Coruscation

Review Paper. Interest-rate term-structure pricing models: a review
Riccardo Rebonato

Interest-rate term structure modelling from the early short-rate-based
models to the current developments; use models for pricing complex
derivatives or for relative-value option trading. Therefore, relative-pricing
models are given a greater emphasis than equilibrium models.

The current state of modelling owes a lot to how models have
historically developed in the industry, and stresses the importance
of 'technological' developments (such as faster computers or more
efficient Monte Carlo techniques) in guiding the direction of theoretical
research.

The importance of the joint practices of vega hedging and daily
model-recalibration is analysed in detail. The relevance of market
incompleteness and of the possible informational inefficiency of
derivatives markets for calibration and pricing is also discussed.

Continue reading "Interest-rate term-structure pricing models: Riccardo Rebonato" »

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Way of The Turtle, by Curtis Faith.

Relatively simple trading systems can provide a
tradable edge, but it is psychologically difficult
for traders to follow these systems and exploit
that edge.

Recommended via Traderfeed Brett and Abnornal.

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The Kübler-Ross model describes, in five discrete stages,
the process by which people deal with grief and tragedy

Enumeration of stages (1969)

The stages are:

1. Denial - The initial stage.: "It can't be happening."
2. Anger .: "How dare you do this to me?!" (either referring to God, the deceased, or oneself)
3. Bargaining .: "Just let me live to see my son graduate."
4. Depression .: "God please don't take him away from our family"
5. Acceptance .: "I know my son will be in a better place"

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The Comedy Central audience is more serious than its reputation
allows. The public may still think of the “Daily Show” and “Colbert Report”
audience as a group of sardonic slackers, Gen-Y college students
who prefer YouTube to print. But publishers say it’s a much more
diverse demographic — and more important, a book-buying audience.

“It’s the television equivalent of NPR. You have a very savvy, interested
audience who are book buyers, people who do go into bookstores,
people who are actually interested in books.”

-- Martha K. Levin, of Free Press.

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Atrios's bookshelf.
A former economist, indeed.

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Nassim Nicholas Taleb, Fooled By Randomness (and black swans), with
bloglike-notebook.

Black Swan discussion: MeFi, Telergraph

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Economics Books, Economics texts via Alex and Tyler (MR).

This list lacks empirical, practitioner guidance, such as
Econometric Analysis by William H. Greene.

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Visualization and segmentation: Gelman's

Bag of tricks for teaching statistics.

.

See also Gelman's Data Analysis Using Regression and Multilevel/Hierarchical Models.

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Stephen Roach of Morgan Stanley New York revisits value analysis by Graham and Dodd.
Optimistic ?

Refs: Security Analysis by Benjamin Graham and David Dodd.

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New Palgrave Dictionary of Economics and the Law is previewed
(links to chapter PDFs) at the New Economist.

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Dave Cross, London based perl guy, has long been in my pingoshere.

Picks up on techs trends, not ASAP, but as they start crossing the
chasm. And summarizes them.
Also a fierce advocate for good customer service, with
emphasis on forthcoming non-deceitfulness over pampering.
And lefty local pantser.

Update 2006 Mar 01: Now on OnLamp.

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R Graphics by Paul Murrell shipped.

Previously announced.

Continue reading "r graphics (Paul Murrell) is out" »

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Functional data analysis (FDA) handles longitudinal data and treats
each observation as a function of time (or other variable). The
functions are related. The goal is to analyze a sample of functions
instead of a sample of related points.

FDA differs from traditional data analytic techniques in a number of
ways. Functions can be evaluated at any point in their domain.
Derivatives and integrals, which may provide better information (e.g.
graphical) than the original data, are easily computed and used in
multivariate and other functional analytic methods.

S+Functional Data Analysis User's Guide
by Douglas B. Clarkson, Chris Fraley, Charles C. Gu, James O. Ramsay

Functional Data Analysis (Springer Series in Statistics) (Hardcover)
by J. Ramsay, B. W. Silverman

Covers topics of linear models, principal components, canonical
correlation, and principal differential analysis in function spaces.

Applied Functional Data Analysis (Paperback)
by J.O. Ramsay, B.W. Silverman

Bernard W. Silverman's code site Applied Functional Data Analysis: Methods and Case Studies

Continue reading "Functional data analysis (FDA)" »

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Mathematical Statistics with MATHEMATICA,
Colin Rose, Murray D. Smith (Hardcover)

The mathStatica software, an add-on to Mathematica, provides a
toolset specially designed for doing mathematical statistics. It
enables students to solve difficult problems by removing the technical
calculations often associated with mathematical statistics. The
professional statistician will be able to tackle tricky multivariate
distributions, generating functions, inversion theorems, symbolic
maximum likelihood estimation, unbiased estimation, and the checking
and correcting of textbook formulas. This text would be a useful
companion for researchers and students in statistics, econometrics,
engineering, physics, psychometrics, economics, finance, biometrics,
and the social sciences.

Companion site mathStatica.com

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The Handbook of Fixed Income Securities
Edited by Frank Fabozzi

Hardcover: 1500 pages
Publisher: McGraw-Hill; 7 edition (April 1, 2005)
ISBN: 0071440992

Part 1. Background.
1. Overview of the Types and Features of Fixed Income Securities.
2. Risks Associated with Investing in Fixed Income Securities.
3. A Review of the Time Value of Money.
4. Bond Pricing and Return Measures.
5. Measuring Interest Rate Risk.
6. The Sturcture of Interest Rates.
7. Bond Market Indexes.

Part 2. Government and Private Debt Obligations.
8. U.S. Treasury and Agency Securities.
9. Municipal Bonds.
10. Private Money Market Instruments.
11. Corporate Bonds.
12. Medium-Term Notes.
13. Inflation-Indexed Bonds (Tips).
14. Floating-Rate Securities.
15. Nonconvertible Preferred Stock.
16. International Bond Markets and Instruments.
17. Brady Bonds.
18. Stable Value Investments.

Part 3. Credit Analysis.
19. Credit Analysis for Corporate Bonds.
20. Credit Considerations in Evaluating High-yield Bonds.
21. Investing in 11 and Other Distressed Companies.
22. Guidelines in the Credit Analysis of General Obligation and Revenue Municipal Bonds.
23. High-Yield Analysis of Emerging Markets Debt.

Part 4. Mortgage-Backed and Asset-Backed Securities.
24. Mortgages and Overview of Mortgage-Backed Securities.
25. Mortgage Pass-Throughs.
26. Collateralized Mortgage Obligations.
27. Nonagency CMOs.
28. Commercial Mortgage-Backed Securities.
29. Securities Backed by Automobile Loans.
30. Securities Backed by Closed-End Home Equity Loans.
31. Securities Backed by Manufactured Housing Loans.
32. Securities Backed by Credit Card Receivables.

Part 5. Fixed Income Analytics and Modeling.
33. Characteristics of and Strategies with Callable Securities.
34. Valuation of Bonds with Embedded Options.
35. Valuation of CMOs.
36. Fixed Income Risk Modeling.
37. OAS and Effective Duration.
38. Evaluation Amortizing ABS. A Primer on Static Spread.

Part 6. Portfolio Management.
39. Bond Management. Past, Current, and Future.
40. The Active Decisions in the Selection of Passive Management and Performance Bogeys.
41. Managing Indexed and Enhanced Indexed Bond Portfolios.
42. Global Corporate Bond Portfolio Management.
43. Management of a High-Yield Bond Portfolio.
44. Bond Immunization. An Asset/Liability Optimization Strategy.
45. Dedicated Bond Portfolios.
46. Managing Market Risk Proactively at Long-Term Investment Funds.
47. Improving Insurance company Portfolio Returns.
48. International Bond Investing and Portfolio Management.
49. International Fixed Income Investing. Theory and Practice.

Part 7. Equity-Linked Securities and Their Valuation.
50. Convertible Securities and Their Investment Characterics.
51. Convertible Securities and Their Valuation.

Part 8. Derivative Instruments and Their Portfolio Management Applications.
52. Introduction to Interest-Rate Futures and Options Contracts.
53. Pricing Futures and Portfolio Applications.
54. Treasury Bond Futures Mechanics and Basis Valuation.
55. The Basics of Interest-Rate Options.
56. Controlling Interest Rate Risk and Futures and Options.
57. Interest-Rate Swaps.
58. Interest-Rate Caps and Floors and Compound Options.

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Fixed Income Securities: Tools for Today's Markets,
Second Edition by Bruce Tuckman.

1. THE RELATIVE PRICING OF FIXED INCOME SECURITIES WITH FIXED CASH FLOWS.
# Bond Prices, Discount Factors, and Arbitrage.
# Bond Prices, Spot Rates, and Forward Rates.
# Yield to Maturity.
# Generalizations and Curve Fitting.

2. MEASURES OF SENSITIVITY AND HEDGING.
# One-Factor Measures of Sensitivity.
# Measures of Price Sensitivity Based on Parallel Yield Shifts.
# Key Rate and Bucket Exposures.
# Regression-Based Hedging.

3. TERM STRUCTURE THEORY AND MODELS.
# The Science of Term Structure Models.
# The Short-Rate Process and the Shape of the Term Structure.
# The Art of Term Structure Models: Drift.
# The Art of Term Structure Models: Volatility and Distribution.
# Multi-Factor Term Structure Models.
# Trading with Term Structure Models.

4. ANALYSIS OF SELECTED SECURITIES.
# Repo.
# Forward Markets.
# Eurodollar and Fed Fund Futures.
# Interest Rate Swaps.
# Fixed Income Options.
# Note and Bond Futures.
# Mortgage-Backed Securities.

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Robert Shiller speaks about Real Estate and 'Irrational Exuberance' on NPR.

More and more home owners are refinancing, and a full quarter of
homes sold last year went to investors instead of live-in homeowners.
How long can this hot market last, and when it ends, are we looking at
a minor chill, or a full-blown ice age?

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R Graphics by Paul Murrell

Update 2005 Sept 03: R Graphics is shipping !

A book on the core graphics facilities of the R language and
environment for statistical computing and graphics (to be published
by Chapman & Hall/CRC in August 2005). Preview now.

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Interest rate modelling for practical implication: Interest Rate Models by Damiano Brigo and Fabio Mercurio.
For a clear and conicse treatment we also suggest you Antoon Pelsser's Efficient Methods for Valuing Interest Rate Derivatives which is extremely interesting.

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Rick Aster's SAS info aka programming secrets:
Professional SAS Programming Shortcuts and Professional SAS Programming Logic.

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