The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment and Finance) [Hardcover]

Alex Kuznetsov (Author)

Book Description

Publication Date: November 1, 2006 | Series: McGraw-Hill Library of Investment and Finance

The Complete Guide to Capital Markets for Quantitative Professionals is a comprehensive resource for readers with a background in science and technology who want to transfer their skills to the financial industry.

It is written in a clear, conversational style and requires no prior knowledge of either finance or financial analytics. The book begins by discussing the operation of the financial industry and the business models of different types of Wall Street firms, as well as the job roles those with technical backgrounds can fill in those firms. Then it describes the mechanics of how these firms make money trading the main financial markets (focusing on fixed income, but also covering equity, options and derivatives markets), and highlights the ways in which quantitative professionals can participate in this money-making process. The second half focuses on the main areas of Wall Street technology and explains how financial models and systems are created, implemented, and used in real life. This is one of the few books that offers a review of relevant literature and Internet resources.

Editorial Reviews

About the Author

Alex Kuznetsov, Ph.D., is a theoretical physicist by training who has worked in financial technology since 1997 at several leading Wall Street firms including Goldman Sachs and Barclays Capital. He is currently a director in the proprietary trading technology at Credit Suisse.

Product Details

• Hardcover: 600 pages
• Publisher: McGraw-Hill; 1 edition (November 1, 2006)
• Language: English
• ISBN-10: 0071468293
• ISBN-13: 978-0071468299
• Product Dimensions: 9.2 x 6.3 x 1.7 inches
• Shipping Weight: 2.2 pounds (View shipping rates and policies)
• Average Customer Review: 4.7 out of 5 stars  See all reviews (19 customer reviews)
• Amazon Best Sellers Rank: #344,173 in Books (See Top 100 in Books)

More About the Author

I was born in Kiev, Ukraine, in 1963, and wanted to be a scientist since my early teens. In 1986 I graduated from Moscow Institute of Physics and Technology with an MS degree in Physics, returned to Kiev and went to a graduate school at the Semiconductors Research Institute of the USSR Academy of Sciences, where I earned my PhD in Theoretical Condensed Matter Physics in 1991.

The same year our family moved to the US, and I started pursuing an academic career in physics. I spent six years doing that as a research associate, first at the University of Florida and then at the Ohio State University. My scientific interests were in the area of ultrafast phenomena in semiconductors. I had an interesting time doing research and was lucky to have so many great colleagues with whom I published over 25 research papers and one monograph, but as years went by it became progressively clear that pure academic research was not for me ' I wanted something more rewarding and more relevant. As so many of my physicist colleagues at the time, I turned to the financial industry for a new career.

In 1997 I joined CastleNet LLC ' a software subsidiary of Tullett and Tokyo, a major derivatives interdealer broker ' where I went through a rigorous schooling in professional software development and created much of the derivatives analytics library behind CastleNet's products. In 1999 I moved on to Goldman Sachs, where I first worked in the Fixed Income Electronic Market Making group, developing models and software for electronic trading in Treasuries and Agencies. From there I went on to what is now called algorithmic trading ' in 2001, my colleagues and I have built one of the first completely automated statistical arbitrage systems that traded real-time mispricings in Treasury and Treasury futures markets. After that, I joined Fixed Income Research where I developed econometric models for interest rate markets and worked on research publications and trading strategies for Goldman's clients. In 2003 I joined Barclays Capital as an Associate Director in the Fixed Income Project ' a large-scale effort to bring the latest in financial technology to their Rates business, where my responsibilities included real-time pricing models and model-driven proprietary trading algorithms for interest rate products. In 2005 I became a Director in the Proprietary Trading group at Credit Suisse, where I work on refining our proprietary trading models and algorithms.

I have a long-standing interest in training and education. At CastleNet I taught a 'Finance 101' course for non-financial developers. At Goldman, I organized and ran a 'How things work' seminar where people from different technology areas presented their work. At Barclays Capital I ran a series of 'Business Knowledge' lectures for my colleagues in technology, covering various financial industry and market issues at an intermediate to advanced level. These efforts ultimately led to my book "The Complete Guide to Capital Markets for Quantitative Professionals". I wanted to write a book that I wish I could read when I first started out on Wall Street. It took me two years to get there but now this book is a reality. I hope it will make life easier for those who are following or will follow the path from science to finance. My latest effort in the financial training area is a course "Introduction to the Financial Industry" that I taught in the fall of 2006 for financial engineering students at Columbia. I have great fun doing these things and consider them an important part of my professional life.

Customer Reviews

Most Helpful Customer Reviews

9 of 9 people found the following review helpful:

5.0 out of 5 stars A MUST Read for technology, May 15, 2008

By 

Ira Klotzko (Wall Street, NY, USA) - See all my reviews
(REAL NAME)   

This review is from: The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment and Finance) (Hardcover)

It is crucial to the success of a technologist on Wall Street to have a fluent understanding of the traders they support: More focused feature sets are developed, faster communication with traders (they have about a 2-second attention span) and correct assumptions are made.

Unfortunately, working in technology tends to isolate oneself from the trading floor. This is not necessary. Although, there are plenty of classics out there (read Fabozzi), they don't target the technologist who hasn't grown up on the trading floor. They still don't answer the questions, "Why would you do that", "What's the purpose", "What's driving everything"

This book turns the whole model upside down. The author goes into a very detailed and interesting history of the markets first. Then goes into the main areas any financial group handles: Treasuries, Futures, Interest Rate, Agencies, Options, Corporates (We won't mention mortgage).

After reading just the Treasuries and Futures section, I IMMEDIATELY saw a difference in my ability to communicate with the desk. I was able to suggest alternative approaches concerning enhancements and features, understand when problems arose, plus I actually understood EVERYTHING the trader said.

If you work in technology, be it QA, Software Development or even technology management, this is a must read.

Best of all, it's a great read. I found myself looking forward to reading the book every single day.

Enjoy

7 of 7 people found the following review helpful:

5.0 out of 5 stars A must-have for anyone eyeing a Wall Street career., November 12, 2006

By 

Aleksey Popelyukhin "Ph.D." (Stamford, CT USA) - See all my reviews
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This review is from: The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment and Finance) (Hardcover)

Rarely a book with a title as ambitious as "Complete Guide" fulfills its promise. This book does. Big time.

It is written for quantitative professionals (current and prospective) and gives a bird-view account of all types of activities available to them in a typical Wall Street firm.

The author cleverly avoids pitfalls of the books of this genre. The book is general enough to cover various settings, but not too general to become useless. It is detailed enough to provide relevant information, but not too detailed to become a software manual or a textbook.

The text educates without being annoying and entertains without being lightweight.

Hopefully, readers will appreciate consistency and appropriateness of the book's style. The author avoids over-fragmentation and "bulletization": the book consists of 20 chapters without any further subdivisions. It makes for much smoother reading undistracted by unnecessary subheadings.

After finishing the book one can only marvel at the author's efficiency, wondering how he could cram so much useful and interesting information in just 600 pages.

Highly recommended.

5 of 5 people found the following review helpful:

5.0 out of 5 stars It's about time!!!, October 4, 2007

By 

Thomas Caddoo (Denver, NC USA) - See all my reviews
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This review is from: The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment and Finance) (Hardcover)

If you are involved with the capital markets and investment banking world on the technology side, you really need to read this book. Don't let the title scare you. The author does a very good job of pointing out how the capital markets business works and how technology is a major influence to to the sucess of this capital markets business. This title should be a must read for all MBAs.