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Risk Finance and Asset Pricing: Value, Measurements, and Markets Hardcover – October 5, 2010

5.0 out of 5 stars 9 customer reviews

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Editorial Reviews

From the Inside Flap

Over the past two decades, financial firms, companies, and governments have shifted greater attention to financial manipulations in which they capitalized on leverage and short-term returns. These actually resulted in an explosive and global growth in financial activity. A financial Pandora's box had been opened, and countries and blue chip corporations believing in perpetual growth and once thought too big to fail, found themselves strangled with a debt they were not able to bear.

The recent market melt-down and credit liquidity crisis created full realization that complex financial products—when misunderstood and misused—can have devastating effects. Risk Finance and Asset Pricing: Value, Measurements, and Markets is a comprehensive introduction to financial engineering that presents the foundations of asset pricing and risk management, while stressing real-world applications.

Written for both beginning and practicing financial engineers, author Charles Tapiero—the Topfer Distinguished Professor of Financial Engineering and Technology Management at the NYU Polytechnic Institute—provides:

  • A non-quantitative introduction to the business of finance, risk, and their many applications

  • An overview of the statistical approaches for measuring risk

  • An introduction to the concept of utility and financial risk management

  • An outline of the Arrow-Debreu framework in discrete states and time for assets and derivatives (options) pricing

  • An outline of credit risk, scoring, and complex structured financial products such as credit derivatives, their models, their demystification, pricing, and finally, a cursory view of technical approaches to implied pricing

Each chapter includes a summary of the techniques described, and concludes with a series of problems so readers can test what they've learned.

Financial engineering, despite its challenges and opportunities, when misunderstood, has the potential to wreak havoc on world economies and individual portfolios. Risk Finance and Asset Pricing presents a new direction in financial engineering education that combines reality and theory so that risk finance might again work as intended.

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Praise for Risk Finance and Asset Pricing: Value, Measurements, and Markets

"An impressive text on financial engineering that stands out as a logical and well-written description of many of the important models in quantitative finance, providing numerous relevant examples and instructive problems that help to drill home these conceptual underpinnings. The combination is especially useful for the pedagogic delivery of materials in financial engineering courses andpractitioner applications of real-world issues. I highly recommend it to enhance student andpractitioner understanding of financial markets."
Edward I. Altman, Max L. Heine Professor of Finance and Director of Credit and Debt Markets Research Program at the NYU Salomon Center, Stern School of Business

"Recession frequently leads both students and the general public to realize that they have given far from sufficient attention to the role and nature of risk in the arena of investment. All too often, they have been lured to their financial destruction by mysterious types of assets whose nature they did not understand. Students in the fields of finance and investment, in particular, are surely ready for guidance in the field. Here is a book that provides it very effectively. Comprehensive, rigorous, and clearly written, it will be considered indispensible by instructors, students, and thoughtful investors."
William Baumol, Professor of Economics and Director, C.V. Starr Center for Applied Economics, NYU

"Charles Tapiero has raised masterfully both the essential problems and questions that we are confronting in a post financial crisis world and reveals the many approaches and techniques that can be used to provide answers for better financial risk management."
Professor Alain Bensoussan, Distinguished Research Professor of Operations Management, Director of the International Center for Decision and Risk Analysis, University of Texas

"Charles Tapiero is a world-renowned scholar who has made numerous contributions in the field of risk management. His book is a timely and much needed integration of the latest developments in theory and practice. Replete with real-world examples, it is a must-read for practitioners, researchers, and students interested in the field of financial engineering and risk management."
Lorne N. Switzer, Professor of Finance and Associate Director, Institute for Governance in Private and Public Organizations, John Molson School of Business, Concordia University

"Charles Tapiero is one of the best collaborators I ever had. He ferrets out hidden risks and reduces complexity to being tractable. He writes in a clear style without taxing the reader."
Nassim Nicholas Taleb, Author of The Black Swan, Distinguished Professor of Risk Engineering, NYU-Polytechnic Institute

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Product Details

  • Hardcover: 456 pages
  • Publisher: Wiley; 1 edition (October 5, 2010)
  • Language: English
  • ISBN-10: 0470549467
  • ISBN-13: 978-0470549469
  • Product Dimensions: 7.3 x 1.4 x 10.2 inches
  • Shipping Weight: 2 pounds (View shipping rates and policies)
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (9 customer reviews)
  • Amazon Best Sellers Rank: #1,523,641 in Books (See Top 100 in Books)

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Format: Hardcover Verified Purchase
I have used earlier drafts of this textbook in teaching another section of the core course in financial risk management and asset pricing required of every Master's student in Financial Engineering at NYU-Poly in the Department of Finance and Risk Engineering, of which the author is chair. All of the best features of those drafts are still here in the final version, and some new ones.

The book blends things together. It blends a broad scope (options valuation, asset pricing, risk analysis, credit risk, and more) with a depth of details. The same blending carries over in the structure of the book. Tapiero is extremely careful to present results and insights in as general as possible a way, with specific applications given as examples. Even the capital asset pricing model is essentially just an example, though it is addressed a couple of times to focus on different aspects of it.

There is no way to cover everything that is in this book in a single course. But it is certainly possible to cover all of the highlights, such that students become familiar with the book, and can continue to use it as a reference later in their careers. For example, early chapters discuss basic option pricing from scratch; the final chapter discusses, among other things, how to calculate the implied risk neutral distribution from option prices, a challenging topic in its own right.

It also blends, or as Tapiero would say, bridges, theory and practice. One of the nice features of the layout of the book is that it begins with a history of finance, which is quite remarkable that, as it exists today, it is really only a few decades old, and a thorough overview of risks and finance, including all of the hot topics of the day. (So it also blends the past with the present and the future.
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Format: Hardcover
This book is devoted to one of the most important problems in Finance, to the valuation of different risk factors related to financial products.
The book contains 11 Chapters. It starts from very basic ideas and simple examples and proceeds to advanced problems in this area. This book is addressed to financial engineers and can be recommended for both, who just will to be one and who is working in this area.
The authors are going step by step from basic ideas of connection between risk and uncertainty, financial instruments, social consequences of financial management to problems connected with credit risk portfolios and implied volatility.
The examples used in the book are accessible and modern, some of them are known from newspapers of last month. All important features of risk and volatility measurement along with the standard methods which are used now are explained in the book. There is an interesting utility approach which is described in Chapters 5 and Chapter 6. This approach provides a practical point of view on portfolio management problems and different types of investments. The author provides not only standard knowledge and formulas used in option pricing but also takes he into account different aspects of credit scoring and credit risk evaluation.

The language of the text is appealing and pleasing. One gets the impression to be in a good classroom lecture. Certainly the author is a very good lecturer having a sensitive feeling how and how much you can explain every student about the problem under discussion.
I think both the students who will just quickly find a useful formula and the students who will understand deeper the ideas behind the financial instruments can use this book.
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Format: Hardcover
The worlds of finance and financial engineering have changed radically in recent months. Thus, Prof. Tapiero's `view from the bridge' could not come at a more opportune moment. The existing textbook choices in Financial Engineering range from dated and excessively mathematical treatises, to boring and `old-hat' approaches. Current thinking rejects the `finance as theoretical physics' paradigm, especially the gross simplifications that have been made in order to apply those methodologies. Prof. Tapiero recognizes the human, behavioral, and legal aspects of finance. This results in a much more `down-to-earth' approach for students. This is Engineering with a capital `E' - a `news you can use' approach. Carrying on in the tradition of the late Salih Neftci, practitioners will find many of their `tricks-of-the-trade' justified, made explicit, and clarified. Students, on the other hand, will feel ready to proceed directly from the classroom to the trading floor. However, unlike in Neftci's texts, Risk Finance and Asset Pricing does not neglect the mathematics and does not skimp on rigor. Most importantly, it uses mathematics where appropriate and tempers the mathematical arguments with a pragmatic tone. Sophisticated and `up-to-date!' I plan to recommend this book for use in the newly created finance program at the university where I teach, where `real world' approaches are at a premium.
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Format: Hardcover Verified Purchase
This book is a "grand tour" of modern financial engineering and provides a comprehensive coverage of all major core concepts in finance and insurance from a risk management/hedging perspective The approach is unique as it provides elegantly written intuition leading up to rigorous mathematical formulation which in turn facilitate solving real world problems. The book is a must read for financial engineers at investment banks, insurance companies or hedge funds and will be required reading for graduate students in Finance Masters and doctoral programs. It will also be of great help to CFOs and other financial executives who are often proposed by Wall Street investment banks complex financial transactions to lower their cost of capital which they find difficult to fully comprehend. I personally found the chapter on measuring volatility particularly enlightening and original in view of the recent sub-prime crisis. In due course this book will become a classic.
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