Non-Derivatives Oriented Mathematical Finance Book

[MBA-Trader]

I've been looking for a nice financial mathematics book that I can use as a textbook. Problem is I need it to be equities, fixed income and portfolio theory oriented, not derivatives. There are some good books by Fabozzi, but they are more like reference books, not much educational quality. It occurred to me that perhaps I should be looking for financial economics books rather than mathematical finance ones for that matter. Does anyone know of any such good book?

 

[yetanotherquant]

Have a look at mine: http://www.amazon.com/dp/3000465200/

Contrary to many scientists (according to Pablo Triana, "virgins, sitting in ivory tower and teaching sex / lecturing birds on flying"), I know what I am writing about
(my track record proves it: Somewhat better than DUCKS)

 

[MBA-Trader]

Yes, I actually know your book Vasily and it is already on my list. It seems the kind of balanced books that I like, sophisticated enough but not too theoretical.
However, as I said, I also need something more like a textbook on mathematical finance minus the derivatives. Any ideas?

 

[yetanotherquant]

Problem is I need it to be equities, fixed income and portfolio theory oriented, not derivatives.

In other words, you are looking for a P- (not Q-) world book.
In most of books there are something on P-World but more or less strictly mathematical and just P-world ... no, sorry, no ideas.... Probably because P-world is a little bit boring for those, who what to make math, not money

 

[Daniel Duffy]

Have a look at mine: http://www.amazon.com/dp/3000465200/

Contrary to many scientists (according to Pablo Triana, "virgins, sitting in ivory tower and teaching sex / lecturing birds on flying"), I know what I am writing about
(my track record proves it: Somewhat better than DUCKS)

Who is Pablo Triana?
I take it all with a large spoon of salt. I would say in Russian "ruki korotki" A little knowledge is a dangerous thing.
Pablo Triana seems to have disappeared off the radar. It was very trendy to blame quants for the crisis in 2008 and many were doing that (it helps to sell books).

The crisis was not caused by quants.

I haven't read his books. Have you?

This is what Steven Shreve has to say.

http://www.math.cmu.edu/~shreve/ResponseToTriana.pdf

This is what happened:

If everyone assumes that U.S. housing
prices cannot decline and makes large bets based on that assumption, their
collective action will ultimately bring about a decline in housing prices. This
is not a new lesson; it is the lesson of every bubble.

 

[yetanotherquant]

Who is Pablo Triana?

According to amazon: author, lecturer, trader.

Be careful by arguing ad hominem since it can easily hurt yourself like this:
"Daniel Duffy is neither a professional quantitative analyst, nor a renowned academic and possesses no peer reviewed publications in the field of finance."
http://www.amazon.com/Introduction-Financial-Engineers-Object-Oriented-Approach/dp/0470015381
(By Mike Skew on February 10, 2007)

As to Trianas book, I myself do not find it perfect. It is heavily repetitive and pretty dogmatic.
But if read critically, it is very useful since it was a fresh wind in literature.
Aaron Brown has written a critical but fair review:
Amazon.com: Aaron C. Brown's review of Lecturing Birds on Flying: Can Mathematica...
And I, myself, got an opportunity to talk to some professors that consult German government (and witnessed at least some issues, mentioned by Triana).

 

[Daniel Duffy]

You miss the point. It is the use of certain distasteful allusions and metaphors that is inappropriate. And that you actually quote it.

I suppose it is one way to get attention.

 

[yetanotherquant]

You miss the point. It is the use of certain distasteful allusions and metaphors that is inappropriate. And that you actually quote it.

I find Triana's metaphor "Virgins teaching sex" both appropriate and expressive.
IMO a professor, who never traded a bond, does not know which stocks DAX / DJ30 consist of and never tried to calculate optimal Markowitz portfolio in practice cannot write a books for professionals.

In no way I mean that such professors are useless because very few practitioners (if at all) can be successful without possessing at least the basics of theory (which one learns being a student).
However, in Triana's terms, too many professors pose as sex experts (instead of admitting that though they read a lot about sex, they are still virgins).
I even know two, who proudly(!!!) chat that they ignominiously failed when tried to manage a hedge fund.
That's why I find Triana's attitude quite appropriate.
(By the way, contrary to Germans, the American professors are much less arrogant and more willing to interact with practitioners, but once again, it is my personal experience).

I suppose it is one way to get attention.

I agree. But why not? I think he made a good money with his book and got a fame (though a little bit scandalous but who cares).
As to the fact that he got off radar, well yes, but quants are nowadays are also quite off-radar
(IMO the place of quants/financial mathematics is being occupied by data analyst/big data, s. https://www.quantnet.com/threads/2015-quant-job-market-cds-is-dead-booming-data-analytics.20245/)