Customer Reviews

Nonlinear Pricing: Theory & Applications (Wiley Trading)

5 star:		(7)
4 star:		(2)
3 star:		(2)
2 star:		(1)
1 star:		(8)

 

 

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 ...

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.)

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.

I found this book to be an interesting read but was ultimately left disappointed because the book does not provide much useful information about implementing non-linear pricing models, particularly for use pricing securities, options, or derivatives. The author is absolutely on the mark in his discussions of the flaws underlying the majority of financial economics theory. He also clearly has applied these approaches because the book includes numerous insightful comments and observations. I recognize that nonlinear math can be very difficult and that many valuable insights can be obtained without a detailed understanding of the math. However, the author could (and should) have provided greater coverage of the math. I would have liked to have seen coverage of the math necessary to implement fractal brownian motion into simulations or pricing models.

In the excerpt on this website he says that the distribution of stock returns does not touch the horizontal axis in either tail and infers that the variance is thus infinite. This does not follow. For example the normal distribution has a finite variance yet the tails of the normal distribution do not ever 'touch the horizontal axis'.

I was/am looking for a good book about the topic of nonlinearities and the limitations of standard finance theory. This book isn't it. One reviewer said he's redundant. To be more blunt, he's a windbag (harsh, but true). It's as if every major idea or book in econ/finance/physics/biology that's he ever read/heard of is riffed on in this book. (Doubt that? Click on "read and excerpt" and try to make yourself read it all the way through.) Which would have been good, if it were all done in context, but context in this book can be hard to find. Also, his critique of standard finance theory (which deserves a thorough critique) would be more credible if he didn't make some technical mistakes in describing it.

I was truly disappointed with this book.

The book is highly redundant. The author keeps repeating the same things over and over again. At the same time, it is more or less obvious that the author either doesn't fully understand nonlinear dynamics or didn't know how to explain this subject in a more rigorous way. Sometimes, the author seems to be carried away by mysticism as if nonlinear dynamics had anything to do with religion or gods.

If you want to read a good introductory book about complexity theory, read John H. Holland's "Hidden Order". If you want to read a good book about fractal market dynamics, read Edgar E. Peters' "Fractal Market Analysis". Forget about "Nonlinear Pricing". It will save you precious time and money!

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."

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.

Rambling, erroneous, unfocused, nonrigorous, ultimately pointless. A very big disappointment. Don't think for a minute that this book will help you to make money. So why the good reviews posted here early on? Smells like spam to me.