Reviews for Mathematics of Finance: Modeling and Hedging

The average rating for Mathematics of Finance: Modeling and Hedging based on 2 reviews is 3 stars.

Review # 1 was written on 2015-03-08 00:00:00 Stephen Matthews Type 1 error - rejecting something that shoudl have been accepted type 2 error - accepting something that should have been rejected. edge = winning % X avg winner + losing 5 X avg loser 1. calculate your edge for every trading decision because you cannot make bets if you do not know your edge. it is not about the frequceny of being correct, but the magnitude. 2. buy rallies - watch high low close. trading decisions shoudl all be based on price. 3. embrace shorting. S1 - 4 week (20 trading day) price break out for entry. 2 week opposite for exit. filter 1 - if the previous 4 week breakout was a winner, do not enter. however, filter 2 - if the previous trade was a 2N loser, then take the breakout. S2 - 11 week (55 day) trading system (LT :-)) 4 week break out in opposite for exit. 4. split your money between S1 and S2 and then test your time for each breakout on paper before crystalising the system. 5. trust but verify. 6. do not worry about entry as much as exit risk management - measure volatility in terms of daliy ranges. N = average true range, a. hi to low b. yesterdays close to todays high. c. yesterdays close to todays close whichever is highest take as N in absolute - it is distance that counts. N is the distance the market moved up or down in a 24 hour period. can take a 20 day moving avager of N 7. bet 2% of capital per trade. 8. stops are a function of N - all stops are 2N. 9. pyramiding - add positions at each 1N move in your direction. pyramid a max of 5 units. a 2nd added unit brings all units up to new 2nd added units stop. 10. use leverage if you want to make big money.

Review # 2 was written on 2012-10-29 00:00:00 Andres Carciente This book and the events it describes do not answer the question of whether normal people can be taught the magic of trading and become wildly rich. Instead, it tells the tale of a small group of exceptional individuals selected from a larger pool of motivated volunteers by an expert in the field. They were given a mundane but previously successful trading method to execute (following trends, with fixed rules for when to get in and out) and it did mostly continue to work. Later, some went on to greater successes. It is frustrating that the author seems so awestruck and uncritical of his subject. The events and personalities described are interesting at times, but that deteriorates into minutia. It was worth a look, but I stopped half way. I was a little curious about certain details that might be in the second half, but not enough to bear more than a few more minutes flicking through.