Books about finance

[md656]

Hi...

Do you know any books about finance that I can read to understand your
library?

I have one called "Financial Analysis" by Bill Rees (ISBN 0132882833) but
this doesn't cover everything in QuantLib. I need more. Who can help?

Mohammed

[Peter Schmitteckert-2]

Salut,

On Thursday 05 July 2001 16:02, you wrote:
> Hi...
>
> Do you know any books about finance that I can read to understand your
> library?

How about
Options, Futures & Other Derivatives", 4th edition
John C. Hull, ISBN 0-13-015822-4

Best wishes
Peter

[Gilbert Peffer]

>
>Hi...
>
>Do you know any books about finance that I can read to understand your
>library?
>
>I have one called "Financial Analysis" by Bill Rees (ISBN 0132882833) but
>this doesn't cover everything in QuantLib. I need more. Who can help?
>
>Mohammed

This is a highly non-trivial issue. The QuantLib library is by
industry-standards pretty sophisticated in its implementation details. There
is no single book I know from which one can extract the necessary info to
understand both the basic stuff (such as conventions or
real-world-yield-curve-boot-strapping) and the more advanced things
(instrument valuation [both cash and derivs]). So I would say that even
though Hull is an excellent book for both beginners and more advanced users,
it will not help that much in understanding, for instance, how to calculate
asset swap spreads or option adjusted spreads taking into account
nitty-gritty convention stuff or financing issues. An industry-style library
must take this into account, and code can easily become incomprehensible,
unless it comes with detailed tutorials [something to think about for the
literary inclined :) ].

My suggestion would be to pick out a specific area of interest or something
you need to implement and then mail the specific issues to the list. People
can then either point to references or explain how it works. But this is
just my opinion. Hull is still a good read.

Best wishes, Gilbert


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[md656]

> My suggestion would be to pick out a specific area of interest or
something
> you need to implement and then mail the specific issues to the list.
People
> can then either point to references or explain how it works. But this is
> just my opinion. Hull is still a good read.

What book is that by Hull?

OK. Let's begin with time series. Do you know where I can find info and
examples on how to predict the prices in different seasons?

Mohammed

[Gilbert Peffer]

>
>What book is that by Hull?

Intro to derivatives pricing with a practical/pragmatic edge.

>
>OK. Let's begin with time series. Do you know where I can find info and
>examples on how to predict the prices in different seasons?

There are a good deal of books on forecasting in the market (e.g.Forecasting
Financial Markets by Plummer). Depends very much on the kind of time series
one is looking at. There is a new book on asset return modelling (Stable
Paretian Models in Finance) which is very mathematical and requires some
good knowledge in the underlying maths stuff. I suggest you also look at the
books in Amazon. Unfortunately I can't give you any good advice since I am
not an expert in the area. Perhaps somebody else on the list is...

>
>Mohammed
>
>
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