Types of Investment

Here is the information page about investment, which is mainly two types (passive and active). However, recently algorithm investment is becoming a hot topic, which might be in the middle of two standards. You can see my position about which is better in the article, titled Will index funds continue to beat active funds?.

Arbitrage Pricing Theory

It can be said active and passive (index) investment are still in a state of confrontation, which means Arbitrage Pricing Theory (APT) and Capital Asset Pricing Model (CAPM) are also. These airticles are related to APT (main part of financial engineering).

Reference

Investment

  • Burton G. Malkiel, 1999. A Random Walk Down Wall Street Including A Life-Cycle Guide To Personal Investing
  • BENJAMIN GRAHAM and DAVID L. DODD, Security Analysis, Sixth Edition
  • Button, G.M. and Charles, D.E., 2013. The Element of Investing
  • Burton, G.M., 2007. A Random Walk Down Wall Street
  • Buffett, W.E. et al, 1998, The Essays of Warren Buffett
  • Charles T. Munger, 2006. Almanack, third edition
  • Chan, E., 2008, Quantitative Trading
  • Dunis, C.L. and Laws, J. and Naïm, P., 2003, Applied Quantitative Methods for Trading and Investment
  • GRAHAM, B., 1973, THE INTELLIGENT INVESTOR, Fourth Revised Edition
  • Grinold, R.C., and Ronald N. Khan, R.N., 1995, Active Portfolio Management
  • JOHN C. BOGLE, 2007. The little book of common sense investing : the only way to guarantee your fair share of stock market returns
  • Max G., 2004. THE ZURICH Axioms
  • Poundstone, W., 2006, Fortune Formula
  • Pardo, R., 2008, The Evaluation and Optimization of Trading Strategies, 2nd Edition
  • PHILIP A. FISHER, 2003. Common Stocks and Uncommon Profits and Other Writings
  • Siegel, J.J., 2009. Stocks For The Long Run, Fourth Edition
  • Schroeder, A., 2008. The Snowball Warren Buffett and the Business of Life
  • Tatro, Q., 2011, Trade the Trader

    Financial Engineering

  • Brigo, D. and Mercurio, F., 2006, Interest Rate Models — Theory and Practice, 2nd edition
  • Clewlow, L. and Strickland, C., 1998. IMPLEMENTING DERIVATIVES MODELS
  • Campbell, J.Y., Lo, A.W. and MacKinlay, A.C., 2002. THE ECONOMETRICS OF FINANCIAL MARKETS
  • Donald van Deventer and Kenji Imai, 2003. CREDIT RISK MODELS AAID THE BASEL ACCORDS
  • Dufie, D., 1996. Dynamic Asset Pricing Theory
  • Gurrierih, S., Nakabayashi, M. and Wong, T., n.d., Calibration Methods of Hull-White Model
  • Hull, J.C., 2009. OPTIONS,FUTURES AND OTHER DERIVATIVES, 7th editions
  • Hull, J. and White, A., 2000. The General Hull-White Model and Super Calibration
  • Hull, J. and White, A., 1993. n.d., EFFICIENT PROCEDURES FOR VALUING EUROPEAN AND AMERICAN PATH DEPENDENT OPTIONS
  • Hull, J. and White, A., n.d., FORWARD RATE VOLATILITIES，SWAP RATE VOLATILITIES, AND THE IMPLEMENTATION OF THE LIBOR MARKET MODEL
  • Hull, J. and White, A., 1994, NUMERICAL PROCEDURES FOR IMPLEMENTING TERM STRUCTURE MODELS II: TWO FACTOR MODELS
  • Hull, J. and White, A., 1996, USING HULL-WHITE INTEREST RATE TREES
  • JIN, H., GOTOH, J. AND SUMITA, U., 2007. A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions
  • Kotzea, A. and Oosthuizenb, R., 2015. Pricing JSE Exotic Can-Do Options: Monte Carlo Simulation
  • Karatzas, I. and Shreve, S.E., 1997. Brownian Motion and Stochastic Calculus
  • Longstaff, F.A. and Schwartz, E.S., 2001. Valuing American Options by Simulation: A Simple Least-Squares Approach
  • Lamberton, D. and Lapeyre, B., 1997. INTRODUCTION AU CALCUL STOCHASTIQUE APPLIQUEALAFINANCE
  • Shreve, S.E., 2005. Stochastic Calculus for Finance 1: The Binomial Asset Pricing Model
  • Shreve, S.E., 2004. Stochastic Calculus for Finance 2: Coηtinuous-TimeModels