Nonlinear Pricing: Theory & Applications (Wiley Trading)

Book Description

One of the many striking applications of nonlinear technology in recent years, nonlinear pricing uses cutting-edge technology to identify and exploit patterns hidden within the seemingly helter-skelter rise and fall of daily stock prices. Nonlinear Pricing sheds much needed light on the principles behind this innovative view of reality and provides clear explanations of how it is employed to predict-at least partially-the unpredictable.

Beginning with an incisive introduction to the topic, May presents the roots of nonlinearity through the examples of calendrics, geometry, and music. He then illustrated the application and integration of various nonlinear technologies, including genetic algorithms, fuzzy logic, fractal imaging, and nonlinear dynamics, to such essentials as trading strategies, asset allocation, risk management, and derivative pricing and hedging. Along with practical methodologies and a wealth of real-world examples, this comprehensive resource contains a glossary of terms, a bibliography and in-depth information on:
* Fractal analysis-power law distributions, fractional Brownian motion, and their relationships
* The Hurst Exponent-the KAOS screen and its practical implementation
* Resonance-time domain versus frequency domain, Brownian motion, and the Gaussian distribution
* Advanced concepts-Soros's Reflexivity, non-equilibrium economics, kernel of theoretical nonlinear pricing, May's Law, resolution and resonance

Written by one of the few practitioners using this breakthrough methodology to trade the markets successfully, Nonlinear Pricing fills an important niche in investment literature. It is a must read for anyone seeking to understand-and capitalize on-twenty-first century financial economics.

CHRISTOPHER MAY (New York, NY) runs TLB Partners, LP, an onshore hedge fund and May Nonlinear US Equity Fund, an offshore fund.

Customer Reviews:

Completely Useless.......2001-09-11

Optimistically I bought this book expecting an insight into non-linear models of price behvaiour, maybe some thoughts I could use to flesh out my own experience - a peek into other approaches to managing price volatility perhaps. What I got was a rehash of technical analysis with a glaze of chaos theory. Don't bother.

Not worthy to present itself as a serious work.......2001-09-07

I expect that I am not the only reader to conclude that Christopher May has only a cursory grasp of nonlinearity. As a reader of philosophy and religion and a mathematician with research experience in nonlinear dynamics, I kept wondering when the "hand waving" and "name dropping" were going to yield to some cold, hard analysis or practical application. I might even have settled on a few unproved practical pricing applications!

To add insult to injury, this book was poorly edited: papers were discussed as if well-known, then introduced five paragraphs later; whole paragraphs were repeated several times, as if the book had been a series of independent pamphlets stapled together; anecdotal musings ran on for pages with no purpose apparent other than to impress the reader with the author's erudition; typographical errors peppered the few mathematical expressions.

I have similar complaints with Edgar Peters' books, but at least Peters understands nonlinearity sufficiently to have applied some famous techniques to problems in financial valuation. One can hardly escape the suspicion that Christopher May is a long-winded "poseur."

Ego trip with virtually no useful baggage.......2001-03-30

If you're looking for a good primer in fractal economics, do not waste your money, or worse, time with this book. You can get more information and less noise from E. Peters's "Chaos and Order in the Capital Markets". The most useful information you'll get from this book is a description of the Hurst exponent; the rest is, well...

I don't mind random musings with an articulate friend after dinner, but please don't do it in a pedagogical-sounding, inflated tome. Let the quotes describe themselves:

"... this chapter will present a challenge because it exists at a rarified level of understanding."

"I maintain, as any good scientist does, that the theory must fit the facts".

"The mathematics in this chapter may be complex to the financial economics professional" (I found the series summation as the most complex math in that chapter.)

Errors and carelessness are so prevalent, this book really brings down my opinion of the JW editors. Concepts of dependent and independent variables are mixed up, atrocious-looking graphs of normal and Levy distributions are shown, notations like "m2" are printed instead of "m(superscript)2" to mean m-squared, etc.

Most of the time is spent waxing philosophical connections among shallowly described concepts like Fourier transform, superstrings, the scriptures, Brownian motion, Socratic logic, etc. To be fair, if this sort of shooting-the-breeze provides a relaxing read for you, this book might fit the bill.

The author breathlessly describes "original concepts" like fixing risk for varying returns in security portfolios: this is already done with instruments like mortgage securities.

Perhaps the author's own quotation of Occam's Razor should have been heeded, "That which is not needed should not be included".

I did find the Bloomberg KAOS screen description on page 128 useful. If you use Bloomberg, you can also get that from the manuals.

Contains no substance or even one concrete idea.......2000-02-02

Very poor treatment of the topic. The author doesn't seem to know where the nonlinearity lies in "Nonlinear Pricing". He sees it "everywhere". One wonders whether he even knows the difference between a linear and a nonlinear function, and if so why he seems to think that a Gaussian distribution pertains to "linear", and anything else to nonlinear. It is clear that his understanding of mathematics is at best vague; unfortunately not even his concepts bear much merit. "Genetic", "Fuzzy", "Non-equilibrium" are simply used as buzzwords to create the air of being mathematically-sophisticated (the mathematical community knows that "genetic algorithms" are essentially a characterization of "stabbing in the dark" in the absence of a better search procedure, or often, of knowledge). He even dares to toy with concepts from physics which he can't even start to fathom.

I see some readers fairly impressed with the book. If you don't have much understanding of math and the fundamental sciences, you might be. But you'll also be left with no understanding at the end of the day ( you might attribute the lack of understanding to your background in "humanities", but it will really be because the book has no substance ).

With his writing style, the author could perhaps have given Deepak Chopra a run for his money had he concentrated more on the religious part and had he sounded less cocky. Only religion/metaphysics would marvel at the unsubstantiated rhetoric one finds in this book. However, this is scientific ground he is attempting to tread on.

Just read Mandelbrot's original book ...

Hand Waving and Puffery.......2000-01-07

The book can be summarized in 11 words: "Genetic fractal neural fuzzy chaotic nonlinear stuff good. Traditional finance bad."

There is no real information in the book. There are unsupported anecdotes and a myriad of quotes from non-financial sources. The lack of substance in the text leads one to suspect that the author himself doesn't understand the underlying mathematics himself.

For a better source, Chapter 12 of Econometrics of Financial Markets by Campbell, Lo and MacKinlay has more information on nonlinear modelling than the whole of this book (and it has a couple hundred pages on traditional financial economics.)

Average customer rating:
NONLINEAR PRICING: THEORY & APPLICATIONS.
Christopher T. May
Manufacturer: NY., Wiley, 1999. 359 pp., illus. Fine copy of first edition, in dust jacket.
ProductGroup: Book
Binding: Hardcover
ASIN: B000UE0DQ2

Book Description

This all-new edition of Web-Based Training is filled with practical charts, tables, and checklists that shows you how to design winning training programs for delivering instruction on the Web. Well grounded in the time-tested principles of great instructional design and adult education, Web-Based Training takes a step back from the whirlwind of technical guides and offers a extensively-researched handbook. For everyone seeking to learn more about the subject, Driscoll gives you illustrative examples from a wide range of organizations large and small and the book's CD-ROM contains a strategic presentation with eighty slides and has helpful links to the World Wide Web.

Customer Reviews:

Must-buy for 'Pedagogist-Technologists'.......2002-10-26

The people in the e-learning industry could be divided largely into three camps - the Pedagogists, the Technologists and the Pedagogist-Technologists (people who bridge the two apparently divergent worlds). :-)

IMHO, Dr Margaret Driscoll is a Pedagogist-Technologist - a wonderfully excellent one! After ploughing through dozens of good and not-so-good books on e-learning, I find this book (which I borrowed from a campus library) a treasure trove. I strongly recommend this book to any serious e-learning practitioner (novice or experienced) who is looking for succinct and practical information, as well as pedagogically and technologically sound tips - this book is loaded with summaries, templates, worksheets, and more.

Book Description

This book gives an exposition of the exciting field of control of oscillatory and chaotic systems, which has numerous potential applications in mechanics, laser and chemical technologies, communications, biology and medicine, economics, ecology, etc.

A novelty of the book is its systematic application of modern nonlinear and adaptive control theory to the new class of problems. The proposed control design methods are based on the concepts of Lyapunov functions, Poincare maps, speed-gradient and gradient algorithms. The conditions which ensure such control goals as an excitation or suppression of oscillations, synchronization and transformation from chaotic mode to the periodic one or vice versa, are established. The performance and robustness of control systems under disturbances and uncertainties are evaluated.

The described methods and algorithms are illustrated by a number of examples, including classical models of oscillatory and chaotic systems: coupled pendula, brusselator, Lorenz, Van der Pol, Duffing, Henon and Chua systems. Practical examples from different fields of science and technology such as communications, growth of thin films, synchronization of chaotic generators based on tunnel diods, stabilization of swings in power systems, increasing predictability of business-cycles are also presented.

The book includes many results on nonlinear and adaptive control published previously in Russian and therefore were not known to the West.

Book Description

Originally written as part of his Principia Mathematica, Newton integrated Kepler's laws of planetary motion and Galileo's forays into the laws of gravity into a comprehensive understanding of the organization of the universe according to the law of universal gravitation. Includes an Introduction by one of the world's foremost authorities on Newton.

Brooks' foreign exchange text book: An elementary treatise on foreign exchange and the monetary systems of the world

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Brooks' foreign exchange text book: An elementary treatise on foreign exchange and the monetary systems of the world
Howard Keyes Brooks
Manufacturer: Foreign Exchange Pub. Co
ProductGroup: Book
Binding: Unknown Binding

Foreign Exchange | Finance | Business & Investing | Subjects | Books
ASIN: B0008ADWTI

Brooks' foreign exchange text book;: An elementary treatise on foreign exchange and the monetary systems of the world, for the instruction and use of the ... and particlarly for the scholar and student

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Brooks' foreign exchange text book;: An elementary treatise on foreign exchange and the monetary systems of the world, for the instruction and use of the ... and particlarly for the scholar and student
Howard Keyes Brooks
Manufacturer: H.K. Brooks
ProductGroup: Book
Binding: Unknown Binding

Foreign Exchange | Finance | Business & Investing | Subjects | Books
ASIN: B00085QYZW

From Order to Chaos: Essays : Critical, Chaotic and Otherwise (World Scientific Series on Nonlinear Science. Series a, Monographs and Treatises ; V.)

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From Order to Chaos: Essays : Critical, Chaotic and Otherwise (World Scientific Series on Nonlinear Science. Series a, Monographs and Treatises ; V.)
Leo P. Kadanoff
Manufacturer: World Scientific Publishing Company
ProductGroup: Book
Binding: Paperback

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Book Description

This book is a compilation of the review papers, expositions and some of the technical works of Leo Kadanoff, a theoretical physicist. The objective is to put together a group of not-too-technical writing in which he discusses some issues in condensed matter physics, hydrodynamics, applied mathematics and national policy.

Book Description

In this book, Professor Pears examines the foundations of Hume's system as laid down in the first book of his Treatise, where his ideas are presented in their first fresh and undiluted form. The author steers a middle course between the two extreme views adopted in recent writings on Hume: that he relies exclusively on a theory of meaning, or that he relies exclusively on a theory of truth and evidence. Professor Pears argues that Hume's theory of ideas serves both functions, and he examines in detail its application to three difficult problems: causation, personal identity, and sense-perception. Hume's solutions are shown not to be theories which can be given a place in a standard classification of philosophical theories, but rather to depend upon a subtle form of naturalism not altogether unlike Wittgenstein's naturalism.

Quasi-Conservative Systems: Cycles, Resonances and Chaos (World Scientific Series on Nonlinear Science. Series a, Monographs and Treatises, V. 30.)

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Quasi-Conservative Systems: Cycles, Resonances and Chaos (World Scientific Series on Nonlinear Science. Series a, Monographs and Treatises, V. 30.)
Albert D. Morozov , and A. D. Morozov
Manufacturer: World Scientific Pub Co Inc
ProductGroup: Book
Binding: Hardcover

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ASIN: 9810228104

Book Description

This monograph presents the theory of nonconservative systems close to nonlinear integrable ones. With the example of concrete quasi-conservative systems close to nonintegrable ones, the results of numerical analysis are given, and the problem of applying the small parameter method is analyzed.

The fundamantal part of the book deals with the investigation of the perturbable systems. Both autonomous and nonautonomous (periodic in time) systems are considered. The global analysis of systems close to the two-dimensional Hamiltonian ones takes a central place in the text. This global analysis includes the solution to problems such as the limit cycles, resonances, and nonregular dynamics. For the autonomous systems, one should note the analysis of the standard (Duffing and pendulum) equations including the solution to the "weakened" 16 Hilbert's problem, and for the nonautonomous systems one should note the mathematical foundations of the theory of synchronization of oscillations (the existence of new regimes, and the passage of invariant tori across the resonance zones under the change of detuning). The presentation is accompanied by examples.

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Smooth Invariant Manifolds and Normal Forms (World Scientific Series on Nonlinear Science. Series a, Monographs and Treatises, V. 7)
I. U. Bronshtein , A. Ya Kopanskii , and I. U. Bronstein
Manufacturer: World Scientific Pub Co Inc
ProductGroup: Book
Binding: Hardcover

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Topology | Geometry & Topology | Mathematics | Science | Subjects | Books
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ASIN: 981021572X

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A Treatise of the System of the World (Leather Bound)
Isaac Newton
Manufacturer: Grypnon Editions
ProductGroup: Book
Binding: Leather Bound
ASIN: B000P8HJXI

Product Description

BRAND NEW leather bound book accented with gilt! ! Facsimile reproduction of original work.

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