: Mehrling
Manufacturer: Prentice-Hall,
ProductGroup: Book
Binding: Hardcover
ASIN: B000NWZTJ2

Book Description

The Internet is revolutionizing retail merchandising and shopping. Software agents are capable of automating the more routine, tedious and time consuming tasks involved in the trading process, and they may be able to negotiate and make autonomous decisions and commitments on behalf of their owners. Internet Commerce and Software Agents: Cases, Technologies and Opportunities addresses some major Internet commerce issues and the challenges to be met in achieving automated and secure Internet trading. Among the topics covered include the development of intelligent tools, business models to maximize the benefits of agent technologies, agent based payments, recommender systems, web based smart card agents, Internet lottery systems and wireless virtual communities.

Average customer rating:

Super Dry, Offers Little Viable Information, Save Your $$$

Your Life In Trade, A Contractor's Guide To Success
Amos Avitan
Manufacturer: Amos Avitan
ProductGroup: Book
Binding: Paperback

General | Business & Investing | Subjects | Books
General | Small Business & Entrepreneurship | Business & Investing | Subjects | Books
ASIN: 0968971520

Book Description

Not all of us are born with business instincts; we must learn and develop them. The best method is to learn from other people's experiences. People who have successfully traveled the road can bring you STRENGHTS, TIPS & TECHNIQUES in all areas of a contractor's business. That is the intention of this book.

YOUR LIFE IN TRADE is essential for the budding contractor and is invaluable for those who are struggling with the challenges of building a successful business. By implementing the systems and procedures described in this book, you can succeed at building a growing a solid, profitable and rewarding business.

THIS COMPREHENSIVE MANUAL IS PACKED WITH VALUE FOR ANYONE WITH A CONTRACTING BUSINESS.

· Discover bidding strategies that can result in winning four out of five estimates.

· Follow the step-by-step instructions on how to smoothly manage cashflow and budgeting. Write a great business plan. Learn tips on great negotiation skills and how to protect your receivables.

· Take advantage of the information and systems contained in over 30 charts and sample tables.

Customer Reviews:

Super Dry, Offers Little Viable Information, Save Your $$$.......2006-07-26

I was wondering why no one had given a review of this book since it's been published 3 years ago. Now I know why.

The book is super dry and starts off with facts and figures about estimating and other contracting nitty-gritty stuff.

I was mostly interested in the marketing portion...yet that never manifested itself in this book. It was nothing more than a super dry book on estimating and invoicing riddled with information on this guy's life story.

I wanted to give this 2 stars but I can't because the dry information is viable and important. It just wasn't what I was looking for.

Save your $25 and get something that actually has some reviews. Never again will I buy a book that has no reviews that has been published for more than 1 year.

Average customer rating:

A must read for all professionals!

The Director had a Heart Attack and the President Resigned: A Handbook on Board-Staff Relations
Gerald B. Bubis
Manufacturer: Center for Jewish Community Studies
ProductGroup: Book
Binding: Paperback

General | Organizational Behavior | Business & Investing | Subjects | Books
General | Business & Investing | Subjects | Books
Leadership | Management & Leadership | Business & Investing | Subjects | Books
Running Meetings & Presentations | Skills | Business & Investing | Subjects | Books
Similar Items:

On Being Nonprofit: A Conceptual and Policy Primer

Good to Great: Why Some Companies Make the Leap... and Others Don't

ASIN: 9652180378

Book Description

This volume offers a solid manual on how to deal with the realities and practicalities of board-staff relations, principally but not exclusively in Jewish organizations. It contains thoughtful articles dealing with the issues of the governance of non-profit organizations and board-staff relations of those non-profits. Also included are over fifty scenarios from real life, short case studies of true situations which touch on most of the problems that volunteers and professionals confront in the course of their working together. A third section contains tools and exercises for dealing with different kinds of board and staff problems.

Customer Reviews:

A must read for all professionals!.......1999-11-16

Bubis does it again. He's a leader in the field and his insights are welcomed for all professionals working in the non-profit field. The book mentions issues current in the field that others have failed to deal with, especially with those working with Boards and Committees.

Book Description

The ultimate guide to over 1,500 of the best Internet employment sites for conducting a well organized job search.

Customer Reviews:

America's Top Internet Job Sites by Krannich.......2005-12-01

This volume produces classic research engines and E-mail addresses consistent with job hunting and research. The book lists well-known distance learning on the net. i.e. detc.org educationdirect.com and uwex.edu (clearinghouse)

The distance learning industry has grown to a $120B market with
18,000 programs at the post-secondary level. The Old Dominion
University, umuc.edu, apus and careeronestop are important
job-training and job-hunting sites. A strength of this work is that it provides very specific information on internet sources.
The acquisition is current. It is a solid value for the price
charged.

Over a thousand great websites for savvy job seekers.......2003-11-14

Over a thousand great websites for savvy job seekers are featured in a title which examines employment websites from the perspective of job seekers. From using search engines and exploring gateway employment sites to networking and mentoring and accessing Usenet newsgroups, America's Top Internet Job Sites is packed with important information.

A quick and easy guide to finding a job online.......2001-12-10

Want a quick and easy guide to finding a job online? Choose Ron and Caryl Krannich's America's Top Internet Job Sites, which lists well over a thousand web sites for job seekers. Keys to using search engines, directories ,and gateway employment and employer sites provide invaluable information and tips.

Book Description

Newly revised to provide the latest in personal financial planning techniques and investment strategies, this book includes a step-by-step plan to help reduce taxes, increase investment income, build wealth, and plan for a more secure retirement.

Book Description

In February of 1996, Columbia University and New York University marked the centennial of the French labor movement by jointly sponsoring a conference to reflect on the history of this movement and on the future prospects for trade unionism in France. A Century of Organized Labor in France is a collection of papers presented at that conference, written by distinguished historians and social scientists from both France and the United States, as well as by important French trade union leaders. Offering an interdisciplinary approach that is rare among studies on this subject, this volume examines the trajectory of the French labor movement and provides rich lessons for students of contemporary France, Western European politics and society, and comparative labor movements.

Le Rendez-Vous: France TV showcase hits top mark.(French TV Screenings organized by TV France International ): An article from: Video Age International

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Le Rendez-Vous: France TV showcase hits top mark.(French TV Screenings organized by TV France International ): An article from: Video Age International
Leah Hochbaum
Manufacturer: TV Trade Media, Inc.
ProductGroup: Book
Binding: Digital

Book Description

This digital document is an article from Video Age International, published by TV Trade Media, Inc. on September 1, 2002. The length of the article is 518 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Le Rendez-Vous: France TV showcase hits top mark.(French TV Screenings organized by TV France International )
Author: Leah Hochbaum
Publication: Video Age International (Magazine/Journal)
Date: September 1, 2002
Publisher: TV Trade Media, Inc.
Volume: 22 Issue: 6 Page: COV(2)

Distributed by Thomson Gale

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Organized Business in France
Henry Ehrmann
Manufacturer: Princeton University Press
ProductGroup: Book
Binding: Unknown Binding
ASIN: B0000CK05W

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Organized Business in France
Henry Walter Ehrmann
Manufacturer: Greenwood Press Reprint
ProductGroup: Book
Binding: Hardcover

Company Profiles | Biography & History | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Production & Operations | Management & Leadership | Business & Investing | Subjects | Books

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Organized Business in France
Henry Walter Ehrmann
Manufacturer: Greenwood Press Reprint
ProductGroup: Book
Binding: Paperback
ASIN: B000OTP0QQ

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