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Practical Quantitative Investment Management with Derivatives

As individual savings and investment take over from reliance on publicly funded pensions, interest is growing in how that investment is managed. Practical Quantitative Investment Management with Derivatives is a comprehensive guide to the workings of quantitative investment management. It is written to assist in understanding the nature of specific quantitative techniques and investment instruments, the context in which they are used, the underlying theory and the practical ramifications for return and risks of the portfolios of which they form part.

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The book is written in everyday language, with all theory explained in words as well as formulae, and accompanied by worked examples. Each part of the investment management process is examined in detail, beginning with the fund structure and investment objectives and strategy; proceeding through asset allocation to management of individual asset classes. Attention is given at each stage to theoretical underpinnings, issues for implementation and day-to-day management, and the relationship between the three.

The book is divided into three sections plus detailed appendices and glossary and accompanying CD-ROM. The first section provides a description of the investment management process providing a context for quantitative techniques.

Section 2 addresses different quantitative techniques as applied to investment management. Each chapter explains the techniques, the theoretical basis, the use of derivatives and other technology, implementation and management and the role of the custodian.

Section 3 brings together issues such as currency management, performance measurement and appraisal and performance analysis. The accompanying CD-ROM contains spreadsheets in MS/EXCEL giving examples used in the body of the text. Each example is cross-referenced for easy access.

Contents:
Introduction
The Traditional Approach
CAPM: The Basis for Most Quantitative Techniques in Investment Management
Quantitative Asset Allocation Models: Strategic and Tactical
Portfolio Protection
Capital Guaranteed Portfolios
Passive Asset Allocation
Quantitative Stock Selection Models for Domestic Portfolios
Quantitative Stock Selection Models for International Portfolios
Optimised Stock Selection
Indexation
Bonds and Fixed Interest
Market Neutral (Hedge) Portfolios
Completion Portfolio Management
Basket Trading
Performance
The Use of Software in Investment Management
Trends in Investment Management
Summary: Tradition vs Quantitative
Appendices
Futures
Forwards
Swaps
Options
Convertible Notes
Glossary

FRANCES COWELL has been interested in applying quantitative techniques to portfolio management for many years. An MBA Graduate of the Australian Graduate School of Management, she now works as acting Head of Risk for Morley Fund Management in London (the investment arm of the AVIVA group - the world's 7th largest insurer) having previously worked for Vestek-Quantec, a subsidiary of Thomson Financial. Before joining Quantec in 1998, she was part of the Quantitative Investments team at NatWest Investment Management in Sydney, where she was responsible for domestic and international indexed equity portfolios and indexed balanced portfolios.

Practical Quantitative Investment Management with Derivatives Frances Cowell

Hardback November 2001 £120.00 ISBN:0-333-92621-8

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Also contributed a chapter to this book:

http://www.numa.com/bookshop/books/9586.htm

Ch. 15. Indexation of portfolios - Frances Cowell

Synopsis
Modern financial management entails an appreciation of a number of key mathematical concepts. This is particularly relevant to risk and risk management products, such as derivatives. The central role played by these products in capital markets is forcing an ever broader range of personnel to be aware of and utilise these concepts either from a supervisory perspective or in their day to day activities. This book explains the mathematical basis of risk and derivatives in a non-technical manner to allow non (maths) specialists to gain an appreciation of the concepts that are utilised. Each chapter is written by a leading market practitioner. The book looks at the basic mathematics underlying risk and risk management products and the applications of these techniques to a number of common settings. This should allow understanding to be gained about concepts actually used.

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